Arbeitspapier
Stock market co-movement and exchange rate flexibility: Experience of the Republic of Korea
This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest parity condition. Estimation of the stock return parity condition shows that it fails to hold in the Republic of Korea largely because of co-movement in the Republic of Korea and United States stock markets. Three global factors are largely responsible for the co-movement: global financial integration, which may be generating a global financial cycle; acceptance of insensitivity of exchange risk by global equity investors; and domestic investors imitating the trading behavior of foreign equity investors.
- Sprache
-
Englisch
- Erschienen in
-
Series: ADBI Working Paper ; No. 479
- Klassifikation
-
Wirtschaft
Foreign Exchange
Economic Impacts of Globalization: Finance
International Financial Markets
- Thema
-
free floating
uncovered interest rate and stock return parity conditions
currency risk
co-movement of stock prices
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Park, Yung Chul
Park, Hail
- Ereignis
-
Veröffentlichung
- (wer)
-
Asian Development Bank Institute (ADBI)
- (wo)
-
Tokyo
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Park, Yung Chul
- Park, Hail
- Asian Development Bank Institute (ADBI)
Entstanden
- 2014
Ähnliche Objekte (12)
Investment Shocks and Macroeconomic Co-Movement
Correlation, price discovery and co-movement of ABS and equity
Cross-country co-movement of real and nominal term structures
Estimating inflation expectation co-movement across countries
What explains international interest rate co-movement?
Modeling and forecasting the co-movement of international yield curve drivers
Co-movement of cryptocurrencies and African stock returns: A multiresolution analysis
Tail co-movement in inflation expectations as an indicator of anchoring
Wage Dynamics in Bulgaria: Co-movement and Causality
Commodity price co-movement and global economic activity
Wage Dynamics and Bulgaria: Co-movement and Causality
Time-scale analysis of sovereign bonds market co-movement in the EU
Investment Shocks and Macroeconomic Co-Movement
Correlation, price discovery and co-movement of ABS and equity
Cross-country co-movement of real and nominal term structures
Estimating inflation expectation co-movement across countries
What explains international interest rate co-movement?
Modeling and forecasting the co-movement of international yield curve drivers
Co-movement of cryptocurrencies and African stock returns: A multiresolution analysis
Tail co-movement in inflation expectations as an indicator of anchoring
Wage Dynamics in Bulgaria: Co-movement and Causality
Commodity price co-movement and global economic activity
Wage Dynamics and Bulgaria: Co-movement and Causality
Time-scale analysis of sovereign bonds market co-movement in the EU
Investment Shocks and Macroeconomic Co-Movement
Correlation, price discovery and co-movement of ABS and equity
Cross-country co-movement of real and nominal term structures
Estimating inflation expectation co-movement across countries
What explains international interest rate co-movement?
Modeling and forecasting the co-movement of international yield curve drivers
Co-movement of cryptocurrencies and African stock returns: A multiresolution analysis
Tail co-movement in inflation expectations as an indicator of anchoring
Wage Dynamics in Bulgaria: Co-movement and Causality
Commodity price co-movement and global economic activity
Wage Dynamics and Bulgaria: Co-movement and Causality