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Relationship between Exchange Rate and Equity Prices in an Emerging Market: A Continuous Wavelet-based Analysis for Bangladesh

International Journal of Business and Economics, 2019-09, Vol.18 (2), p.165-193

Copyright International Journal of Business and Economics Sep 2019 ;ISSN: 1607-0704 ;EISSN: 1526-775X

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Title:
Relationship between Exchange Rate and Equity Prices in an Emerging Market: A Continuous Wavelet-based Analysis for Bangladesh
Author: Tiwari, Aviral Kumar ; Islam, Anisul M ; Islam, Mohibul
Subjects: Bangladesh ; Causality ; Economic growth ; Economic models ; Efficient markets ; Emerging markets ; Equity ; exchange rate ; Financial services ; Foreign exchange markets ; Foreign exchange rates ; Foreign investment ; Portfolio management ; Prices ; Securities markets ; Stock exchanges ; stock prices ; Time series ; wavelet coherency ; Wavelet transforms
Is Part Of: International Journal of Business and Economics, 2019-09, Vol.18 (2), p.165-193
Description: This research empirically examines the relationship between the exchange rate and stock prices by utilizing a relatively novel and non-traditional technique known as the continuous wavelet approach, which involves the continuous wavelet power spectrum, cross-wavelet transform, and cross-wavelet coherency. We employ monthly time-series data from the period 1986m09 to 2014m07 for a total of 334 monthly observations on Bangladesh. The empirical results strongly support the traditional hypothesis that the exchange rate leads (causes) stock prices compared to the alternative portfolio-based hypothesis. The implication of this finding is that policy makers need to be extra careful in managing the local exchange rate and to consider any possible effects of policy actions in the foreign exchange market on the stock market in order to avoid undesirable consequences.
Publisher: 台灣: 逢甲大學
Language: Chinese;English
Identifier: ISSN: 1607-0704
EISSN: 1526-775X
Source: Alma/SFX Local Collection
ProQuest Central

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Relationship between Exchange Rate and Equity Prices in an Emerging Market: A Continuous Wavelet-based Analysis for Bangladesh

Copyright International Journal of Business and Economics Sep 2019 ;ISSN: 1607-0704 ;EISSN: 1526-775X

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