Do US macroeconomic conditions affect Asian stock markets?
AbstractThe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 23 (2012)
Issue (Month): 6 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/asieco
Interest rate; Exchange rate; Financial crisis; Depreciation;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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