Exchange Rate And Asean Share Price: An Analysis Of Asimmetry Response

Nyoman Suprastha, Yanuar

Abstract


The purpose of this study is to examine whether these markets react differently to market upturns and market downturns of markets using VAR models. This study finds that following:. First, in line with many studies on international interdependencies of equity prices,. Second, the evidence strongly suggests significant responses of the ASEAN markets to the US exchange rate downturns Third, the pattern of responses based on impulse response functions further substantiate asymmetric responses of these markets to positive and negative shocks in the US exchange rate. Practical implications, suggest that the benefits of international portfolio diversification. The originality of  study is  exchange rates US have an impact on ASEAN stock market integration.


Keywords


VAR models, impulse response, asymmetric responses.

Full Text:

PDF


DOI: http://dx.doi.org/10.24912/jm.v23i1.445

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International Licenseweb
statistics View My Stats. p-ISSN 1410-3583 | e-ISSN 2549-8797