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The co-movement between exchange rates and stock prices in an emerging market

The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented...

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Main Authors: Syajarul Imna Mohd Amin,, Hawati Janor,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2016
Online Access:http://journalarticle.ukm.my/10823/1/16213-48604-1-PB.pdf
http://journalarticle.ukm.my/10823/
http://ejournal.ukm.my/pengurusan/issue/view/883
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spelling my-ukm.journal.108232017-10-11T08:16:20Z http://journalarticle.ukm.my/10823/ The co-movement between exchange rates and stock prices in an emerging market Syajarul Imna Mohd Amin, Hawati Janor, The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented and stock oriented hypothesis, the study applied error correction model including the Long Run Structural Model (LRSM) and variance decompositions to examine the relationship between exchange rates and stock prices. The findings suggest that the direction of causality runs from exchange rates to stock prices which are consistent with flow oriented theory. The influence of exchange rate, however, varies across industries with importing firms appearing as the most affected; indicating that Malaysian market is not homogenous. The major policy implication that can be deduced from the study is that active policy on currency management through monetary instrument (i.e. interest rates) will be helpful to stimulate the development of stock market in emerging countries like Malaysia. Penerbit Universiti Kebangsaan Malaysia 2016 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/10823/1/16213-48604-1-PB.pdf Syajarul Imna Mohd Amin, and Hawati Janor, (2016) The co-movement between exchange rates and stock prices in an emerging market. Jurnal Pengurusan, 48 . pp. 61-72. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/883
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented and stock oriented hypothesis, the study applied error correction model including the Long Run Structural Model (LRSM) and variance decompositions to examine the relationship between exchange rates and stock prices. The findings suggest that the direction of causality runs from exchange rates to stock prices which are consistent with flow oriented theory. The influence of exchange rate, however, varies across industries with importing firms appearing as the most affected; indicating that Malaysian market is not homogenous. The major policy implication that can be deduced from the study is that active policy on currency management through monetary instrument (i.e. interest rates) will be helpful to stimulate the development of stock market in emerging countries like Malaysia.
format Article
author Syajarul Imna Mohd Amin,
Hawati Janor,
spellingShingle Syajarul Imna Mohd Amin,
Hawati Janor,
The co-movement between exchange rates and stock prices in an emerging market
author_facet Syajarul Imna Mohd Amin,
Hawati Janor,
author_sort Syajarul Imna Mohd Amin,
title The co-movement between exchange rates and stock prices in an emerging market
title_short The co-movement between exchange rates and stock prices in an emerging market
title_full The co-movement between exchange rates and stock prices in an emerging market
title_fullStr The co-movement between exchange rates and stock prices in an emerging market
title_full_unstemmed The co-movement between exchange rates and stock prices in an emerging market
title_sort co-movement between exchange rates and stock prices in an emerging market
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2016
url http://journalarticle.ukm.my/10823/1/16213-48604-1-PB.pdf
http://journalarticle.ukm.my/10823/
http://ejournal.ukm.my/pengurusan/issue/view/883
_version_ 1643738265582305280
score 13.211869

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