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• W1496317993 abstract "Structural shifts characterize the volatility of the Korean stock and foreign exchange markets during the 1997 Asian financial crisis. This paper employs an unrestricted bivariate GARCH-M model of stock market returns to investigate empirically the effects of daily currency depreciation on Korean stock market returns. The evidence shows that currency depreciation significantly affects stock market performance through three distinct channels: exchange rate depreciation adversely affects stock market returns, higher exchange rate depreciation volatility induces higher stock market returns, and exchange rate depreciation volatility raises stock market return volatility. The evidence suggests that small open stock markets are vulnerable to exchange rate movements." @default.
• W1496317993 created "2016-06-24" @default.
• W1496317993 creator A5073077180 @default.
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• W1496317993 date "2002-09-01" @default.
• W1496317993 modified "2023-09-27" @default.
• W1496317993 title "Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis" @default.
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