This paper examines the relationship between stock prices and exchange rates for the ASEAN5 plus the Big3. While previous studies have assumed a symmetric relationship between stock prices and exchange rates, this paper introduces nonlinearity in the relationship between the two variables. The empirical model used is the nonlinear autoregressive distributed lag (NARDL) model, which introduces nonlinearity by differentiating between the increases and decreases in the independent variable. The results show that although both the linear ARDL model and the NARDL model suggest that the relationship between the variables is mainly short-term, the NARDL model produces relatively more evidence supporting asymmetric long-run relationship between stock prices and exchange rates.

本文研究了ASEAN5和Big3的股票价格与汇率之间的关系。尽管先前的研究假设股票价格和汇率之间存在对称关系，但本文介绍了两个变量之间的非线性关系。使用的经验模型是非线性自回归分布滞后（NARDL）模型，该模型通过区分自变量的增加和减少来引入非线性。结果表明，尽管线性ARDL模型和NARDL模型都表明变量之间的关系主要是短期的，但NARDL模型产生了相对更多的证据来支持股价与汇率之间的长期不对称关系。