Does Hot Money Impact Stock And Exchange Rate Markets On China?

Lee , Yen Hsien and Huang , Ya Ling and Chen , Tsu Hu (2017) Does Hot Money Impact Stock And Exchange Rate Markets On China? Asian Academy of Management Journal of Accounting and Finance, 13 (2). pp. 1-14. ISSN 1823-4992

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Abstract

d the returns and volatility spillover between the stock and exchange rate market in China by using the monthly data covering the period from July 2005 to June 2013. This paper also uses the quantile approach to determine whether the hot money influences the stock and exchange rate markets. The results frst reveal the long-run equilibrium relationship that is exhibited between the stock and exchange rate market. Second, hot money has an impact on the stock market but has no effect on the exchange rate market, according to the VECMBEKK model. Third, regarding the volatility spillover effects on the stock and exchange rate markets, there is a spillover effect on the Shanghai stock and exchange rate markets. Hot money has an impact on the stock and exchange rate markets. Finally, we apply the quantile regression to determine the impact of hot money on low quantiles of the exchange rate and high quantiles of the Shanghai and Shenzhen stock market

Item Type:	Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions:	Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal of Accounting and Finance
Depositing User:	Mr Firdaus Mohamad
Date Deposited:	20 Apr 2018 08:57
Last Modified:	20 Apr 2018 08:57
URI:	http://eprints.usm.my/id/eprint/40155

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