The Relationship between Stock Price Index and Exchange Rate in Asian Markets : A Wavelet Based Correlation and Quantile Regression Approach
We use data set of five Asian countries to estimate the frequency and quantile based relationship between stock price index and exchange rate. We apply simple correlation and wavelet based correlation and in accordance with the portfolio balance effect, we find that the two variables are negatively related at all frequencies. Moreover it is found that correlation grows stronger with higher time scales. We further apply quantile regression to observe the various relationships between stock and foreign exchange markets at different quantiles of exchange rates. The results show an interesting pattern in the relation of these two markets in Asia, which indicates that the negative relation is asymmetric across different quantiles of exchange rates and more obvious when exchange rates are extremely low or both high and low
Year of publication: |
2013
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Authors: | Dar, Arif Billah |
Other Persons: | M., Aasif (contributor) ; Bhanja, Niyati (contributor) ; Samantaraya, Amaresh (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Börsenkurs | Share price | Wechselkurs | Exchange rate | Regressionsanalyse | Regression analysis | Korrelation | Correlation | Asien | Asia | Zustandsraummodell | State space model |
Saved in:
freely available
Extent: | 1 Online-Ressource (15 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 23, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2255378 [DOI] |
Classification: | G10 - General Financial Markets. General ; G15 - International Financial Markets ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013082971