On the relationship between Asian exchange rates and stock prices: a nonlinear analysis
Salah Nusair and
Jamal Al-Khasawneh
Economic Change and Restructuring, 2022, vol. 55, issue 1, No 12, 400 pages
Abstract:
Abstract This paper examines the relationship between stock prices and exchange rates for the ASEAN5 plus the Big3. While previous studies have assumed a symmetric relationship between stock prices and exchange rates, this paper introduces nonlinearity in the relationship between the two variables. The empirical model used is the nonlinear autoregressive distributed lag (NARDL) model, which introduces nonlinearity by differentiating between the increases and decreases in the independent variable. The results show that although both the linear ARDL model and the NARDL model suggest that the relationship between the variables is mainly short-term, the NARDL model produces relatively more evidence supporting asymmetric long-run relationship between stock prices and exchange rates.
Keywords: Exchange rates; Stock prices; Asymmetry; Nonlinear ARDL model (search for similar items in EconPapers)
JEL-codes: F31 G11 G15 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10644-021-09318-8
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