Exchange rates and stock prices interaction during good and bad times: Evidence from the ASEAN4 countries

Abdulnasser Hatemi J, Eduardo Roca

Research output: Contribution to journalArticlepeer-review

38 Citations (Scopus)

Abstract

Using bootstrap causality tests with leverage adjustments, the link between exchange rates and stock prices in Malaysis, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.

Original languageEnglish
Pages (from-to)539-546
Number of pages8
JournalApplied Financial Economics
Volume15
Issue number8
DOIs
Publication statusPublished - May 1 2005
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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