• Abdulnasser Hatemi-Jarabad Abdulnasser Hatemi-Jarabad
  • Eduardo Roca Eduardo Roca

Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. The two variables are found to be significantly linked in nonc-crisis period but at all during the crisis period. The implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.