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The effects of currency depreciation on stock returns: evidence from five East Asian economies

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  • Wenshwo Fang

Abstract

By using stock daily data for Thailand and the four Asian Tigers, this paper provides clear evidence that currency depreciation affects adversely stock returns and/or increases market volatility over the period of the Asian crisis 1997-1999. The implication is that international investors and fund managers who plan to invest in the East Asian newly emerging stock markets have to evaluate the stability of the foreign exchange markets before taking action.

Suggested Citation

  • Wenshwo Fang, 2002. "The effects of currency depreciation on stock returns: evidence from five East Asian economies," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 195-199.
  • Handle: RePEc:taf:apeclt:v:9:y:2002:i:3:p:195-199
    DOI: 10.1080/13504850110054931
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    Citations

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    Cited by:

    1. Wang, Lihong, 2014. "Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 182-203.
    2. 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.
    3. Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
    4. 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.
    5. Dejan Živkov & Jovan Njegić & Vera Mirović, 2016. "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, University of Economics, Prague, vol. 2016(6), pages 686-705.
    6. repec:ods:journl:v:6:y:2017:i:3:p:164-169 is not listed on IDEAS
    7. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
    8. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia.
    9. Dejan Živkov & Jovan Njegić & Vera Mirović, . "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-20.
    10. repec:ebl:ecbull:v:15:y:2005:i:6:p:1-9 is not listed on IDEAS
    11. Rodolfo Aquino, 2006. "A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 353-362.
    12. repec:fis:journl:180105 is not listed on IDEAS

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