The Dynamic Relationship between the Exchange Rate of the Yen/USD and the Stock Prices in the Financial Market of United States Open Access

Zong, Jishu (2009)

Permanent URL: https://etd.library.emory.edu/concern/etds/v692t682b?locale=en
Published

Abstract

The Dynamic Relationship between the Exchange Rate of the Yen/USD and the Stock
Prices in the Financial Market of United States
By Jishu Zong
This paper studies the relationship between U.S. stock prices and the exchange rate of the
Japanese Yen to the U.S. Dollar. The motivation is to establish the causal relation between the
performance of the U.S. stock market and the value of the Yen/USD in the foreign exchange
market. Time series techniques include, the ADF test, the Cointegration test and the Vector Error
Correction Model, are applied using the daily data from January 1, 2003 to January 1, 2006. The
empirical results suggest a long run relationship between changes in U.S. stock prices on the
previous trading day and the current exchange rate of the Yen/USD.This leads to the conclusion
that U.S. stock prices hold a predictive power over the exchange rate of Yen/USD.

Table of Contents


Figure 1: Change in U.S. and Japan stock prices and the Yen/USD exchange rate 7

Table 1: ADF and DF-GLS unit root tests 11


Table 2: Engle-Granger cointegration test 12

Table 3: VECM for U.S. stock market indices and the Yen/USD exchange rate 13


Table 4: Pairwise Granger Causality Tests 13



About this thesis

Rights statement
  • Permission granted by the author to include this thesis or dissertation in this repository. All rights reserved by the author. Please contact the author for information regarding the reproduction and use of this thesis or dissertation.
School
Department
Degree
Submission
Language
  • English
Research field
Keyword
Committee Chair / Thesis Advisor
Committee Members
Last modified

Primary PDF

Supplemental Files