The Cointegration Relationship between Foreign Exchange Rate and Stock Price Index with Evaluating the Hedging Effectiveness of Portfolio: Empirical Evidence in ASEAN-5.

• Main Authors: Yu, Wen-Lin, 游雯鈴
• Other Authors: 陳元保
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/kd69b6

碩士 === 東吳大學 === 會計學系 === 103 === This paper investigates the relationship between foreign exchange rate and stock price index of ASEAN-5, which include Singapore, Malaysia, Thailand, Indonesia and the Philippines. First, we investigate the long-term cointegration relationship between foreign exchange rate and stock price index. The findings indicate that no cointegration between foreign exchange rate and stock price index. Such relationship exists only between Philippine Pesos (PHP) and Thai Baht (THB). Furthermore, we utilize the Granger causality analyses to investigate the short-term inter-dependency between exchange rate and stock index. The results show that the inter-dependency is significant in ASEAN-5. Further, this study uses the five foreign exchange futures (AUD, GBP, CAD, EUR, and JPY) to evaluate the hedge effectiveness of MSCI South East Asia Index. Analysis indicates the GBP and CAD futures contracts minimize the risk of MSCI South East Asia Index.