Dependence Structures of Equity and Foreign Exchange Markets:Evidence from Industrialized Asian Econ

• 作 者: Robin Luo Thi Kim Anh Nguyen
• 机 构: School of Economics and Finance,La Trobe University,Kingsbury Drive,Bundoora,Vic 3086,Australia
• 出 处: 中央财经大学金融学院
• 发表日期: 2009年12期
• 关键词: co-movement dependence structure cointegration stock market foreign exchange mar

　　The word economy has experienced a number of financial crises over the past 15years.They placed significant impacts on various countries directly or indirectly.This paper attempts to explain the reasons causing the co-movement of foreign exchange market with the stock market in the industrialized Asian economies,including Japan,Korea,and singapore.We find that the relationship is stronger during the crisis period.Johansen cointegration test result also supports the strong linkage in trading activities between industrialized Asian economies and U.S.