The US tech pulse, stock prices, and exchange rate dynamics: Evidence from Asian developing countries
AbstractThis paper empirically investigates the economic relationship between the US and Asian economies after the Asian currency crisis in Indonesia, Korea, the Philippines, Singapore, and Thailand, employing a cointegration methodology. Based on the empirical results, we conclude that the interdependence between the US and these Asian economies has intensified especially in information technology industries, and that their stock markets are integrated. On the other hand, the relationship between the domestic stock and foreign exchange markets is found to have a negative sign, interpreted by portfolio balance approach, in Indonesia, Korea, and Thailand. This result implies that the exchange rates of these countries are relatively vulnerable to fluctuation in international portfolio investments.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 23 (2012)
Issue (Month): 6 ()
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Web page: http://www.elsevier.com/locate/asieco
Information Technology industry; Stock market; Exchange rate dynamics; Asian developing countries;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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