Economic Integration and the Currency and Equity Markets Nexus
Economic Integration and the Currency and Equity Markets Nexus
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经济一体化与货币和股票市场的关系
DOI：
10.2139/ssrn.3434379
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发表时间：
2020
期刊：
影响因子：
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通讯作者：
Kate Phylaktis
中科院分区：
文献类型：
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作者：
Muhammad Aftab;R. Ahmad;Izlin Ismail;Kate Phylaktis
本文采用线性和非线性框架，研究了经济一体化对亚洲新兴经济体货币和股票市场之间关系的影响。我们首先推导出两个市场之间的动态条件相关性，然后研究经济一体化对它们之间关系的影响。我们的主要结果是：（i）除中国外，所有国家的真实的汇率变化与股票收益差异之间都存在负相关关系，在全球金融危机期间，一些国家的这种关系变得更深;（ii）经济一体化，无论是真实的还是金融一体化，对两个市场之间的关系在短期还是长期都有不对称的影响;（iii）采用线性框架并不能体现金融一体化的影响。
The paper examines the impact of economic integration on the relationship between the currency and equity markets for a group of Asian emerging economies using both linear and nonlinear frameworks. We first derive the dynamic conditional correlations between the two markets and then examine the impact of economic integration on their relationship. Our main results are: (i) there is a negative correlation between real exchange rate changes and equity return differentials for all countries apart from China, which becomes deeper during the GFC for some of the countries; (ii) economic integration, both real and financial, has an asymmetric impact on the relationship between the two markets both in the short-run and in the long-run; and (iii) applying a linear framework does not bring out the impact of financial integration.
亚洲开发银行主编，《亚洲经济合作与一体化：进展、前景、挑战》
DOI：
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发表时间：
2005
期刊：
影响因子：
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作者：
Gotoh R.and Dumouchel;P(eds.);Masahiro KAWAI
通讯作者：
Masahiro KAWAI