خلاصة:
The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis. An econometric multiple generalized autoregressive conditional heteroscedasticity (MGARCH) BEKK method and the Rats software are applied to analyze a dynamic relationship between two markets in each country. The estimated results show a bidirectional relationship between two markets in South Korean economy and only a unidirectional relationship from exchange market to stock market in Iranian economy. The persistence of volatility transmission effects of each market on its own is also found in each economy. In the exchange market, this effect is in opposite direction in Iran compared to Korea, whereas in the stock market both effects are positive and almost the same in two economies. The policy implication of finding is clear. The financial policymakers should watch both stock and exchange markets in two economies to prevent the bidirectional volatility effects between two markets in Korea and the unidirectional volatility from the exchange market to sock market in Iran.
ملخص الجهاز:
"Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from Iran and South Korea Akbar Tavakoli 1 Isfahan University of Technology, Isfahan, Iran Masood Dadashi Isfahan University of Technology, Isfahan, Iran Abstract The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea.
Ramasamy and Yeung (2002) examine the links between the foreign exchange and stock markets in six Asian countries and find that there are inconsistent results for bivariate causality between stock prices and exchange rates.
4. Conclusion In present study a dynamic relationship between stock market and exchange market is examined in two Asian economies, Iran and South Korea.
Applying a MGARCH-BEKK(1,1) model over the period 2002: 05) to 2012: 03, the estimated results show: 1) The spilloners effects: Among the own-mean spillovers effects ( a ii : i = 1, 2) only is statistically significant in Iranian economy providing an evidence of the positive influence on current variable of stock market arising from its first lag value.
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T. Wang, (2005), "The Dynamic Relationship and Pricing of Stocks and Exchange Rates: Empirical Evidence from Asian Emerging Markets," Journal of American Academy of Business, 7(1), 118-123.
A. Liu (2007), "Dynamic Linkages between Exchange Rates And Stock Prices: Evidence from East Asian Markets," International Review of Economics and Finance, 16(4), 503-520."