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Exchange Rates and Stock Prices Interaction during Good and Bad Times
University of Skövde, School of Technology and Society.
Department of Accounting Finance and Economics, Griffith University, Nathan, QLD 4111, Australia.
2005 (English)In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 15, no 8, 539-546 p.Article in journal (Refereed) Published
Abstract [en]

Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly linked in the non-crisis period but not at all during the crisis period. The implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.

Place, publisher, year, edition, pages
Routledge, 2005. Vol. 15, no 8, 539-546 p.
Identifiers
URN: urn:nbn:se:his:diva-1631DOI: 10.1080/09603100500056635Scopus ID: 2-s2.0-18844366640OAI: oai:DiVA.org:his-1631DiVA: diva2:31907
Available from: 2007-08-03 Created: 2007-08-03 Last updated: 2016-12-23Bibliographically approved

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Hatemi-J, Abdulnasser
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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
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