Exchange Rate Volatility and Equity Markets
This article provides an empirical analysis of the interaction between exchange rate fluctuations and equity prices in three European emerging financial markets, Greece, the Czech Republic, and Hungary. While theoretical considerations suggest that corporate value, especially for firms involved in international trade, should be sensitive to exchange rate fluctuations, to date there exists limited empirical work on the nature of this relationship. This is particularly true for countries with an evolving financial infrastructure such as those considered in this analysis. The article studies the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks influence these markets. It employs multivariate cointegration methodology, following Ajayi and Mougoue (1996), Abdalla and Murinde (1997), Bahmani-Oskooee and Domac (1997), and Phylaktis and Ravazzolo (1999). The results indicate that the Hungarian and Greek authorities should consider the strong link between foreign exchange and capital markets before taking any policy measures. Another result is particularly important for the eurozone in that the behavior of the Greek drachma mirrors the fluctuations of the euro in recent years. Furthermore, the Hungarian and Czech results should have important implications for the forthcoming EU enlargement.
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.
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.
Volume (Year): 41 (2003)
Issue (Month): 5 (January)
|Contact details of provider:|| Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=106044|
When requesting a correction, please mention this item's handle: RePEc:mes:eaeuec:v:41:y:2003:i:5:p:24-48. 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: (Chris Nguyen)The email address of this maintainer does not seem to be valid anymore. Please ask Chris Nguyen to update the entry or send us the correct address
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.