| Summary: | 碩士 === 淡江大學 === 全球華商經營管理數位學習碩士在職專班 === 97 === The acceleration of the globalization upon economics and finance makes the relations among countries’ economies closer and closer. The relationships between exchange rates and stock prices also become more and more complicated. Moreover, the huge changes of the economy condition for each country among the world within these few years cause the judgment on the relationships between exchange rates and stock prices hard to be fulfilled. The aim of this paper is to investigation the relationships between Japanese N225 stock index and the exchange rate of Japanese yen against US Dollar (Yen/USD). The methodologies employed are threshold autoregressive model (TAR) and momentum-threshold autoregressive model (M-TAR) by Enders and Granger (1998) testing for the asymmetric cointegration and thresholderror-correction model (TECM) by Enders and Siklos (2001) for the short run and long run Granger causality.
The empirical result shows that there exists an asymmetric threshold cointegration relationship between N225 stock index and Yen/USD exchange rate. The depreciation of Yen/USD accompanies with the increasing of the N225 stock prices for two lags. The reason for that might be caused by more investment from US and European institutional investors when Japanese stock market booms, and hence more US dollar prevails in Japan financial market and causes an appreciation of the Japanese Yen. On the other hand, there is no significant impact of Yen/USD movement on N225 stock index. This can be explained by that the Japanese financial market is a relatively mature market, hence increasing of hot money inflow to the Japanese market affects the foreign exchange market in Japan, but not the stock market. It reflects directly to the economy fundamentals and firm earnings. Therefore, a uni-directional causal relationship exists from stock market to exchange rate market in Japan. Overall speaking, for the long run, N225 leads the Yen/USD.
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