Relación entre los índices accionarios y el tipo de cambio de los mercados asiáticos: Un enfoque de regresión cuantil
DOI:
https://doi.org/10.29105/vtga6.1-548Palabras clave:
Tipo de cambio, Mercado Accionario, Mercado Asiático, Desempeño financieroResumen
Este artículo utiliza información histórica de cinco
países de mercados asiáticos desarrollados (Hong
Kong, Japón, Singapur, Australia y Nueva Zelanda) y
un país emergente (Corea del Sur) que incorporan al
Narrow Basket Index (NBI) del Banco de Pagos
Internacionales (BIS) para evaluar el tipo de relación
e impacto entre los índices accionarios
correspondientes (HSI, Nikkei 225, STI, S&P/ASX
200 y NZSX 50) y el tipo de cambio (USD), durante
el periodo de 01:2003 a 12:2018.
Descargas
Métricas
Citas
Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied financial economics, 7(1), 25-35. Recuperado el 22 de Septiembre de 2019 de: https://www.tandfonline.com/doi/abs/10.1080/096031097333826 DOI: https://doi.org/10.1080/096031097333826
Adrangi, B., & Ghazanfari, F. (1996). Bilateral exchange rate of the dollar and stock returns. Atlantic Economic Journal, 24(2), 179-180. Recuperado el 28 de Noviembre de 2019 de: https://go.gale.com/ps/anonymous?id=GALE%7CA18669954&sid=googleScholar&v=2.1 &it=r&linkaccess=abs&issn=01974254&p=AONE&sw=w DOI: https://doi.org/10.1007/BF02299010
Agarwal, R. (1981). Exchange Rate and Stock Prices: A Study of US Capital Markets under Floating Exchange Rate. Akron Business and Economics Review, 12(2), 7-12.. Recuperado el 20 de Septiembre de 2019 de: https://www.academia.edu/647060/Exchange_rates_and_stock_prices_A_study_of_the_US _capital_markets_under_floating_exchange_rates
Ajayi, R. A., Friedman, J., & Mehdian, S. M. (1998). On the relationship between stock returns and exchange rates: tests of Granger causality. Global finance journal, 9(2), 241-251. Recuperado el 28 de Noviembre de 2019 de: https://s3.amazonaws.com/academia.edu.documents/32027906/1-s2.0- S1044028398900060-main.pdf?response-content disposition=inline%3B%20filename%3DON_THE_RELATIONSHIP_BETWEEN_STOC K_RETURN.pdf&X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz Credential=AKIAIWOWYYGZ2Y53UL3A%2F20191128%2Fus-east 1%2Fs3%2Faws4_request&X-Amz-Date=20191128T195251Z&X-Amz Expires=3600&X-Amz-SignedHeaders=host&X-Amz Signature=5b532bc15e93eeaff67dce08a639f78b8a87fa4a4fd3024fc63f77cb0e0fdb4c
Aydemir, O., Demirhan, E., 2009. The relationship between stock prices and exchange rates: evidence from Turkey. Int. Res. J. Finance Econ. 23, 207–215. Recuperado el 22 de Octubre de 2019 de: https://www.researchgate.net/profile/Erdal_Demirhan/publication/287875152_The_relation ship_between_stock_prices_and_exchange_rates_evidence_from_turkey/links/5697f3cb08a e34f3cf1f2da3.pdf
Bank for International Settlements (2019). Nominal Effective Rate Exchange Rate Narrow. Recuperado el 17 de Septiembre de 2019 de: https://stats.bis.org/statx/srs/table/i1?m=N
BIS (2000): Bank for International Settlements, 70th Annual Report. Recuperado el 26 de Noviembre de 2019 de: https://www.bis.org/publ/r_qt0008e.pdf
Bahmani-Oskooee, M. & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Recuperado el 26 de Noviembre de 2019 de: https://ibeif.files.wordpress.com/2018/10/stock-prices-and-the-efective-exchange-rate-of dollar.pdf DOI: https://doi.org/10.1080/00036849200000020
Bloomberg (2019). Hong Kong Hang Seng Index. DOI: https://doi.org/10.15444/GFMC2019.02.05.03
Bloomberg research. Recuperado el 17 de Septiembre de 2019 de la plataforma Bloomberg.
Boako, G., Omane-Adjepong, M., & Frimpong, J. M. (2015). Stock Returns and Exchange Rate Nexus in Ghana: A Bayesian Quantile Regression Approach. South African Journal of Economics, 84(1), 149–179. Recuperado el 1 de Marzo de 2016 de: https://onlinelibrary.wiley.com/doi/abs/10.1111/saje.12096 DOI: https://doi.org/10.1111/saje.12096
Cech, F., & Barunik, J. (2017). Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. Recuperado el 14 de Septiembre de 2019 de: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3028488 DOI: https://doi.org/10.2139/ssrn.3028488
Chai-Anant, C., & Ho, C. (2008). Understanding Asian equity flows, market returns and exchange rates. Recuperado el 02 de Enero de 2020 de https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1120293 87 DOI: https://doi.org/10.2139/ssrn.1120293
Chen, Jeng-Hong, The Relations between Exchange Rates and Stock Indexes for Brazil (2020). The International Journal of Business and Finance Research, v.14(1), p. 57-69, 2020. Recuperado el 25 de marzo del 2020 de: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3522536
Colak, Ö. F., Öztürkler, H., y Tokatlıoğlu, İ. (2008). Estimation of consumption functions with regression method now in Turkey. Economics Business and Finance, 23 (268), 62-93. Recuperado el 28 de Noviembre del 2019 de: https://ideas.repec.org/a/iif/iifjrn/v23y2008i268p62-93.html?ref=SexŞhop.Com
Dar Arif Billah, Shah Aasif. (2014) The relationship between stock prices and exchange rates in Asian markets. Recuperado el 22 de Octubre de 2019 de: https://www.academia.edu/9997670/The_relationship_between_stock_prices_and_exchang e_rates_in_Asian_markets_A_wavelet_based_correlation_and_quantile_regression_approa ch
Kim, K. H. (2003). Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model. Review of Financial economics, 12(3), 301-313. Recuperado el 12 de Octubre de 2019 de: https://onlinelibrary.wiley.com/doi/abs/10.1016/S1058- 3300(03)00026-0 DOI: https://doi.org/10.1016/S1058-3300(03)00026-0
Klau, M., & Fung, S. S. (2006). The new BIS effective exchange rate indices. BIS Quarterly Review, March. Recuperado el 12 de Octubre de 2019 de: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1632420
Koenker, R., & Bassett, G. (1978). Regression Quantiles. Recuperado el 28 de Noviembre del 2019 de: http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.470.9161&rep=rep1&type=pdf DOI: https://doi.org/10.2307/1913643
Koenker, R., & Hallock, K. F. (2001). Quantile regression. Journal of economic perspectives, 15(4), 143-156. Recuperado el 09 de Septiembre de 2019 de: https://www.aeaweb.org/articles?id=10.1257/jep.15.4.143 DOI: https://doi.org/10.1257/jep.15.4.143
Lee, W. C. (2012). A study of the causal relationship between real exchange rate of Renminbi and Hong Kong stock market index. Modern economy, 3(5), 563-566. Recuperado el 22 de Septiembre de 2019 de: https://file.scirp.org/pdf/ME20120500012_26832617.pdf DOI: https://doi.org/10.4236/me.2012.35074
Ma, G., & McCauley, R. N. (2011). The evolving renminbi regime and implications for Asian currency stability. Journal of the Japanese and International Economies, 25(1), 23-38. Recuperado el 18 de Octubre de 2019 de: https://www.sciencedirect.com/science/article/pii/S0889158310000432 DOI: https://doi.org/10.1016/j.jjie.2010.09.002
Marquez, J., & Schindler, J. (2007). Exchange‐rate effects on China's trade. Review of International Economics, 15(5), 837-853. Recuperado el 20 de Octubre de 2019 de: https://onlinelibrary.wiley.com/doi/epdf/10.1111/j.1467-9396.2007.00700.x DOI: https://doi.org/10.1111/j.1467-9396.2007.00700.x
Mishra, S. (2016). The Quantile Regression Approach to Analysis of Dynamic Interaction Between Exchange Rate and Stock Returns in Emerging Markets: Case of BRIC Nations. IUP Journal of Financial Risk Management, 13(1). Recuperado el 09 de Septiembre de 2019 de: https://web.b.ebscohost.com/abstract?direct=true&profile=ehost&scope=site&authtype=cra wler&jrnl=0972916X&AN=114185548&h=CVHfq560gPwWP9AfH9b8KDmXVVkylizs1 WAPw2GSQOHAdFEES%2fGt6s7zfkwhfwJkKyrZb3OIAKqnA2QBw4R7kg%3d%3d&cr l=c&resultNs=AdminWebAuth&resultLocal=ErrCrlNotAuth&crlhashurl=login.aspx%3fdir ect%3dtrue%26profile%3dehost%26scope%3dsite%26authtype%3dcrawler%26jrnl%3d09 72916X%26AN%3d114185548 MSCI (2019).
MSCI COUNTRY CLASSIFICATION STANDARD. MSCI Global Equity Indexes. Recuperado el 20 de Octubre de 2019 de: https://www.msci.com/documents/1296102/1360895/8.5x11inch_MSCI_Country_Classific ation_Standard_FactSheet.pdf/5b95f2f4-4ced-43a2-92ad-218771a2218c
Naifar, N. (2016). Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach. The Quarterly Review of Economics and Finance, 88 61, 29-39. Recuperado el 28 de Noviembre de 2019 del: https://ideas.repec.org/a/eee/quaeco/v61y2016icp29-39.html DOI: https://doi.org/10.1016/j.qref.2015.10.004
Obben, J., Pech, A., & Shakur, S. (2006). Analysis of the relationship between the share market performance and exchange rates in New Zealand: A cointegrating VAR approach. New Zealand Economic Papers, 40(2), 147-180. Recuperado el 12 de Octubre de 2019 de: https://www.tandfonline.com/doi/abs/10.1080/00779954.2006.9558559 DOI: https://doi.org/10.1080/00779954.2006.9558559
Ozair, A. (2006). Causality between stock prices and exchange rates: a case of the United States. Florida Atlantic University. Recuperado el 27 de Octubre de 2019 de: https://search.proquest.com/openview/73eb55d85754ad0c8bdf04d65df10a81/1?pq origsite=gscholar&cbl=18750&diss=y
Raji, J. O., Ibrahim, Y., & Ahmad, S.-A. (2016). Stock Price Index and Exchange Rate Nexus in African Markets. International Economic Journal, 31(1), 112–134. Recuperado el 25 de Marzo del 2020 de: https://www.researchgate.net/publication/309452939_Stock_Price_Index_and_Exchange_R ate_Nexus_in_African_Markets DOI: https://doi.org/10.1080/10168737.2016.1245354
Sato, K., Shimizu, J., Shrestha, N., & Zhang, S. (2013). Industry‐specific Real Effective Exchange Rates and Export Price Competitiveness: The Cases of Japan, China, and Korea. Asian Economic Policy Review, 8(2), 298-321. Recuperado el 14 de Octubre de 2019 de: https://onlinelibrary.wiley.com/doi/epdf/10.1111/aepr.12032 DOI: https://doi.org/10.1111/aepr.12032
Sharma, N. (2016). Causal relation between stock return and exchange rate: Evidence from india. Global Journal of Management and Business Research. Recuperado el 12 de Octubre de 2019 de: https://journalofbusiness.org/index.php/GJMBR/article/view/1867
Solnik, B. H. (1995). Why not diversify internationally rather than domestically?. Financial analysts journal, 51(1), 89-94. Recuperado el 27 de Octubre de 2019 de: https://www.tandfonline.com/doi/abs/10.2469/faj.v51.n1.1864 DOI: https://doi.org/10.2469/faj.v51.n1.1864
Soenen, L. A., & Hennigar, E. S. (1988). An analysis of exchange-rates and stock-prices-the united states experience between 1980 and 1986. Akron Business and Economic Review, 19(4), 7- 16. https://www.econbiz.de/Record/an-analysis-of-exchange-rates-and-stock-prices-the-us experience-between-1980-and-1986-soenen-luc-aloys/10001085771
Steinsson, J. (2008). The dynamic behavior of the real exchange rate in sticky price models. American Economic Review, 98(1), 519-33. Recuperado el 18 de Octubre de 2019 de: https://www.aeaweb.org/articles?id=10.1257/aer.98.1.519 DOI: https://doi.org/10.1257/aer.98.1.519
Toniolo, G., & Clement, P. (2005). Central bank cooperation at the Bank for International Settlements, 1930-1973. Cambridge University Press. Recuperado el 12 de Octubre de 2019 de: https://books.google.com.mx/books?hl=es&lr=&id=GLyQ8iIjK3wC&oi=fnd&pg=PR11&d q=bank+of+international+settlements&ots=segXUziK_Z&sig=Oiv6Jhm3TyP3wlVNMAe5 DEzVB9s&redir_esc=y#v=onepage&q=bank%20of%20international%20settlements&f=false
Tsai, I. C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22(3), 609-621. Recuperado el 07 de Septiembre de 2019 de: https://www.sciencedirect.com/science/article/pii/S1042443112000297 DOI: https://doi.org/10.1016/j.intfin.2012.04.005
Wen, M., & Tang, T. (2010). The relationship between weekly exchange rate movements and stock returns: Empirical evidence in five Asian markets. Recuperado el 07 de Septiembre de 2019 de: http://www.diva-portal.org/smash/record.jsf?pid=diva2%3A370027&dswid=-3370
Zivkov Dejan, Mar Jelisaveta. (2014). Exchange Rate Effect on Stock Returns in the East European Emerging Markets - A Quantile Regression Approach Recuperado el 01 de Noviembre de 2014 de: https://www.researchgate.net/profile/Jovan_Njegic3/publication/282779242_Exchange_Rat 89 e_Effect_on_Stock_Returns_- _A_Quantile_Regression_Approach/links/58e61e8da6fdcc6800b449b3/Exchange-Rate Effect-on-Stock-Returns-A-Quantile-Regression-Approach.pdf
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Esta obra está bajo una licencia internacional Creative Commons Atribución 4.0.
Los derechos del trabajo pertenecen a los autores, sin embargo, los autores otorgan a la revista los derechos de primera publicación, procesamiento, difusión y archivo relativos a la obra literaria, a través de una licencia de derechos patrimoniales, dentro de los límites establecidos en la “Ley Federal del Derecho de Autor” vigente, así como a los intereses de la revista VinculaTégica Efan y a los de la Facultad de Contaduría Pública y Administración de la Universidad Autónoma de Nuevo León.
