This article uses quarterly data from 29 countries, during the period from the first quarter of 2000 to the second quarter of 2011, and the Pooled Mean Group (PMG) method to estimate the dynamic heterogeneous panel data model and to verify the correlation between stock prices and exchange rates. According to empirical results, the stock market and the foreign exchange market have a long-run co-integration relationship. In the short-run, the stock market and the foreign exchange market are negatively correlated, supporting the viewpoints of the portfolio approach. However, using the error-correction adjustment process, the long-run relationship between the two is positive, supporting the results of the traditional approach. This study suggests that the viewpoints of both the portfolio approach and the traditional approach can co-exist through long- and short-run adjustments.
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机译:本文使用2000年第一季度至2011年第二季度期间来自29个国家/地区的季度数据以及Pooled Mean Group(PMG)方法来估计动态异构面板数据模型并验证股价之间的相关性和汇率。根据经验结果,股票市场和外汇市场具有长期的协整关系。从短期来看,股票市场和外汇市场是负相关的,这支持了投资组合方法的观点。但是,使用纠错调整过程,两者之间的长期关系是正的,这支持了传统方法的结果。这项研究表明,通过长期和短期调整,投资组合方法和传统方法的观点可以共存。
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