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Exchange Rates and Stock Prices Interaction During Good and Bad Times: Evidence from the ASEAN4 Countries
Abstract
Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. The two variables are found to be significantly linked in nonc-crisis period but at all during the crisis period. The implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.
Journal Title
Applied Financial Economics
Volume
15
Issue
8
Copyright Statement
© 2005 Taylor & Francis. This is an electronic version of an article published in Applied Financial Economics, Volume 15, Issue 8, 2005, Pages 539-546. Applied Financial Economics is available online at: http://www.tandfonline.com with the open URL of your article.