메뉴 건너뛰기




Volumn 40, Issue 3, 2000, Pages 337-354

A bivariate causality between stock prices and exchange rates: Evidence from recent Asianflu

Author keywords

Asian Flu

Indexed keywords


EID: 0001329268     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1062-9769(00)00042-9     Document Type: Article
Times cited : (434)

References (29)
  • 1
    • 0000141739 scopus 로고    scopus 로고
    • Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Korea, Pakistan, and Philippines
    • Abdalla I.S.A., Murinde V. Exchange rate and stock price interactions in emerging financial markets evidence on India, Korea, Pakistan, and Philippines . Applied Financial Economics. 7:1997;25-35.
    • (1997) Applied Financial Economics , vol.7 , pp. 25-35
    • Abdalla, I.S.A.1    Murinde, V.2
  • 2
    • 0002855652 scopus 로고
    • Exchange rates and stock prices: A study of the US capital markets under floating exchange rates.
    • Aggarwal R. Exchange rates and stock prices a study of the US capital markets under floating exchange rates. Akron Bus Econ Rev. 12:1981;7-12.
    • (1981) Akron Bus Econ Rev , vol.12 , pp. 7-12
    • Aggarwal, R.1
  • 3
    • 0003314564 scopus 로고
    • Exchange Rates and the Valuation of Equity Shares
    • In Y. Amihud & R. Levich (Eds.) Homewood: Irwin
    • Amihud, Y. (1993). Exchange Rates and the Valuation of Equity Shares. In Y. Amihud & R. Levich (Eds.) Exchange rates and corporate performance. Homewood: Irwin.
    • (1993) Exchange Rates and Corporate Performance
    • Amihud, Y.1
  • 4
    • 0003021285 scopus 로고    scopus 로고
    • Optimal changepoint tests for normal linear regression
    • Andrews D.W.K., Lee I., Ploberger W. Optimal changepoint tests for normal linear regression. J Econometrics. 70:1996;9-38.
    • (1996) J Econometrics , vol.70 , pp. 9-38
    • Andrews, D.W.K.1    Lee, I.2    Ploberger, W.3
  • 5
    • 0002384054 scopus 로고
    • Stock prices and the effective exchange rate of the dollar
    • Bahmani-Oskooee M., Sohrabian A. Stock prices and the effective exchange rate of the dollar. Appl Econ. 24:1992;459-464.
    • (1992) Appl Econ , vol.24 , pp. 459-464
    • Bahmani-Oskooee, M.1    Sohrabian, A.2
  • 6
    • 0346906789 scopus 로고    scopus 로고
    • Estimating and testing linear models with multiple structural change
    • Bai J., Perron P. Estimating and testing linear models with multiple structural change. Econometrica. 66:(1):1998;47-78.
    • (1998) Econometrica , vol.66 , Issue.1 , pp. 47-78
    • Bai, J.1    Perron, P.2
  • 7
    • 84993914912 scopus 로고
    • Firm valuation, earnings expectations and the exchange rate exposure effect
    • Bartov E., Bondar G.M. Firm valuation, earnings expectations and the exchange rate exposure effect. J Finance. 49:1994;1755-1786.
    • (1994) J Finance , vol.49 , pp. 1755-1786
    • Bartov, E.1    Bondar, G.M.2
  • 8
    • 38249006385 scopus 로고
    • Exchange rate exposure and industry characteristics: Evidence from Canada, Japan and the US
    • Bodnar G.M., Gentry W.M. Exchange rate exposure and industry characteristics evidence from Canada, Japan and the US . J Int Money Finance. 12:1993;29-45.
    • (1993) J Int Money Finance , vol.12 , pp. 29-45
    • Bodnar, G.M.1    Gentry, W.M.2
  • 9
    • 0042447307 scopus 로고
    • Devaluation and portfolio balance
    • Boyer R.S. Devaluation and portfolio balance. Am Econ Rev. 67:1977;54-63.
    • (1977) Am Econ Rev , vol.67 , pp. 54-63
    • Boyer, R.S.1
  • 10
    • 0003145834 scopus 로고
    • Vector autoregressive models: Specification, estimation, inference, and forecasting. in M. Hashem Pesaran & M. R. Wickens (Eds.)
    • Oxford: Blackwell Publishers
    • Canova F. Vector autoregressive models specification, estimation, inference, and forecasting. In M. Hashem Pesaran & M. R. Wickens (Eds.) . Handbook of Applied Econometrics Macroeconomics . 1995;Blackwell Publishers, Oxford.
    • (1995) Handbook of Applied Econometrics: Macroeconomics
    • Canova, F.1
  • 11
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey D.A., Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. J Am Stat Assoc. 74:1979;427-431.
    • (1979) J Am Stat Assoc , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 12
    • 0040749513 scopus 로고
    • A portfolio balance model of the open economy
    • Dornbusch R. A portfolio balance model of the open economy. J Monetary Econ. 1:1975;3-20.
    • (1975) J Monetary Econ , vol.1 , pp. 3-20
    • Dornbusch, R.1
  • 13
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation, and testing
    • Engle R.F., Granger C.W.J. Cointegration and error correction representation, estimation, and testing . Econometrica. 55:1987;251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 14
    • 0011604818 scopus 로고
    • Portfolio equilibrium and the balance of payments: A monetary approach
    • Frenkd P., Rodriguez C.A. Portfolio equilibrium and the balance of payments a monetary approach . Am Econ Rev. 65:1975;674-688.
    • (1975) Am Econ Rev , vol.65 , pp. 674-688
    • Frenkd, P.1    Rodriguez, C.A.2
  • 15
    • 0030525596 scopus 로고    scopus 로고
    • An analysis of the real interest rate under regime shifts
    • Garcia R., Perron P. An analysis of the real interest rate under regime shifts. Rev Econ Stat. 78:1996;111-125.
    • (1996) Rev Econ Stat , vol.78 , pp. 111-125
    • Garcia, R.1    Perron, P.2
  • 16
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models and cross-spectral methods
    • Granger C.W.J. Investigating causal relations by econometric models and cross-spectral methods. Econometrica. 37:1969;424-439.
    • (1969) Econometrica , vol.37 , pp. 424-439
    • Granger, C.W.J.1
  • 17
    • 0008312427 scopus 로고    scopus 로고
    • Residual-based tests for cointegration in models with regime shifts
    • Gregory A.W., Hansen B.E. Residual-based tests for cointegration in models with regime shifts. Econometrics. 70:1996;99-126.
    • (1996) Econometrics , vol.70 , pp. 99-126
    • Gregory, A.W.1    Hansen, B.E.2
  • 19
    • 21844487168 scopus 로고
    • Predictable risk and returns in emerging markets
    • Harvey C.R. Predictable risk and returns in emerging markets. Rev Finan Studies. 8:(3):1995;773-816.
    • (1995) Rev Finan Studies , vol.8 , Issue.3 , pp. 773-816
    • Harvey, C.R.1
  • 20
    • 0000167005 scopus 로고
    • The exchange exposure of US multinational firm
    • Jorion P. The exchange exposure of US multinational firm. J Bus. 63:1990;331-345.
    • (1990) J Bus , vol.63 , pp. 331-345
    • Jorion, P.1
  • 21
    • 0039091534 scopus 로고    scopus 로고
    • The East Asian crisis: Macroeconomic developments and policy lessons
    • Kochhar, K., Prakash, L., & Stone, M. R. (1998). The East Asian crisis: macroeconomic developments and policy lessons. IMF Working Paper 98-128.
    • (1998) IMF Working Paper , vol.98-128
    • Kochhar, K.1    Prakash, L.2    Stone, M.R.3
  • 24
    • 0031504533 scopus 로고    scopus 로고
    • On segmented multivariate regressions
    • Liu J., Wu S., Zidek J.V. On segmented multivariate regressions. Statistica Sinica. 7:1997;497-525.
    • (1997) Statistica Sinica , vol.7 , pp. 497-525
    • Liu, J.1    Wu, S.2    Zidek, J.V.3
  • 25
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series: Some evidence and implications
    • Nelson C.R., Plosser C.I. Trends and random walks in macroeconomic time series some evidence and implications . J Monetary Econ. 10:1982;139-162.
    • (1982) J Monetary Econ , vol.10 , pp. 139-162
    • Nelson, C.R.1    Plosser, C.I.2
  • 26
    • 0000899296 scopus 로고
    • The great crash, the oil price shock, and the unit root hypothesis
    • Perron P. The great crash, the oil price shock, and the unit root hypothesis. Econometrica. 57:1989;1361-1401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 27
    • 33646790699 scopus 로고
    • Nonstationarity and the level shifts with an application to purchasing power parity
    • Perron P., Vogelsang T.J. Nonstationarity and the level shifts with an application to purchasing power parity. J Bus Econ Stat. 10:(3):1992;301-320.
    • (1992) J Bus Econ Stat , vol.10 , Issue.3 , pp. 301-320
    • Perron, P.1    Vogelsang, T.J.2
  • 28
    • 0000586282 scopus 로고
    • Volatility and price change spillover effects across the developed and emerging markets
    • Wei K.C.J., Liu Y.-J., Yang C.-C., Chaung G.-S. Volatility and price change spillover effects across the developed and emerging markets. Pacific-Basin Finan J. 3:1995;113-136.
    • (1995) Pacific-Basin Finan J , vol.3 , pp. 113-136
    • Wei, K.C.J.1    Liu, Y.-J.2    Yang, C.-C.3    Chaung, G.-S.4
  • 29
    • 28444488750 scopus 로고
    • Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis
    • Zivot E., Andrews D.W.K. Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. J Bus Econ Stat. 10:(3):1992;251-270.
    • (1992) J Bus Econ Stat , vol.10 , Issue.3 , pp. 251-270
    • Zivot, E.1    Andrews, D.W.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.