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(編輯修改稿)
2025-06-25 14:54 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 agged, and not contemporaneous, changes in US dollar exchange rates, explain firms current stock returns. Ratner [29] applied cointegration analysis to test whether US dollar exchange rates affect US stock prices, using monthly data from March 1973 to December 1989. His results indicated that the underlying longterm stochastic 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。P 500, the effective exchange rate, and monthly data over the period from July 1973 to December 1988. Their sample runs from April 1985 to July 1991. Hong Kong, Singapore, Thailand, or Malaysia. However, in Taiwan, they detected bidirectional causality or feedback. Furthermore, contemporaneous adjustments are significant in only three of these eight countries. In developed countries, they found significant unidirectional causality from stock to currency markets and significantcontemporaneous effects. Granger et al. [17] found strong feedback relations between Hong Kong, Malaysia, Thailand and Taiwan. They used daily data and their sample period started January 3, 1986 and finished June 16, 1998. Furthermore, they found that the results are in line with the traditional approach in Korea, while they agree with the portfolio approach in the Philippines. Nieh and Lee [26] found no significant longrun relationship between stock prices and exchange rates in G7 countries, using both the EngleGranger and Johansen
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