The effects of currency depreciation on stock returns: evidence from five East Asian economies

By using stock daily data for Thailand and the four Asian Tigers, this paper provides clear evidence that currency depreciation affects adversely stock returns and/or increases market volatility over the period of the Asian crisis 1997–1999. The implication is that international investors and fund managers who plan to invest in the East Asian newly emerging stock markets have to evaluate the stability of the foreign exchange markets before taking action.