Do short-term international capital movements play a role in exchange rate and stock price transmission mechanism in China?

被引：9

作者：

Li, Xin ^{[1
]}

Su, Chi-Wei ^{[2
]}

Chang, Hsu-Ling ^{[3
]}

Ma, Ji ^{[4
]}

机构：

[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China

[2] Qingdao Univ, Sch Econ, 308 Ningxia Rd, Qingdao, Shandong, Peoples R China

[3] Ling Tung Univ, Dept Accounting & Informat, Taichung, Taiwan

[4] Oecan Univ China, Dept Finance, Qingdao, Peoples R China

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2018年 / 57卷

关键词：

Exchange rate; Short-term international capital movements; Stock price; Wavelet analysis; REAL-ESTATE; RETURNS; MODEL; COHERENCE; WAVELETS; REFORM; FLOWS;

D O I：

10.1016/j.iref.2018.02.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper applies wavelet analysis to investigate the role of short-run international capital movements (SICM) in the interaction mechanism between the exchange rate and stock prices (SP). The bilateral co-movements between these three variables are time-varying and inconsistent in some periods, and the flow of SICM is insufficient to explain the difference between the results obtained by testing SP and exchange rate nexus alone and then testing it taking SICM as a control variable, thus indicating a limited mediating role for SICM. However, SICM still cannot be ignored with the process of Renminbi internationalization and capital account liberalization.

引用

页码：15 / 25

页数：11

共 48 条

[1]

Abdalla I.S.A., 1997, APPL FINANCIAL EC, V7, P25, DOI [10.1080/096031097333826, DOI 10.1080/096031097333826]

[2] Using wavelets to decompose the time-frequency effects of monetary policy [J].

Aguiar-Conraria, Luis ;

Azevedo, Nuno ;

Soares, Maria Joana .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2008, 387 (12) :2863-2878

[3] THE CONTINUOUS WAVELET TRANSFORM: MOVING BEYOND UNI- AND BIVARIATE ANALYSIS [J].

Aguiar-Conraria, Luis ;

Soares, Maria Joana .

JOURNAL OF ECONOMIC SURVEYS, 2014, 28 (02) :344-375

[4] INTERNATIONAL SHORT TERM CAPITAL MOVEMENTS - A DISTRIBUTED LAG MODEL OF SPECULATION IN FOREIGN EXCHANGE [J].

ARNDT, SW .

ECONOMETRICA, 1968, 36 (01) :59-&

[5] Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window [J].

Balcilar, Mehmet ;

Ozdemir, Zeynel Abidin ;

Arslanturk, Yalcin .

ENERGY ECONOMICS, 2010, 32 (06) :1398-1410

[6] A SIMPLE-MODEL OF HERD BEHAVIOR [J].

BANERJEE, AV .

QUARTERLY JOURNAL OF ECONOMICS, 1992, 107 (03) :797-817

[7] Wavelet phase coherence analysis: Application to a quiet-sun magnetic element [J].

Bloomfield, DS ;

McAteer, RTJ ;

Lites, BW ;

Judge, PG ;

Mathioudakis, M ;

Keenan, FP .

ASTROPHYSICAL JOURNAL, 2004, 617 (01) :623-632

[8]

CALVO GA, 1993, INT MONET FUND S PAP, V40, P108

[9]

Chaojun D. S. Y., 2007, J FINANC RES, V12

[10]

Cobb C., 1928, AM ECON REV, V18, P139, DOI DOI 10.2307/1811556

← 1 2 3 4 5 →