Artikel
Forex and financial markets dynamics: A case of China and ASEAN
The paper aims to investigate the possible dual causality between exchange rates and stock indices of China and ASEAN using Structural Vector Auto-Regressive Model (SVAR). The paper has analysed the dynamic relationships between the Yuan and the Shanghai Composite Index and Shenzhen Stock Index in the context of China's third largest trading bloc, i.e., ASEAN, after the Asian Financial Crisis of 1997. The Asian Financial Crisis of 1997-98 had an adverse impact on stock indices and the currencies of ASEAN countries. It was also expected that a devaluation of the Yuan would follow soon, thus plummeting investors' confidence in the Chinese markets. Further research was needed to explore the complex relationship between financial and forex markets in the context of China and ASEAN. The focus of this paper is to explore such relationship with the focus on China. The results of the model confirm the dual causality between the two variables of interest in China. It concludes that a positive financial shock does have a small but significant impact upon the Yuan, whereas a positive exchange rate shock has a high and a significant impact upon the Shanghai and Shenzhen Composite Indices. The paper finds the effect of monetary and demand shocks upon the Yuan and stock market indices to be insignificant.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-15 ; Abingdon: Taylor & Francis
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Markets and the Macroeconomy
Foreign Exchange
Economic Impacts of Globalization: Economic Development
- Thema
-
Causality
exchange rates
stock market
VAR
China
ASEAN
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Akram, Mohammad Uzair
Malik, Kashif Zaheer
Imtiaz, Ali
Aftab, Ammar
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2020
- DOI
-
doi:10.1080/23322039.2020.1756144
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Akram, Mohammad Uzair
- Malik, Kashif Zaheer
- Imtiaz, Ali
- Aftab, Ammar
- Taylor & Francis
Entstanden
- 2020
Ähnliche Objekte (12)
Minimum variance portfolio in ASEAN-6 stock markets diversification: A Vietnamese perspective
"Race" and "culture" in the gendering of labour markets : South Asian young Muslim women and the labour market
Audit committee effectiveness, bank efficiency and risk-taking: Evidence in ASEAN countries
Ownership structure and bank risk-taking in ASEAN countries: A quantile regression approach
Examining the productivity of the ASEAN economies in the presence of transient and persistent efficiency
Inclusions and exclusions: lesbians, HIV and AIDS
Young women and safer (hetero)sex: context, constraints and strategies
Public debt and borrowing: Are governments disciplined by financial markets?
Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets
Feminists, prostitutes and HIV
Widow's weeds and women's needs: the re-feminisation of death, dying and bereavement
Reproduktive health and reproduktive technology
Minimum variance portfolio in ASEAN-6 stock markets diversification: A Vietnamese perspective
"Race" and "culture" in the gendering of labour markets : South Asian young Muslim women and the labour market
Audit committee effectiveness, bank efficiency and risk-taking: Evidence in ASEAN countries
Ownership structure and bank risk-taking in ASEAN countries: A quantile regression approach
Examining the productivity of the ASEAN economies in the presence of transient and persistent efficiency
Inclusions and exclusions: lesbians, HIV and AIDS
Young women and safer (hetero)sex: context, constraints and strategies
Public debt and borrowing: Are governments disciplined by financial markets?
Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets
Feminists, prostitutes and HIV
Widow's weeds and women's needs: the re-feminisation of death, dying and bereavement
Reproduktive health and reproduktive technology
Minimum variance portfolio in ASEAN-6 stock markets diversification: A Vietnamese perspective
"Race" and "culture" in the gendering of labour markets : South Asian young Muslim women and the labour market
Audit committee effectiveness, bank efficiency and risk-taking: Evidence in ASEAN countries
Ownership structure and bank risk-taking in ASEAN countries: A quantile regression approach
Examining the productivity of the ASEAN economies in the presence of transient and persistent efficiency
Inclusions and exclusions: lesbians, HIV and AIDS
Young women and safer (hetero)sex: context, constraints and strategies
Public debt and borrowing: Are governments disciplined by financial markets?
Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets
Feminists, prostitutes and HIV
Widow's weeds and women's needs: the re-feminisation of death, dying and bereavement