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Real exchange rate returns and real stock price returns

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  • Wong, Hock Tsen

Abstract

This study examines the relationships between real exchange rate returns and real stock price returns in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK) and Germany. The constant conditional correlation (CCC) or dynamic conditional correlation (DCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return and real stock price return are found to be negative and significant for Malaysia, Singapore, Korea and the UK whereas to be insignificant relationship for the Philippines, Japan and Germany. Generally, the exchange rate markets are important in influencing the stock markets.

Suggested Citation

  • Wong, Hock Tsen, 2017. "Real exchange rate returns and real stock price returns," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 340-352.
    • Handle: RePEc:eee:reveco:v:49:y:2017:i:c:p:340-352
    DOI: 10.1016/j.iref.2017.02.004
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    More about this item

    Keywords

    F31; G11; G15; Real exchange rate return; real stock price returnbbb; constant conditional correlation (CCC) or dynamic conditional correlation (DCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model; Granger causality;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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