Template-Type: ReDIF-Article 1.0
Author-Name: Lee Yen-Hsien
Author-Workplace-Name: Department of Finance, Chung Yuan Christian University, 200 Chung Pei Road. Chung Li 32023, Taiwan, R.O.C.
Author-Name: Huang Ya-Ling 
Author-Workplace-Name: Department of Golden-Ager Industry Management, Chaoyang University of Technology, 168 Jifong E. R., Wufong Township, Taichung County 41349, Taiwan, R.O.C.
Author-Email: ylhuang@cyut.edu.tw
Author-Name: Chen Tsu-Hui
Author-Workplace-Name: International Master of Business Administration, Chung Yuan Christian University, 200 Chung Pei Road. Chung Li 32023, Taiwan, R.O.C.
Title: Does Hot Money Impact Stock and Exchange Rate Markets on China?
Abstract: This study investigates the impact of hot money on stock and exchange rate markets and 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 first 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 VECM-BEKK 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.
Keywords: hot money, stock market, foreign exchange rate, BEKK model, quantile approach
Pages: 95-108
Volume: 13
Issue: 2
Year: 2017
File-URL: http://web.usm.my/journal/aamjaf/aamjaf13022017/aamjaf13022017_5.pdf
File-Format: Application/pdf
Handle: RePEc:usm:journl:aamjaf01302_95-108