Revisit the impact of exchange rate on stock market returns during the pandemic period

Hao-Wen Chang, Tsangyao Chang and Mei-Chih Wang

The North American Journal of Economics and Finance, 2024, vol. 70, issue C

Abstract: This study revisits the Grange causality between the Taiwan stock exchange weighted index and new Taiwan dollars by exploiting a novel approach, cross-quantilogram from January 30, 2020 – December 30, 2022 (a total of 722 days). Our findings show that the negative granger causality relationship from the new Taiwan dollars to the Taiwan stock market is obtained, and the persistence of this phenomena only for one day. This evidence not only supports the flow-oriented hypothesis, but also provides investors, practitioners, and government with important implications.

Keywords: Cross-Quantilogram; Stock market returns; Exchange rate; Granger causality test (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001912

DOI: 10.1016/j.najef.2023.102068

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