Penulis/Peneliti : Gerard H. Kuper (University of Groningen and the Euro Area Business Cycle Network) and Lestano (Unika Atma Jaya)
Bidang Penelitian : Stock market, foreign exchange market, currency crisis, dynamic conditional correlation, interdependence
Jurnal : Research Report
Volume : -
Tahun : 2012
This paper examines the dynamic relationship between stock returns and exchange rate changes using daily data from March 3, 1995 to December 31, 2001 for six East Asian countries: Indonesia, Malaysia, the Philippines, Singapore, South Korea and Thailand. We estimate conditional correlations using the multivariate GARCH-DCC model in order to disclose the relationship between stock markets and foreign exchange markets. The estimation results reveal time varying correlations in the pre and post Asian financial crisis periods for all countries. The correlations are stronger when the crisis intensifies. The degree of interdependence between both markets reflects a mutually markets response to shocks and changes in policy.