TY - JOUR
T1 - Exchange rates and stock prices interaction during good and bad times
T2 - Evidence from the ASEAN4 countries
AU - Hatemi J, Abdulnasser
AU - Roca, Eduardo
PY - 2005/5/1
Y1 - 2005/5/1
N2 - Using bootstrap causality tests with leverage adjustments, the link between exchange rates and stock prices in Malaysis, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.
AB - Using bootstrap causality tests with leverage adjustments, the link between exchange rates and stock prices in Malaysis, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.
UR - http://www.scopus.com/inward/record.url?scp=18844366640&partnerID=8YFLogxK
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U2 - 10.1080/09603100500056635
DO - 10.1080/09603100500056635
M3 - Article
AN - SCOPUS:18844366640
SN - 0960-3107
VL - 15
SP - 539
EP - 546
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 8
ER -