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Stock prices and exchange rates in VEC model—The case of Singapore in the 1990s

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  • Ying Wu

Abstract

This paper uses an error correction model to explore 1) the asymmetric effects of four different exchange rates on Singapore stock prices and 2) the effects' sensitivity to economic instability. Both the Singapore currency appreciation against the U.S. dollar and Malaysianringgit and depreciation against the Japaneseyen and Indonesianrupiah lead to a longrun increase in stock prices for most selected periods of the 1990s; however, the effect associated with the U.S. dollar exchange rate has a sign reversal between the 1997–98 crisis period and the 1999–2000 recovery period. The influence of exchange rates on stock prices increases in a chronological order in the 1990s. Copyright Springer 2000

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  • Ying Wu, 2000. "Stock prices and exchange rates in VEC model—The case of Singapore in the 1990s," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(3), pages 260-274, September.
    • Handle: RePEc:spr:jecfin:v:24:y:2000:i:3:p:260-274
    DOI: 10.1007/BF02752607
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    Cited by:

    1. Kabir, Mustafa & Masih, Mansur, 2019. "Portfolio diversification between exchange rates and islamic stocks: evidence from the USA, Euro area, Japan and Malaysia," MPRA Paper 100574, University Library of Munich, Germany.
    2. Betül Çal, 2015. "Reconciliation of Expectancy-Valence and Expectation-Disconfirmation Paradigms in Investment Decisions: Case of Turkish Equity Investors," International Journal of Business and Social Research, LAR Center Press, vol. 5(1), pages 15-32, January.
    3. Sin-Yu Ho, 2019. "The macroeconomic determinants of stock market development in Malaysia: an empirical analysis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 21(2), pages 174-193.
    4. Zhao, Hua, 2010. "Dynamic relationship between exchange rate and stock price: Evidence from China," Research in International Business and Finance, Elsevier, vol. 24(2), pages 103-112, June.
    5. Liang, Chin-Chia & Lin, Jeng-Bau & Hsu, Hao-Cheng, 2013. "Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach," Economic Modelling, Elsevier, vol. 32(C), pages 560-563.
    6. Zheng Yang & Anthony H. Tu & Yong Zeng, 2014. "Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles," Applied Economics, Taylor & Francis Journals, vol. 46(11), pages 1184-1201, April.
    7. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2016. "Stock markets and effective exchange rates in European countries: threshold cointegration findings," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 215-274, August.
    8. Rabia Najaf & Khakan Najaf, 2016. "Dynamics of the exchange rate in Malaysia," International Journal of Academic Research in Management and Business, International Journal of Academic Research in Management and Business, vol. 1(2), pages 101-112, October.
    9. Shaobo Long & Mengxue Zhang & Keaobo Li & Shuyu Wu, 2021. "Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
    10. Gözde YILDIRIM, Zafer ADALI, 2018. "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    11. Christos Kollias & Nikolaos Mylonidis & Suzanna-Maria Paleologou, 2012. "The nexus between exchange rates and stock markets: evidence from the euro-dollar rate and composite European stock indices using rolling analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 136-147, January.
    12. Pan, Ming-Shiun & Fok, Robert Chi-Wing & Liu, Y. Angela, 2007. "Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 503-520.
    13. Betül Çal, 2015. "Reconciliation of Expectancy-Valence and Expectation-Disconfirmation Paradigms in Investment Decisions: Case of Turkish Equity Investors," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 5(1), pages 15-32, January.
    14. Ngo Thai Hung, 2022. "Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries," Global Business Review, International Management Institute, vol. 23(2), pages 259-286, April.
    15. Lin, Jeng-Bau & Fu, Shan-Heng, 2016. "Investigating the dynamic relationships between equity markets and currency markets," Journal of Business Research, Elsevier, vol. 69(6), pages 2193-2198.
    16. Sin-Yu Ho & Bernard Njindan Iyke, 2017. "Determinants of stock market development: a review of the literature," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(1), pages 143-164, March.
    17. Ho, Sin-Yu, 2017. "The Macroeconomic Determinants of Stock Market Development: Evidence from Malaysia," MPRA Paper 77232, University Library of Munich, Germany.
    18. Salah A. Nusair & Jamal A. Al-Khasawneh, 2022. "On the relationship between Asian exchange rates and stock prices: a nonlinear analysis," Economic Change and Restructuring, Springer, vol. 55(1), pages 361-400, February.
    19. Athanasios Koulakiotis & Apostolis Kiohos & Vassilios Babalos, 2015. "Exploring the interaction between stock price index and exchange rates: an asymmetric threshold approach," Applied Economics, Taylor & Francis Journals, vol. 47(13), pages 1273-1285, March.
    20. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
    21. Tshikalange, Mulanga & Bonga-Bonga, Lumengo, 2023. "The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons," MPRA Paper 118401, University Library of Munich, Germany.
    22. Van-Hop Nguyen, 2019. "Dynamics Between Exchange Rates And Stock Prices: Evidence From Developed And Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 13(1), pages 73-84.
    23. Eirini Syngelaki, 2010. "Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance," Economics Department Working Paper Series n209-10.pdf, Department of Economics, National University of Ireland - Maynooth.
    24. Chen Kuo, 2013. "Is the liberalization policy effective on improving bivariate cointegration of current accounts, foreign exchange, stock prices? Further evidence from Asian markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(4), pages 1923-1941, June.
    25. repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS

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