Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns
Author | : Francisco J. Climent |
Publisher | : |
Total Pages | : 35 |
Release | : 2004 |
ISBN-10 | : OCLC:1291245893 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns written by Francisco J. Climent and published by . This book was released on 2004 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent crises of the nineties have made it clear that the links between exchange rates and stock market prices are relevant factors in the transmission of the crises. Using daily exchange rates and stock index prices of the last decade (1990-1999) the interactions between the stock market and exchange rates returns of twenty-three countries of two different geographical areas (Asia and Europe) are analysed. Our results suggest that: (i) short term relationships seem to be more relevant than long term ones, (ii) it is more relevant the presence of linear and nonlinear causality in the Asian countries, and (iii) the periods of crisis affect asymmetrically the relationship between exchange rates and stock market prices.