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Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2015.1084889

Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates

Yuan-Ming Lee
Kuan-Min Wang

Puni tekst: engleski, pdf (630 KB) str. 749-772 preuzimanja: 823* citiraj
APA 6th Edition
Lee, Y. i Wang, K. (2015). Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates. Economic research - Ekonomska istraživanja, 28 (1), 749-772. https://doi.org/10.1080/1331677X.2015.1084889
MLA 8th Edition
Lee, Yuan-Ming i Kuan-Min Wang. "Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates." Economic research - Ekonomska istraživanja, vol. 28, br. 1, 2015, str. 749-772. https://doi.org/10.1080/1331677X.2015.1084889. Citirano 20.01.2020.
Chicago 17th Edition
Lee, Yuan-Ming i Kuan-Min Wang. "Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates." Economic research - Ekonomska istraživanja 28, br. 1 (2015): 749-772. https://doi.org/10.1080/1331677X.2015.1084889
Harvard
Lee, Y., i Wang, K. (2015). 'Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates', Economic research - Ekonomska istraživanja, 28(1), str. 749-772. https://doi.org/10.1080/1331677X.2015.1084889
Vancouver
Lee Y, Wang K. Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates. Economic research - Ekonomska istraživanja [Internet]. 2015 [pristupljeno 20.01.2020.];28(1):749-772. https://doi.org/10.1080/1331677X.2015.1084889
IEEE
Y. Lee i K. Wang, "Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates", Economic research - Ekonomska istraživanja, vol.28, br. 1, str. 749-772, 2015. [Online]. https://doi.org/10.1080/1331677X.2015.1084889

Sažetak
This article uses quarterly data from 29 countries, during the period from the first quarter of 2000 to the second quarter of 2011, and the Pooled Mean Group (PMG) method to estimate the dynamic heterogeneous panel data model and to verify the correlation between stock prices and exchange rates. According to empirical results, the stock market and the foreign exchange market have a long-run co-integration relationship. In the short-run, the stock market and the foreign exchange market are negatively correlated, supporting the viewpoints of the portfolio approach. However, using the error-correction adjustment process, the long-run relationship between the two is positive, supporting the results of the traditional approach. This study suggests that the viewpoints of both the portfolio approach and the traditional approach can co-exist through long- and short-run adjustments.

Ključne riječi
stock price; exchange rate; pooled mean group (PMG) method; dynamic heterogeneous panel data model

Hrčak ID: 171558

URI
https://hrcak.srce.hr/171558

Posjeta: 885 *