The relationship between stock returns and the foreign exchange rate
The ARDL approach
Bibliographic Data
| ID | 12549857 |
|---|---|
| Authors | Gary Tian (0000-0002-7638-7606, University of Wollongong, corresponding author), Shiguang Ma (0000-0003-4510-4236, University of Wollongong) |
| Year | 2010 |
| Volume | 15 |
| Issue | 4 |
| Pages | 490-508 |
| Publication date | 2010-11-04 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of the Asia Pacific Economy (JOURNAL) |
| Journal identifiers | ISSN: 1354-7860 • E-ISSN: 1469-9648 |
| Publisher | Routledge (PUBLISHER • GB) |
| DOI | 10.1080/13547860.2010.516171 |
| OpenAlex | W1990929956 |
| Language | EN |
| Citations received | 4 |
| References cited | 41 |
This study employs the ARDL cointegration approach in order to examine the impact of financial liberalization on the relationships between the exchange rate and share market performance in China. We discovered that cointegration has existed between the Shanghai A Share Index and the exchange rate of the renminbi against the US dollar and Hong Kong dollar since 2005, when the Chinese exchange rate regime became a flexible, managed, floating system. We found that both the exchange rate and the money supply influenced stock price, with a positive correlation. We further show that the money supply increase was largely caused by a huge ‘hot money’ inflow from other countries in recent years. After local currency appreciation, hot money, followed by the money supply increase, pushed the market into a high level, based on expectations regarding the local currency's further appreciation
China · Cointegration · Currency · Econometrics · Economics · Exchange rate · Interest rate · Liberian dollar · Monetary economics · Money supply · Order (exchange · Renminbi · Global Financial Crisis and Policies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Developments in the Study of Cointegrated Economic Variables
Economic Forces and the Stock Market
An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
Common risk factors in the returns on stocks and bonds
The saving and investment nexus for China
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Efficient Tests for an Autoregressive Unit Root
Bounds testing approaches to the analysis of level relationships
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
| Citations per year | 0.27 |
|---|---|
| Citation span | 2011 - 2025 (15) |
| Highly cited | No |