The US tech pulse, stock prices, and exchange rate dynamics: Evidence from Asian developing countries

Akihiro Kubo

Journal of Asian Economics, 2012, vol. 23, issue 6, 680-687

Abstract: This paper empirically investigates the economic relationship between the US and Asian economies after the Asian currency crisis in Indonesia, Korea, the Philippines, Singapore, and Thailand, employing a cointegration methodology. Based on the empirical results, we conclude that the interdependence between the US and these Asian economies has intensified especially in information technology industries, and that their stock markets are integrated. On the other hand, the relationship between the domestic stock and foreign exchange markets is found to have a negative sign, interpreted by portfolio balance approach, in Indonesia, Korea, and Thailand. This result implies that the exchange rates of these countries are relatively vulnerable to fluctuation in international portfolio investments.

Keywords: Information Technology industry; Stock market; Exchange rate dynamics; Asian developing countries (search for similar items in EconPapers)
JEL-codes: C32 F31 F36 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:23:y:2012:i:6:p:680-687

DOI: 10.1016/j.asieco.2012.06.007

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