EconPapers    
Economics at your fingertips  
 

Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets

Xiaobo Tang and Xingyuan Yao

Emerging Markets Review, 2018, vol. 34, issue C, 64-76

Abstract: We investigated the relationship between stock prices and exchange rates in eleven emerging markets over the period of 1988 to 2014 using cointegration methodology and multivariate granger causality tests. We find that in emerging markets, the inner-financial structure, which reflects the proportion of direct financing and indirect financing, plays an important role in the link between exchange rates and stock prices. For ten out of the eleven emerging markets studied, the financial structure had a significant impact, either through the flow channel or stock channel. The effects of financial-economic structure (FIR) were much smaller.

Keywords: Financial structure; Exchange rate; Stock price; Emerging markets; Multivariate granger causality tests (search for similar items in EconPapers)
JEL-codes: F31 F36 G12 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014117304041
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:34:y:2018:i:c:p:64-76

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2018-04-28
Handle: RePEc:eee:ememar:v:34:y:2018:i:c:p:64-76