지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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This study examined the returns and volatility spillover effects in Asian emerging markets to investigate the dynamic interaction between exchange rate and equity price for markets in Hong Kong, Korea, Singapore, and Taiwan, employing the Granger causality test and bivariate GARCH model. The main findings of this study can be summarized as follows. First, there was no long-term equilibrium relationship between the exchange rate and equity price in the emerging Asian region. Second, we found strong causal relationship between the exchange rate changes and equity returns. This evidence supports the flow-oriented approach that the change of exchange rates leads to that of stock prices. Third, we found strong bidirectional volatility spillover between the exchange rate changes and equity returns, except in the case of Hong Kong. This study’s analysis can provide a better understanding of the linkages between the exchange rate and equity markets in emerging Asian countries and the nature of the risks that the participants in both markets have to deal with.
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참고문헌 (24)
참고문헌 신청
Apergis, N. / 2001 / Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets / Manchester School 69 : 81 ~ 96
Branson, W. H. / 1983 / Macroeconomic Determinants of Real Exchange Rate Risk, In Managing Foreign Exchange Risk / Cambridge University Press
Cheung, Y.-W. / 1996 / A Causality-in-Variance Test and Its Application to Financial Market Prices / J ournal of Econometrics 72 (1) : 33 ~ 48
Diebold, F. X. / 2009 / Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets / Economic Journal 119 (534) : 158 ~ 171
Dornbusch, R. / 1980 / Exchange Rates and the Current Account / American Economic Review 70 (5) : 960 ~ 971
Branson, W. H. / 1983 / Macroeconomic Determinants of Real Exchange Rate Risk, In Managing Foreign Exchange Risk / Cambridge University Press
Cheung, Y.-W. / 1996 / A Causality-in-Variance Test and Its Application to Financial Market Prices / J ournal of Econometrics 72 (1) : 33 ~ 48
Diebold, F. X. / 2009 / Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets / Economic Journal 119 (534) : 158 ~ 171
Dornbusch, R. / 1980 / Exchange Rates and the Current Account / American Economic Review 70 (5) : 960 ~ 971
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