On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia

On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia

© 2016 by the Mathematical Association of Thailand. All rights reserved. This study analyzes the relationship among exchange rate (against US dollar), interest rate, government bond and the stock market in three ASEAN countries consisting of Thailand, Malaysia, Singapore and three East Asia countrie...

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Main Authors: Kongliang Zhu, Woraphon Yamaka, Songsak Sriboonchitta
Format: Journal
Published: 2018
Subjects:
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008325117&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55956
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Institution: Chiang Mai University
id th-cmuir.6653943832-55956
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spelling th-cmuir.6653943832-559562018-09-05T03:06:33Z On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia Kongliang Zhu Woraphon Yamaka Songsak Sriboonchitta Mathematics © 2016 by the Mathematical Association of Thailand. All rights reserved. This study analyzes the relationship among exchange rate (against US dollar), interest rate, government bond and the stock market in three ASEAN countries consisting of Thailand, Malaysia, Singapore and three East Asia countries comprising Japan, Korea, and China. The paper analyzes the question whether there exist a correlation between these variables in both high growth and low growth economy and whether there exist a similar market pattern in these countries. In this study, we estimate the correlations between these variables using the MS-VECM approach. In addition, the obtained regime probabilities allow us to detect and identify the factor or event affecting the movement of the financial markets. 2018-09-05T03:06:33Z 2018-09-05T03:06:33Z 2016-01-01 Journal 16860209 2-s2.0-85008325117 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008325117&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55956
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Mathematics
spellingShingle Mathematics
Kongliang Zhu
Woraphon Yamaka
Songsak Sriboonchitta
On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia
description © 2016 by the Mathematical Association of Thailand. All rights reserved. This study analyzes the relationship among exchange rate (against US dollar), interest rate, government bond and the stock market in three ASEAN countries consisting of Thailand, Malaysia, Singapore and three East Asia countries comprising Japan, Korea, and China. The paper analyzes the question whether there exist a correlation between these variables in both high growth and low growth economy and whether there exist a similar market pattern in these countries. In this study, we estimate the correlations between these variables using the MS-VECM approach. In addition, the obtained regime probabilities allow us to detect and identify the factor or event affecting the movement of the financial markets.
format Journal
author Kongliang Zhu
Woraphon Yamaka
Songsak Sriboonchitta
author_facet Kongliang Zhu
Woraphon Yamaka
Songsak Sriboonchitta
author_sort Kongliang Zhu
title On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia
title_short On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia
title_full On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia
title_fullStr On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia
title_full_unstemmed On the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: Evidence for Asean and East Asia
title_sort on the linkages between exchange rate movements stock, bond and interest rate market in a regime-switching model: evidence for asean and east asia
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008325117&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55956
_version_ 1681424602079690752

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