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

Nyoman Suprastha, Yanuar

doi:10.24912/jm.v23i1.445

Authors

Nyoman Suprastha, Yanuar

DOI:

https://doi.org/10.24912/jm.v23i1.445

Keywords: VAR models, impulse response, asymmetric responses.

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 ï¬nds 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 ofÂ study is Â exchange rates US have an impact on ASEAN stock market integration.

Author Biography

Nyoman Suprastha, Yanuar

Fakultas Ekonomi Universitas Tarumanagara

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