Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis
نویسندگان
چکیده
Structural shifts characterize the volatility of the Korean stock and foreign exchange markets during the 1997 Asian financial crisis. This paper employs an unrestricted bivariate GARCH-M model of stock market returns to investigate empirically the effects of daily currency depreciation on Korean stock market returns. The evidence shows that currency depreciation significantly affects stock market performance through three distinct channels: exchange rate depreciation adversely affects stock market returns, higher exchange rate depreciation volatility induces higher stock market returns, and exchange rate depreciation volatility raises stock market return volatility. The evidence suggests that small open stock markets are vulnerable to exchange rate movements. Corresponding Author: WenShwo Fang Department of Economics Feng Chia University 100 WenHwa Road, Taichung, Taiwan Tel: 886-4-24517250-4452 Fax: 886-4-24518737 E-mail: [email protected] Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis
منابع مشابه
Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis
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