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- W2958339862 abstract "This study examined the returns and volatility spillover effects in Asian emerging markets to investigate the dynamic interaction between exchange rate and equity price for markets in Hong Kong, Korea, Singapore, and Taiwan, employing the Granger causality test and bivariate GARCH model. The main findings of this study can be summarized as follows. First, there was no long-term equilibrium relationship between the exchange rate and equity price in the emerging Asian region. Second, we found strong causal relationship between the exchange rate changes and equity returns. This evidence supports the flow-oriented approach that the change of exchange rates leads to that of stock prices. Third, we found strong bidirectional volatility spillover between the exchange rate changes and equity returns, except in the case of Hong Kong. This study’s analysis can provide a better understanding of the linkages between the exchange rate and equity markets in emerging Asian countries and the nature of the risks that the participants in both markets have to deal with." @default.
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- W2958339862 date "2012-06-01" @default.
- W2958339862 modified "2023-10-18" @default.
- W2958339862 title "Spillover Effects between Exchange Rate and Stock Price in Asian Emerging Markets" @default.
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- W2958339862 doi "https://doi.org/10.35527/kfedoi.2012.11.2.007" @default.
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