The association between exchange rates and stock market indices of the emerging markets : Indonesia, South Korea, and Thailand during the Asian currency crisis

Sawangngoenyuang, Wanvimol. (1998). The association between exchange rates and stock market indices of the emerging markets : Indonesia, South Korea, and Thailand during the Asian currency crisis M.A. Thesis, School of Business, The University of Queensland.

       
Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
THE15486.pdf Full text application/pdf 3.07MB 3
Author Sawangngoenyuang, Wanvimol.
Thesis Title The association between exchange rates and stock market indices of the emerging markets : Indonesia, South Korea, and Thailand during the Asian currency crisis
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1998
Thesis type M.A. Thesis
Total pages 66
Language eng
Subjects 1402 Applied Economics
Formatted abstract
This thesis is an empirical investigation to the relationship between exchange rates and stock prices of three emerging financial market, Indonesia, South Korea, and Thailand. During the Asian Currency Crisis, there is evidence that when the value of home currency declines, the value of share price declines as well. The study conducts an analysis of the association between the changes in exchange rate and aggregate share price variation, during the period and post period of the Asian Currency Crisis, that is from 2nd July 1997 to 30th April 1998. Ordinary Least Square methodology is employed in this study to investigate this relationship.

The evidence indicates a positive relationship between changes in exchange rates and aggregate price movement. In other words, the decline in aggregate stock market indices is associated with the decline in domestic exchange rates. With the industry analysis, a positive association between various individual industry sectors and changes in the exchange rates. The results, however, oppose findings of earlier studies for traded goods industries (manufacture, wholesale, chemical, textile industry) except for the non-traded goods industries such as for construction industry, building industry, and banking and finance industry. This may be due to the small sample size. The data, also, may be influenced by the currency turmoil.

Finally, with the direction of the relationship the results show that emerging markets tend to correlate with the short-term economic effect of exchange rate changes rather than with long-term impacts.

These findings extended the existing body of current literature because this is the first attempt to investigate emerging markets. The thesis also examines this association between changes in exchanges rates and stock markets during an extremely volatile and dramatic period.


Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
Citation counts: Google Scholar Search Google Scholar
Created: Fri, 01 Oct 2010, 09:19:12 EST by Ning Jing on behalf of Social Sciences and Humanities Library Service