The co-movement between exchange rates and stock prices in an emerging market

The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented...

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Main Authors:	Syajarul Imna Mohd Amin, Hawati Janor
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2016
Online Access:	http://journalarticle.ukm.my/10823/ http://journalarticle.ukm.my/10823/ http://journalarticle.ukm.my/10823/1/16213-48604-1-PB.pdf

id	ukm-10823
recordtype	eprints
spelling	ukm-108232017-10-11T08:16:20Z http://journalarticle.ukm.my/10823/ The co-movement between exchange rates and stock prices in an emerging market Syajarul Imna Mohd Amin, Hawati Janor, The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented and stock oriented hypothesis, the study applied error correction model including the Long Run Structural Model (LRSM) and variance decompositions to examine the relationship between exchange rates and stock prices. The findings suggest that the direction of causality runs from exchange rates to stock prices which are consistent with flow oriented theory. The influence of exchange rate, however, varies across industries with importing firms appearing as the most affected; indicating that Malaysian market is not homogenous. The major policy implication that can be deduced from the study is that active policy on currency management through monetary instrument (i.e. interest rates) will be helpful to stimulate the development of stock market in emerging countries like Malaysia. Penerbit Universiti Kebangsaan Malaysia 2016 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/10823/1/16213-48604-1-PB.pdf Syajarul Imna Mohd Amin, and Hawati Janor, (2016) The co-movement between exchange rates and stock prices in an emerging market. Jurnal Pengurusan, 48 . pp. 61-72. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/883
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented and stock oriented hypothesis, the study applied error correction model including the Long Run Structural Model (LRSM) and variance decompositions to examine the relationship between exchange rates and stock prices. The findings suggest that the direction of causality runs from exchange rates to stock prices which are consistent with flow oriented theory. The influence of exchange rate, however, varies across industries with importing firms appearing as the most affected; indicating that Malaysian market is not homogenous. The major policy implication that can be deduced from the study is that active policy on currency management through monetary instrument (i.e. interest rates) will be helpful to stimulate the development of stock market in emerging countries like Malaysia.
format	Article
author	Syajarul Imna Mohd Amin, Hawati Janor,
spellingShingle	Syajarul Imna Mohd Amin, Hawati Janor, The co-movement between exchange rates and stock prices in an emerging market
author_facet	Syajarul Imna Mohd Amin, Hawati Janor,
author_sort	Syajarul Imna Mohd Amin,
title	The co-movement between exchange rates and stock prices in an emerging market
title_short	The co-movement between exchange rates and stock prices in an emerging market
title_full	The co-movement between exchange rates and stock prices in an emerging market
title_fullStr	The co-movement between exchange rates and stock prices in an emerging market
title_full_unstemmed	The co-movement between exchange rates and stock prices in an emerging market
title_sort	co-movement between exchange rates and stock prices in an emerging market
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2016
url	http://journalarticle.ukm.my/10823/ http://journalarticle.ukm.my/10823/ http://journalarticle.ukm.my/10823/1/16213-48604-1-PB.pdf
first_indexed	2023-09-18T19:58:31Z
last_indexed	2023-09-18T19:58:31Z
_version_	1777406691617275904

The co-movement between exchange rates and stock prices in an emerging market

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