Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates

Bibliographic Data

ID15066790
AuthorsYuan-Ming Lee (0000-0002-4054-2651, Southern Taiwan University of Science and Technology), Kang Mi Wang (0000-0002-0237-0596, Overseas Chinese University, corresponding author)
Year2015
Volume28
Issue1
Pages749-772
Publication date2015-01-01
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2015.1084889
OpenAlexW2175930655
LanguageEN
Citations received4
References cited29

This article uses quarterly data from 29 countries, during the period from the first quarter of 2000 to the second quarter of 2011, and the Pooled Mean Group (PMG) method to estimate the dynamic heterogeneous panel data model and to verify the correlation between stock prices and exchange rates. According to empirical results, the stock market and the foreign exchange market have a long-run co-integration relationship. In the short-run, the stock market and the foreign exchange market are negatively correlated, supporting the viewpoints of the portfolio approach. However, using the error-correction adjustment process, the long-run relationship between the two is positive, supporting the results of the traditional approach. This study suggests that the viewpoints of both the portfolio approach and the traditional approach can co-exist through long- and short-run adjustments

Cointegration · Econometrics · Economics · Error correction model · Financial economics · Foreign exchange · Monetary economics · Panel data · Portfolio · Short run · Stock exchange · Stock market · Viewpoints · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance

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Open DOISci-HubOpen Access