Is the Liberalization Policy Effective on Improving the Bivariate Cointegration of Current Accounts, Foreige Exchange, Stock Prices? Further Evidence from Asian Markets

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Title:	Is the Liberalization Policy Effective on Improving the Bivariate Cointegration of Current Accounts, Foreige Exchange, Stock Prices? Further Evidence from Asian Markets
Authors:	郭貞吟 Kuo, Chen-Yin (東方設計學院行銷與流通管理系)
Contributors:	東方設計學院行銷與流通管理系
Keywords:	Current account stock price foreign exchange rate country characteristics bivariate cointegration bi-diectional causal relationships
Date:	2011-03
Issue Date:	2014-12-11 15:58:33 (UTC+8)
Publisher:	Bangkok, Thailand
Abstract:	This paper fist examines three set of bivariate cointegrations between any two of current accounts, stock markets, and currency exchange markets in ten Asian countries. Furthermore, we examined the effect of country characters on this bivariate cointegration. Our findings suggest that for three sets of cointegration test, each sample country at least exists one cointegration. India consistently exhibited a bi-directional causal relationship between any two of three indicators. Unlike Pan et al. (2007) and Phylaktis and Ravazzolo (2005), we found that such cointegration is influenced by three characteristics: capital control; flexibility in foreign exchange rates; and the ratio of trade to GDP. These characteristics are the result of liberalization in each Asian country. This implies that liberalization policies are effective on improving the cointegration between any two of financial markets and current account for ten Asian countries.
Relation:	World academy of science, engineering and technology, Vol.7 no.75, pp.709-720
Appears in Collections:	[Department of Marketing Distribution management] journal

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