Stock Price Index and Exchange Rates: Evidence from Quantile Regression

Yi Chen

《Frontiers in Economics and Management》 2卷8期 (2021/08) Pp. 68-73

https://doi.org/10.6981/FEM.202108_2(8).0012

摘要

Monthly data is employed in this paper to estimate interaction between stock market and exchange rate market using the ordinary least squares regression and quantile regression method. According to the empirical result reported, the evidence from traditional ordinary least squares estimation is favorable, the quantile regression model is adopted to observe the relationships between stock and foreign exchange markets in defined quantiles, depicting the relationship changes of these two variables. The results show an interesting pattern in the relation of these two markets. From the empirical result given by ordinary least squares, a positive relationship is found in BOVESPA, SSE, CAC40 and STOXX50E with its corresponding exchange rate, except Nikkei 225. However, from the result reporting by quantile regression, a significant relationship is found by BOVESPA and Nikkei 225 and its corresponding exchange rate, supporting the relation between the stock market and exchange rate market.

關鍵字

Stock Market ； Exchange Rate Market ； Relationship ； Quantile Regression

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