 Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approachChin-Chia Liang, Jeng-Bau Lin and Hao-Cheng Hsu Economic Modelling, 2013, vol. 32, issue C, 560-563 Abstract: We revisit the relationships between the equity market and currency market in ASEAN-5 using the panel Granger causality and panel DOLS methodologies. Our results support the “stock-oriented” hypothesis of exchange rates proposed by Branson (1983) and Frankel (1983), which states that exchange rates impact stock prices negatively via capital mobility. Meanwhile, on a per country and panel basis, the testing results using the DOLS approach match those of the short-run and long-run causal relations running from exchange rates to stock prices. These findings suggest that the monetary authorities for the ASEAN-5 should keep allowing their currency values of being determined by the economic fundamentals instead of interrupting them only in order to stimulate export growth unless a great deal of short-term speculative funds (hot money) flow into the currency markets. Keywords: ASEAN-5; Stock-oriented hypothesis; Capital mobility; Economic fundamentals; Panel Granger-causality; Dynamic ordinary least squares (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:ecmode:v:32:y:2013:i:c:p:560-563 DOI: 10.1016/j.econmod.2013.03.001 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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