Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Nepal

• 영문명: Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Nepal
• 발행기관: 국제지역학회
• 저자명: Do-Hyun Kim Shyam Subedi Sang-Kuck Chung
• 간행물 정보: 『국제지역연구』제20권 제3호, 123~144쪽, 전체 22쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.09.30

영문 초록

This paper investigates the linkages between returns both in foreign exchange and stock markets, and uncertainties in two markets using daily data for the period of 16 July 2004 to 30 June 2014 in Nepalese economy. Four hypotheses are tested about how uncertainty influences the stock index and exchange rates. From the empirical results, a bivariate EGARCH-M model is the best to explain the volatility in the two markets. There is a negative relationship from the exchange rates return to stock price return. Empirical results do provide strong empirical confirmation that negative effect of stock index uncertainty and positive effect of exchange rates uncertainty on average stock index. GARCH-in-mean variables in AR modeling are significant and shows that there is positive effect of exchange rates uncertainty and negative effect of stock index uncertainty on average exchange rates. Stock index shocks have longer lived effects on uncertainty in the stock market than exchange rates shock have on uncertainly in the foreign exchange market. The effect of the last period’s shock, volatility is more sensitive to its own lagged values.

목차

Ⅰ. Introduction

Ⅱ. Statistical models

Ⅲ. Preliminary data analysis

Ⅳ. Empirical analysis

Ⅴ. Conclusion

References

키워드

Conditional Mean Models Conditional Correlation GARCH Models Univariate GARCH Models Bivariate GARCH Models