Exchange rates and stock prices interaction during good and bad times: Evidence from the ASEAN4 countries

Abdulnasser Hatemi J; Eduardo Roca

doi:10.1080/09603100500056635

Exchange rates and stock prices interaction during good and bad times: Evidence from the ASEAN4 countries

Abdulnasser Hatemi J
, Eduardo Roca

Research output: Contribution to journal › Article › peer-review

42 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	539-546
Number of pages	8
Journal	Applied Financial Economics
Volume	15
Issue number	8
DOIs	https://doi.org/10.1080/09603100500056635
Publication status	Published - May 1 2005
Externally published	Yes

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1080/09603100500056635

Cite this

@article{15d73d1c379d48529f32e44b9567e0cc,

title = "Exchange rates and stock prices interaction during good and bad times: Evidence from the ASEAN4 countries",

abstract = "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.",

author = "\{Hatemi J\}, Abdulnasser and Eduardo Roca",

year = "2005",

month = may,

day = "1",

doi = "10.1080/09603100500056635",

language = "English",

volume = "15",

pages = "539--546",

journal = "Applied Financial Economics",

issn = "0960-3107",

publisher = "Taylor and Francis Ltd.",

number = "8",

}

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 - https://www.scopus.com/pages/publications/18844366640

UR - https://www.scopus.com/pages/publications/18844366640#tab=citedBy

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 -

Exchange rates and stock prices interaction during good and bad times: Evidence from the ASEAN4 countries

Abstract

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this