金融學(xué)專業(yè)外文翻譯---巴西股票價(jià)格與匯率之間關(guān)系的實(shí)證分析-金融財(cái)政-全文預(yù)覽
【正文】 stic properties of the US stock index and foreign exchange rates are not related, since the null of no cointegration could not be rejected, even when dividing the sample into subperiods. Ajayi and Mougou′e [3] analyzed the relationship between stock prices and exchange rates in eight advanced economies (Canada, France, Germany, Italy, Japan, the Netherlands, the United Kingdom and the United States).4 Using an error correction model, they found significant short and long run feedback between these two variables. Abdalla and Murinde [1] investigated interactions between exchange rates and stock prices in India, Korea, Pakistan, and the Philippines. Using monthly observations in the period from January 1985 to July 1994. Within an error correction model framework, they found evidence of unidirectional causality from exchange rates to stock prices in all countries, except for the Philippines. There, they found that stock prices Granger influence exchange rates. Ong and Izan [28] used weekly data of “spot and 90day forward” exchange rates for Australia and the G7 countries and “spot and 90day forward” futures prices for equity prices in Australia, Britain, France and the US, during the period from October 1986 to December 1992. They were unable to find a significant relationship between equity and exchange rate markets. They suggested that the use of daily data (or even intraday) could improve their empirical results. Ajayi et al. [2] used daily data and reported that causality runs from the stock market to the currency market in Indonesia and the Philippines, while in Korea it runs in the opposite direction. No significant causal relation is observed in They use the Samp。本科畢業(yè)論文外文原文 外文題目： THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL 出 處： International Journal of Theoretical and Applied Finance 作 者： BENJAMIN M. TABAK This paper studies the dynamic relationship between stock prices and exchange rates in the Brazilian economy. We use recently developed unit root and cointegration tests, which allow endogenous breaks, to test for a long run relationship between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear dependence. We found that there is no long run relationship, but there is linear Granger causality from stock prices to exchange rates, in line with the portfolio approach: stock prices lead exchange rates with a negative correlation. Furthermore, we found evidence of nonlinear Granger causality from exchange rates to stock prices, in line with the traditional approach: exchange rates lead stock prices. We believe these findings have practical applications for international investors and in the design of exchange rate policies. Keywords: Stock prices。 nonlinear causality. 1. Introduction The literature that studies the relationship between exchange rates and stock prices is far from conclusive
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