Exchange Rate And Asean Share Price: An Analysis Of Asimmetry Response

Nyoman Suprastha, Yanuar

doi:10.24912/jm.v23i1.445

Abstract

The purpose of this study is to examine whether these markets react differently to market upturns and market downturns of markets using VAR models. This study ﬁnds that following:. First, in line with many studies on international interdependencies of equity prices,. Second, the evidence strongly suggests significant responses of the ASEAN markets to the US exchange rate downturns Third, the pattern of responses based on impulse response functions further substantiate asymmetric responses of these markets to positive and negative shocks in the US exchange rate. Practical implications, suggest that the benefits of international portfolio diversification. The originality of study is exchange rates US have an impact on ASEAN stock market integration.

Highlights

The financial crisis that emerged in the United States in 2007 and spread in 2008 was one of the worst, because it had a tremendous negative impact on the capital market (TP Thao & Daly, 2012), most of the Association Members Southeast Asian countries (ASEAN) member countries could isolated from the immediate impact of the crisis, because ASEAN countries had experienced a crisis during the Asian financial crisis in 1997
Exogenous variables in the VAR system have the meaning that these variables should not be influenced by other variables in the VAR system
The utilization of the Dow Jones Industrial Average (DJIA) as an exogenous variable is reasonable, considering that the DJIA is the highest performing index on the New York Stock Exchange (NYSE), and its movements are often used as a reference or guideline for global investors

Summary

Introduction

The financial crisis that emerged in the United States in 2007 and spread in 2008 was one of the worst, because it had a tremendous negative impact on the capital market (TP Thao & Daly, 2012), most of the ASEAN member countries could isolated from the immediate impact of the crisis, because ASEAN countries had experienced a crisis during the Asian financial crisis in 1997. After 2003 to 2007, almost all capital markets experienced increased performance, but in 2008 all experienced a decline. This can be understood because in 2007 there was a United States financial crisis, where almost all shares throughout the world declined. There was an increase in world oil prices, which had a slight effect on the ASEAN economy

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Conclusion