 Investigating the dynamic relationships between equity markets and currency marketsJeng-Bau Lin and Shan-Heng Fu Journal of Business Research, 2016, vol. 69, issue 6, 2193-2198 Abstract: This study investigates the panel dynamic relationships between equity markets and currency markets for the four Asian economies over the period January 2001–December 2013 using a panel Granger-causality approach. Over the past 20years, Japan, South Korea, Singapore, and Taiwan have integrated themselves together with a high degree of globalization in economic and financial relations. Evidences support the flow-oriented hypothesis of exchange rates that indicates that exchange rates influence stock prices positively via the current account for Japan, and document the stock-oriented hypothesis of exchange rates that states that exchange rates affect stock prices negatively via the capital account for the other three countries. The findings for the short-run and long-run panel Granger-causality tests reveal that bi-directional causality exists between the two variables. The empirical results provide important policy implications for the monetary authorities and the mutual fund managers in the equity markets. Keywords: Current account; Capital account; Panel cointegration; Panel DOLS; Panel Granger causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbrese:v:69:y:2016:i:6:p:2193-2198 DOI: 10.1016/j.jbusres.2015.12.029 Access Statistics for this article Journal of Business Research is currently edited by A. G. Woodside More articles in Journal of Business Research from Elsevier |
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