The Long Run Relationship between the Value of Chinese Yuan and Stock Market Return in Five Countries of the Association of Southeast Asian Nations From 2005-2013

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2015
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eng
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16 pages
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UTCC International Journal of Business and Economics, Vol 7, No.2, December 2015, page 161 - 176
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Abstract
The research analyzes the long run relationship between the value of Chinese Yuan and stock market return in five countries of the Association of Southeast Asian Nations (Indonesia, Malaysia, the Philippines, Singapore and Thailand) from 2005-2013 by using daily data. The conditional work measured by Granger causality model. The value of Chinese Yuan under five selected countries were used as dependent variables. While the stock market index and trading volume of stock market were used as independent variables. The results show the evidence that the stock market indexes granger cause the exchanges rate between China and selected countries which refers to a positive long-run relationship between the value of Chinese Yuan and stock market return in five countries of the Association of Southeast Asian Nations.
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