文章基本信息

标题：On the Causal Relationship between Stock Returns and Exchange Rates Changes for 13 Developed and Emerging Markets
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作者：Cristiana Tudor ; Cristiana Tudor ; Carmen Popescu-Dutaa 等
期刊名称：Procedia - Social and Behavioral Sciences
印刷版ISSN：1877-0428
出版年度：2012
卷号：57
页码：275-282
DOI：10.1016/j.sbspro.2012.09.1186
语种：English
出版社：Elsevier
摘要：AbstractIn this paper, we comparatively investigate the issue of Granger causality between stock prices and exchange rates movements for 13 developed and emerging financial markets during the period 1997-2012. The countries, selected considering the 2010 market capitalization criterion are: Australia, Canada, France, Hong Kong, Japan, United Kingdom, and United States (developed markets) and Brazil, China, India, Korea, Russia and South Africa (emerging markets).We find that the equity market and the evolution of the exchange rate are two interactive time series in the case of Korea and this bilateral causality is significant at 1%. Other results reveal that the evolution of the exchange rate has an impact on next month stock market index returns in the case of Brazil and Russia while the equity market is a risk factor for the exchange rate only in the case of the United Kingdom.
关键词：foreign exchange risk;stock returns;Granger causality