DYNAMIC LINKAGES BETWEEN EXCHANGE RATES AND STOCK PRICES: EVIDENCE FROM EAST ASIAN MARKETS

By Ming-Shiun Pan, R. Fok, Y. Liu. 2007

384 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/10c0998bb26ecee966d6e1bc094d5a07b5f7a4a7

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Citations in the corpus

Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight (2017, background): “2002; Pan et al. 2007). Wang et al. (2010) use daily data to explore the impacts of fluctuations in crude oil price, gold price, and US dollar on the stock price indices of the United States, Germany, Japan, Taiwan, and China respectively.”
Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2014, methodology): “Pan et al (2007) also examine the dynamic linkages between stock and foreign exchange markets for some Asian countries (Hong Kong, South Korea, and Singapore).”
Renewable energy policies and contradictions in causality: A case of Next 11 countries (2018, methodology): “non-parametric causality tests might not provide expected results in case of low frequency data, which is mostly used in the form of annual data (Bahmani-Oskooee, 1993; Pan et al., 2007; Fernandez-Perez et al., 2016).”
A Study of Exchange Rates Movement and Stock Market Volatility (2010, neutral): “Pan et al. (2007) employed data of seven East Asian countries over the period 1988 to 1998, proving bidirectional causal relation for Hong Kong before the 1997 Asian crises and unidirectional causal relation from exchange rates and stock prices for Japan, Malaysia, and Thailand and from stock…”
Policy uncertainty, derivatives use, and firm-level FDI (2017, background): “Regarding risk exposure, Pan, Fok, and Liu (2007) show that exposure to foreign exchange risk by Asia–Pacific firms appears to be much more widespread than is typical for the large, Western industrialized economies.”
A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach (2013, neutral): “The findings are moving on the same wavelength with Pan et al. (2007) claiming that the outlined theories cannot properly explain the relationship between stock prices and exchange rates.”
Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis (2016, background): “Pan et al. (2007) show mixed relationships between exchange rates and stock prices in seven East Asia countries before the Asian financial crisis, but during the Asian crisis, exchange rates significantly impact stock prices.”
Do exchange rate changes have symmetric or asymmetric effects on stock prices (2016, neutral): “For Hong Kong, Japan, Malaysia and Thailand, they found a significant causal relationship from exchange rates to stock prices before the financial crisis and during the financial crisis period there was causal relationship from exchange rates to stock prices for all the countries except for Malaysia”