Causality patterns between exchange rates and stock prices : evidence from daily data of eight East Asian countries.

• Main Author: Lau, Hon Wei.
• Other Authors: Nanyang Business School
• Format: Theses and Dissertations
• Language: English
• Published: 2010
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/42466
• Institution: Nanyang Technological University

The issue of exchange rate and stock price interactions has been postulated in theoretical models such as asset pricing models and portfolio balance models. Most of the empirical studies on asset pricing models and portfolio balance models utilized single-equation models to represent exchange rate a...