Aftab, Muhammad and Ahmad, Rubi and Ismail, Izlin (2018) Examining the uncovered equity parity in the emerging financial markets. Research in International Business and Finance, 45. pp. 233-242. ISSN 0275-5319, DOI https://doi.org/10.1016/j.ribaf.2017.07.154.
Full text not available from this repository.Abstract
Uncovered Equity Parity condition states that the foreign equity market outperformance relative to the home equity market associates with foreign exchange rate depreciation. This study examines this condition in the emerging financial markets context using bounds testing approach to the level relations. Our rigorous analysis shows an evidence opposite to the UEP prediction such that an outperformance of foreign equity market links with a foreign exchange rate appreciation. Moreover, a nonlinear model shows an asymmetry in the equity market effect on the exchange rate, both in the short run and long run.
| Item Type: | Article |
|---|---|
| Funders: | UNSPECIFIED |
| Uncontrolled Keywords: | Exchange rate movements; International returns; Portfolio rebalancing |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Faculty of Business and Economics > Dept of Finance and Banking |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 08 Oct 2019 02:20 |
| Last Modified: | 08 Oct 2019 02:20 |
| URI: | http://eprints.um.edu.my/id/eprint/22695 |
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