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
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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application/pdf
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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.