The effects between currency appreciation and stock market in China and Japan applied time series econometric techniques.

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The effects between currency appreciation and stock market in China and Japan applied time series econometric techniques.

The present study applies the time series econometric techniques of cointegration and Granger causal to analyze the natural causal relationship between stock market and foreign exchange rate for both China and Japan and uses the EGRACH model to examine the asymmetric effects within stock markets. Th...

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Bibliographic Details
Main Author:	Cheng, Shen
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2008
Online Access:	https://eprints.nottingham.ac.uk/22477/

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