학술논문
Linkage Between Exchange Rate and Stock Prices: Evidence from Vietnam
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- 영문명
- 발행기관
- 한국유통과학회
- 저자명
- Van Cuong DANG Thi Lanh LE Quang Khai NGUYEN Duc Quang TRAN
- 간행물 정보
- 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.12, 95~107쪽, 전체 13쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2020.12.30
무료
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국문 초록
영문 초록
The study investigates the asymmetric effect of exchange rate changes on stock prices in Vietnam. We use the nonlinear autoregressivedistributed lag (ARDL) analysis for monthly data from 2001:01 to 2018:05, based on VN-Index stock price collected from Ho Chi Minh Stock Exchange (HOSE); the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is estimated both in the long-run relationship and the short-run error correction mechanism. The research results show that the effect of exchange rate changes on stock prices is asymmetrical, both in the short run and in long run. Accordingly, the stock prices react to different levels to depreciation and appreciation. However, the currency appreciation affects a stronger transmission of stock prices when compared to the long-run currency depreciation. In the absence of asymmetry, the exchange rate only has a short-run impact on stock prices. This implies a symmetrical assumption that underestimates the impact of exchange rate changes on stock prices in Vietnam. This study points to an important implication for regulators in Vietnam. They should consider the relationship between exchange rate changes and stock prices in both the long run and the short run to manage the stock and foreign exchange market.
목차
1. Introduction
2. Literature Review
3. Methods and Data
4. Empirical Results
5. Conclusion
References
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