Stock markets, currency markets, and money markets

Dataset


Chen, Y. 2022. Stock markets, currency markets, and money markets.
AuthorsChen, Y.
Description

1. logged changes of daily closing prices for stock exchanges: SSE Composite Index of China, TOPIX (Japan), KOSPI (Korea), TAIEX (Taiwan), HANG SENG Index (Hong Kong), STI (Singapore), ASX200 (Australia), MICEX Index (Russia), DAX30 (Germany), CAC40 (France), FTSE100 (UK), and S&P500 (USA)

2. logged changes of daily exchange rates: measured as the Chinese currency per unit of another currency

3. interest rate diffentials of China against another market. The rates: the interbank overnight of China, the uncollateral overnight of Japan, the overnight call rate of Korea, the overnight repo rate of Taiwan, the overnight deposit of Hong Kong, the interbank call of Singapore, the overnight deposit of Australia, the overnight deposit of Russia, the overnight interbank of Germany, the Eu-Franc short-term deposit of the France, the LIBID/LIBOR overnight of the UK, and the overnight repo of the USA.

KeywordsStock exchanges; Closing prices; Interest rates; Exchange rates
Year2022
Data files
Data type
Spreadsheet
Contents
Data
File Access Level
Open
Data collection period01 Jan 2005 to end of 31 Dec 2014
Data collection method

Datastream

Data preparation and processing activities

Different sample observations in different countries due to each country’s specific holiday and institutional arrangements are adjusted by excluding the dates when any one of the stock markets was closed.

Publication process dates
Deposited28 Jun 2022
Permalink -

https://repository.canterbury.ac.uk/item/91567/stock-markets-currency-markets-and-money-markets

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Data files
SVAR_data_sorted.XLSX
File access level: Open

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