We study exchange rate and equity price dynamics, in general equilibrium, in the presence of news shocks about future productivity and monetary policy. We identify a condition under which these asset prices become more volatile without affecting the volatility of the underlying processes-a...

We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...

This paper aims to empirically investigate the effect of the euro on stock markets for Hungary, Poland and the UK, and also the co-movement of the stock prices with the euro-zone using the daily stock price indices. The result reveals that in order to develop the emerging stock markets, exchange...

In this paper we estimate the relationship between stock prices and exchange rates in EU and USA during the period of recent financial crisis (2008–2012) and compare the results with those in a previous period where stock markets were operating under normal conditions. According to the...

Purpose – The purpose of the present study is to directly examine the relationship between bilateral exchange rate and stock market index in a bivariate framework during the period of the floating exchange rate regime in Thailand. Design/methodology/approach – The monthly data used in this...

In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push†factors. To what extent do these cross-border flows and global risk...

Purpose – The purpose of this paper is to examine the relationship between stock prices and exchange rates in 12 OECD countries. Design/methodology/approach – The authors examine the nexus of stock prices and exchange rates for 12 OECD countries by using the vector error correction model,...

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

This study analyses the relationship between exchange rates and stock prices in some developed and developing countries, namely Japan, Canada, England, Switzerland, Germany, Australia and Singapore, S. Korea, and Turkey. The study examines the long-run relationship between these market variables...