Abstract
This paper uses an error correction model to explore 1) the asymmetric effects of four different exchange rates on Singapore stock prices and 2) the effects' sensitivity to economic instability. Both the Singapore currency appreciation against the U.S. dollar and Malaysianringgit and depreciation against the Japaneseyen and Indonesianrupiah lead to a longrun increase in stock prices for most selected periods of the 1990s; however, the effect associated with the U.S. dollar exchange rate has a sign reversal between the 1997–98 crisis period and the 1999–2000 recovery period. The influence of exchange rates on stock prices increases in a chronological order in the 1990s.
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The author would like to thank three anonymous referees and Joachim Zietz,JEF editor, for helpful comments. A summer research grant by the Franklin P. Perdue School of Business, Salisbury State University, is gratefully acknowledged.
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Wu, Y. Stock prices and exchange rates in VEC model—The case of Singapore in the 1990s. J Econ Finan 24, 260–274 (2000). https://doi.org/10.1007/BF02752607
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DOI: https://doi.org/10.1007/BF02752607