An analysis of foreign exchange rates and stock market prices : the Australian evidence in the post floating exchange rate system between 1986 and 1997 / by Rita Lin.

Lin, Rita. (1997). An analysis of foreign exchange rates and stock market prices : the Australian evidence in the post floating exchange rate system between 1986 and 1997 / by Rita Lin. Master's Thesis, Dept. of Commerce, The University of Queensland.

       
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Author Lin, Rita.
Thesis Title An analysis of foreign exchange rates and stock market prices : the Australian evidence in the post floating exchange rate system between 1986 and 1997 / by Rita Lin.
School, Centre or Institute Dept. of Commerce
Institution The University of Queensland
Publication date 1997
Thesis type Master's Thesis
Total pages 105
Subjects 14 Economics
Formatted abstract This thesis investigates the relationship between foreign exchange rates and stock market prices. The study conducts an analysis of the causality and cointegration on the foreign exchange rates and the stock market prices as well as the foreign exchange exposures of the Australian industries, between 2 January 1986 and 29 August 1997. Daily prices of the two markets are collected from the Datastream Database. The US dollar value of the Australian dollar and the trade-weighted index value of the Australian dollar are examined as the two measures of the Australian dollar value. Twenty-five industrial stock portfolios listed in the Australian Stock Exchanges are sampled in the study to test the impact of the foreign exchange exposure. The evidence indicates a bi-directional causal relationship between the stock market prices and the foreign exchange rates. Additionally, the results reveal stock portfolios react differently to changes in the two measures of the Australian dollar during the time of the appreciation and the time of the depreciation. It is shown that industry characteristics and involvement in certain countries have impact on the magnitude of the foreign exchange exposure. The evidence presented for the cointegration test does not show significant long run cointegration of the foreign exchange rates and the stock market prices.

 
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