Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/289635 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Economics, Finance and Administrative Science [ISSN:] 2218-0648 [Volume:] 27 [Issue:] 54 [Year:] 2022 [Pages:] 262-276
Publisher: 
Emerald Publishing Limited, Bingley
Abstract: 
Purpose - The study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia. Design/methodology/approach - This study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach. Findings - The asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997-1998) and the global financial crisis (2008-2009) are found to have a significant impact on the real stock price in some economies. Research limitations/implications - Economic variables are important in the determination of stock prices. Originality/value - It is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price.
Subjects: 
Real exchange rate
Asymmetric real exchange rate
Real stock price
JEL: 
F31
G11
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.