Exploring the relationship between stock prices and exchange rates in North America and China

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dc.contributor.advisorDalkir, Mehmet
dc.contributor.authorZhang, Yifeng
dc.date.accessioned2023-03-01T16:19:44Z
dc.date.available2023-03-01T16:19:44Z
dc.date.issued2016
dc.date.updated2023-03-01T15:01:34Z
dc.description.abstractThis report explores the relationship between stock prices and exchange rates in North America and China during the post-crisis period. It is found that there is a stable long-run relationship between stock prices and exchange rates in Canada and China, but not for the US. Another finding is that Canadian exchange rates and stock prices exhibit bi-directional Granger causality, which supports both “flow-orientated” model and “stock-orientated” model. Conversely, the two financial variables in China interact in a manner consistent with the “flow-orientated” model. On the other hand, no Granger causality is found between these two financial variables for the US in either direction. Finally, this report provides a few implications for monetary policy makers and global investors.
dc.description.copyright© Yifeng Zhang, 2016
dc.description.noteA Report Submitted in Partial Fulfilment of the Requirements for the Degree of Master of Arts in the Graduate Academic Unit of Economics
dc.formattext/xml
dc.format.extentiv, 38 pages
dc.format.mediumelectronic
dc.identifier.urihttps://unbscholar.lib.unb.ca/handle/1882/13524
dc.language.isoen_CA
dc.publisherUniversity of New Brunswick
dc.rightshttp://purl.org/coar/access_right/c_abf2
dc.subject.disciplineEconomics
dc.titleExploring the relationship between stock prices and exchange rates in North America and China
dc.typemaster thesis
thesis.degree.disciplineEconomics
thesis.degree.fullnameMaster of Arts
thesis.degree.grantorUniversity of New Brunswick
thesis.degree.levelmasters
thesis.degree.nameM.A.

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