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首页> 外文期刊>The Singapore economic review >REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA*
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REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA*

机译：马来西亚股票市场上的实际汇率收益率和实际股票价格收益率*

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摘要

This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpur Composite Index (KLCI) are found to be negative and significantly correlated. However, there is insignificant correlation between real exchange rate return of Malaysian ringgit against Japanese Yen (RMN) and real stock price return of KLCI. Moreover, the CCC-MGARCH models show that real exchange rate returns and real stock price returns of some stocks are found to be significantly correlated. The KPSS unit root test statistics show that the time invariant conditional variances of real exchange rate returns and real stock price returns are mostly found to be stationary in the levels. There is no evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price return of KLCI but some evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price returns. There is a link between the exchange rate market and the stock market in Malaysia but not every real stock price return is significantly linked with real exchange rate return.
机译：这项研究研究了马来西亚股票市场中实际汇率回报率与实际股票价格回报率之间的关系。 Kwiatkowski，Phillips，Schmidt和Shin（KPSS）以及Dickey和Fuller（DF）的单位根检验统计数据表明，发现的所有变量在第一个差异中都是平稳的。恒定条件相关（CCC）-多元广义自回归条件异方差（MGARCH）模型显示，马来西亚林吉特对美元（RM / USD）的实际汇率收益和吉隆坡综合指数（KLCI）的实际股价收益为被发现是消极的并且明显相关。然而，马来西亚令吉对日元的实际汇率收益与隆指的实际股价收益之间没有显着相关性。此外，CCC-MGARCH模型显示，发现某些股票的实际汇率回报率与实际股票价格回报率显着相关。 KPSS单位根检验统计数据显示，实际汇率回报率和实际股价回报率的时不变条件方差大部分被发现在各个水平上保持不变。 KLCI的实际汇率收益率和时间价格不变的时间不变条件方差之间没有格兰杰因果关系，但是，真实汇率收益率和实际股票价格收益率的时不变条件方差之间没有格兰杰因果关系。汇率市场与马来西亚股票市场之间存在联系，但并非每个真实的股票价格回报都与实际汇率回报有显着联系。

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