Dynamic relationship between stock prices and exchange rates for G-7 countries

By Chien-chung Nieh, Cheng-Few Lee. 2001

492 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/57c7675900db82a3925fa0d63d04499e20272a28

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Citations in the corpus

Bivariate causality between exchange rates and stock prices in South Asia (2003, background): “First, the relationship between stock prices and exchange rates is often used to predict future trends in each other by fundamental investors (Nieh and Lee, 2001).”
Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Three South Asian Countries (2009, background): “ Nieh and Lee (2001) supported the findings of Bahmani-Oskooee and Sohrabian (1992) and reported no long-run significant relationship between stock prices and exchange rates in the G-7 countries.”
A distance-based fuzzy time series model for exchange rates forecasting (2009, background): “For example, government policies, expectations of the investors, and the stock indices are all shown to affect the fluctuation of the exchange rate (Benjamin, 2006; Nieh & Lee, 2001).”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, result): “These results reflect cross-country differences in terms of policies, cycle phases, expectations, the degree of liberalisation, and capital controls (Nieh and Lee, 2001).”
Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets (2014, background): “See also Bahmani-Oskooee and Sohrabian (1992) and Nieh and Lee (2001) for the cointegration approach.”
A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach (2013, unknown): “The non-significance of long-run relationship between the two markets is confirmed by other studies (Granger et al., 2000; Nieh and Lee, 2001; Smyth and Nandha, 2003; Kollias et al., 2010) that use cointegration tests.”
A Study of Exchange Rates Movement and Stock Market Volatility (2010, unknown): “Also, fundamentalist investors have taken into account these relationships to predict the future trends for each other (Phylaktis and Ravazzolo, 2005; Mishra et al., 2007; Nieh and Lee, 2001; Stavárek, 2005).”
On the relation between stock prices and exchange rates: a review article (2015, methodology): “For seven Asian countries (Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan and Thailand), Pan et al. (2007) applied the methods of Granger causality and Johansen cointegration test to examine the linkages between stock prices and exchange rates using daily data from 1988 to 1998.”
Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan (2009, background): “(1993) found weak bi-directional causality between stock prices and exchange rates, while Bahmani-Oskooee and Sohrabian (1992) and Nieh and Lee (2001) argued for a bi-directional causality between stock prices and exchange rates in the short run, but not in the long run.”
Do exchange rate changes have symmetric or asymmetric effects on stock prices (2016, unknown): “Nieh and Lee (2001) used daily data from the period 1993-1996 for the G-7 countries (Canada, France, Germany, Italy, Japan, UK and USA) and concluded that in the long run, there was no relationship between the two variables, a conclusion similar to the long run findings of BahmaniOskooee and…”
Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries (2004, background): “In contrast with Bahmani-Oskooee and Sohrabian (1992) and Ajayi and Mougoue (1996), our result is consistent with Granger et al. (2000) and Nieh and Lee (2001) that there is no lung-run significant relationship between stock prices and exchange rates.”