earticle

영어

This study investigates asymmetric relationship from exchange rate fluctuation to the stock market. To investigate the extended factor in the existing framework empirical analysis were conducted in terms of following two aspects. Firstly, based on the analytical results of the existing linear approaches such as co-integration test, we extend the model to the asymmetric nonlinear model. Secondly, we analyse the predictive performance on VAR, ECM, asymmetric NARDL models. From the empirical analysis, it is shown that the foreign exchange rates dynamics has non-linearities to the stock market and asymmetric model shows more predictive performance. The above empirical result implies that it is necessary to consider the non-linear and asymmetric dynamics to properly capture the exchange rate effect on the stock market.