THE LINKAGE BETWEEN EXCHANGE RATES AND STOCK PRICES: EVIDENCE FROM VIETNAM
Journal Title: Asian Economic and Financial Review - Year 2016, Vol 6, Issue 7
Abstract
This study researches the causal relationship between exchange rates and stock prices during pre and post financial crisis in Viet Nam, based on the collected daily data from 2005 to 2015. The paper investigates the long-run relationship between above-mentioned two variables using Johansen and Juselius (1990) co-integration test and short - run dynamic causal relationships by using Toda and Yamamoto (1995) procedure. Variance decompositions (VDCs) analysis expresses the predictable portion of exchange rates (stock prices) changes on the forecast error variance in stock prices (exchange rates). In this study, it was found that exchange rates and stock prices were non-normally distributed. Through unit root test, it was also established that both the time series, exchange rates and stock prices, were stationary at the level form itself. Further investigation into the causal relationship between the two variables using Granger Causality test not only finds a unidirectional causal relationship from stock prices to exchange rates, but also supports the traditional approach in post crisis case.
Authors and Affiliations
Tran Quang Huy| Faculty of Business Administration, Thai Nguyen University of Economics and Business Administration, Viet Nam
Keywords
Related Articles
- EP ID EP2283
- DOI -
- Views 492
- Downloads 39
INVESTIGATING THE INTERACTION BETWEEN FOREIGN DIRECT INVESTMENT AND HUMAN CAPITAL ON GROWTH: EVIDENCE FROM NIGERIA
The objectives of this study is to empirically examine the relationship between FDI, HCD and Economic growth in Nigeria and to ascertain the long run sustainability of FDI- induced growth process..Our result show that FD...
A COINTEGRATION TEST FOR TURKISH FOREIGN EXCHANGE MARKET EFFICIENCY
This study examines the within-country market efficiency of the Turkish foreign exchange markets on the basis of the forward rate unbiasedness hypothesis, in case of the Turkish lira/US dollar and the Turkish lira/Euro f...
ECONOMICS IMPERIALISM: SWOT ANALYSIS
It?s been a quarter of century since one of the founders of economic imperialism was crowned with glory and awarded for the establishing of hitherto non-conventional economic approach. Application of analytical tools of...
THE TREND ANALYSIS OF ISLAMIZATION IN MALAYSIA USING ISLAMIZATION INDEX AS INDICATOR
This paper empirically analyses the trend of Islamization in Malaysia using the Islamization Index as an indicator to determine whether the time series dataset of the Islamization index possess deterministic trends or st...
FINANCIAL AND NON FINANCIAL DETERMINANTS OF CORPORATE SOCIAL RESPONSIBILITY
Accounting, economic, social and political, and slack resources theories provide different perspectives to addressing corporate social responsibility in relation to disclosure, corporate financial performance e.t.c. This...