Economic Journal of Emerging Markets
Volume 1 Issue 3, 2009

TESTING THE RELATIONSHIP BETWEEN EXCHANGE RATE AND STOCK PRICE IN THE ASEAN COUNTRIES

Dwipraptono Agus Harjito (Faculty of Economics, Universitas Islam Indonesia)

Article Info

Publish Date
27 Sep 2011

Abstract

The aim of this paper is to investigate the statistical relationship between stock prices and exchange rates in ASEAN from 1993–2006. Using Engle-Granger test, it finds that the re-lationship between stock prices and exchange rates is characterized by a feedback system, with Singapore Dollar as the dominant exchange rate. Johansen co-integration test finds that all of the stock prices and exchange rates are co-integrated. The results are supported by Vector Autoregression and Vector Error Correction Models. With respect to the relationship between stock prices and exchange rates, the results are inconclusive. The causality mostly runs from exchange rates to stock prices.

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Journal Info
Economic Journal of Emerging Markets
Website

Abbrev

JEP

Publisher

Universitas Islam Indonesia

Subject

Economics, Econometrics & Finance

Description

The Economic Journal of Emerging Markets (EJEM) is a peer-reviewed journal which provides a forum for scientific works pertaining to emerging market economies. Published every April and October, this journal welcomes original research papers on all aspects of economic development issues. The journal ...