Advanced Search
MyIDEAS: Login to save this article or follow this journal

Do US macroeconomic conditions affect Asian stock markets?

Contents:

Author Info

  • Narayan, Seema
  • Narayan, Paresh Kumar

Abstract

The aim of this paper is to examine the impact of US macroeconomic conditions—namely, exchange rate and short-term interest rate—on the stock markets of seven Asian countries (China, India, the Philippines, Malaysia, Singapore, Thailand, and South Korea). We use daily data for the period 2000–2010. We divide the sample into a pre-crisis period (pre-August 2007) and a crisis period (post-August 2007). We find that, in the short-run, the interest rate has a statistically insignificant effect on returns for all countries, except for the Philippines in the crisis period. On the other hand, except for China, regardless of the crisis, depreciation has a statistically significant and negative effect on returns. When the long-run relationship among the variables is considered, for five of the seven countries (India, Malaysia, the Philippines, Singapore, and Thailand), while there is cointegration in the pre-crisis period, in the crisis period there is no such relationship, implying that the financial crisis has actually weakened the link between stock prices and economic fundamentals.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S1049007812000486
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 23 (2012)
Issue (Month): 6 ()
Pages: 669-679

as in new window
Handle: RePEc:eee:asieco:v:23:y:2012:i:6:p:669-679

Contact details of provider:
Web page: http://www.elsevier.com/locate/asieco

Related research

Keywords: Interest rate; Exchange rate; Financial crisis; Depreciation;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. King, Robert G. & Levine, Ross, 1993. "Finance, entrepreneurship and growth: Theory and evidence," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 513-542, December.
  2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, October.
  3. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
  4. Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Scheduled domestic and US macroeconomic news and stock valuation in Europe," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 201-215, July.
  5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  6. Narayan, Paresh Kumar & Narayan, Seema, 2010. "Modelling the impact of oil prices on Vietnam's stock prices," Applied Energy, Elsevier, vol. 87(1), pages 356-361, January.
  7. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
  8. Granger, Clive W.J. & Huang, Bwo-Nung & Yang, Chin W., 1998. "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu," University of California at San Diego, Economics Working Paper Series qt9bk607p6, Department of Economics, UC San Diego.
  9. Hwahsin Cheng & John L. Glascock, 2006. "Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 297-315.
  10. Becker, Kent G & Finnerty, Joseph E & Kopecky, Kenneth J, 1995. "Domestic macroeconomic news and foreign interest rates," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 763-783, December.
  11. Rohan Christie-David & Mukesh Chaudhry & Walayet Khan, 2002. "News Releases, Market Integration, and Market Leadership," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(2), pages 223-245.
  12. Ray Yeu-Tien Chou & Victor Ng & Lynn K. Pi, 1994. "Cointegration of International Stock Market Indices," IMF Working Papers 94/94, International Monetary Fund.
  13. Markowitz, Harry M, 1991. " Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-77, June.
  14. Liu, Wan-Chun & Hsu, Chen-Min, 2006. "The role of financial development in economic growth: The experiences of Taiwan, Korea, and Japan," Journal of Asian Economics, Elsevier, vol. 17(4), pages 667-690, October.
  15. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
  16. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
  17. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Anna Créti & Zied Ftiti & Khaleb Guesmi, 2013. "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," Working Papers hal-00822070, HAL.
  2. Anna Creti & Zied Ftiti & Khaled Guesmi, 2014. "Oil price impact on financial markets:," Working Papers 2014-435, Department of Research, Ipag Business School.
  3. Kannan Thuraisamy & Susan S Sharma & Huson A Ahmed, . "The relationship between Asian equity and commodity futures markets," Financial Econometics Series 2012_07, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  4. Creti, Anna & Ftiti, Zied & Guesmi, Khaled, 2014. "Oil price and financial markets: Multivariate dynamic frequency analysis," Economics Papers from University Paris Dauphine 123456789/13716, Paris Dauphine University.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:asieco:v:23:y:2012:i:6:p:669-679. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.