We use data set of five Asian countries to estimate the frequency and quantile based
relationship between stock price index and exchange rate. We apply simple correlation and
wavelet based correlation and in accordance with the portfolio balance effect, we find that
the two variables are negatively related at all frequencies. Moreover it is found that
correlation grows stronger with higher time scales. We further apply quantile regression to
observe the various relationships between stock and foreign exchange markets at different …

This paper uses the data of six Asian countries to estimate the relationship between stock
price index and exchange rate. According to the portfolio balance effect, these two variables
should be negatively related. However, since the evidence from traditional ordinary least
squares estimation is not favorable, the quantile regression model is adopted to observe the
various relationships between stock and foreign exchange markets. The results show an
interesting pattern in the relation of these two markets in Asia, which indicates that the …