教師資料查詢 | 類別: 期刊論文 | 教師: 聶建中 NIEH, CHIEN-CHUNG (瀏覽個人網頁)

標題:Dynamic relationship between stock prices and exchange rates for G-7 countries
學年90
學期1
出版(發表)日期2001/12/01
作品名稱Dynamic relationship between stock prices and exchange rates for G-7 countries
作品名稱(其他語言)
著者Nieh, C. C.; Lee, C. F.
單位淡江大學財務金融學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數Quarterly Review of Economics and Finance 41(4), pp.477-490
摘要There are two major findings from our time-series estimations. First, we find that there is no long-run significant relationship between stock prices and exchange rates in the G-7 countries. This result interfaces with Bahmani-Oskooee and Sohrabian’s (1992) finding, but contrasts with the studies that suggest there be a significant relationship between these two financial variables. Our second finding is that the short-run significant relationship has only been found for one day in certain G-7 countries. For instance, currency depreciation often drags down stock returns in the German financial market, but it stimulates the Canadian and UK markets on the following day. However, an increase in stock price often causes currency depreciation the next day in Italy and Japan. In addition, we also find that the record of stock price and the value of the dollar cannot be depended on when predicting the future in the US, either in the short-run or long-run.
關鍵字C32;Cointegration;Exchange rate;F31;G15;Stock price;VECM
語言英文
ISSN1062-9769
期刊性質國外
收錄於SSCI
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式紙本
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