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This objective of this study was to examine correlations between currency exchange rates and stock market indexes among five ASEAN countries including Thailand, Singapore, Malaysia, the Philippines, and Indonesia with consideration of structural changes of variations. The monthly data during January 1997 and December 2014 were collected. The study was divided into two parts. First part was ADF test were applied for unit root test and results revealed that the data was stationary. However, the results of unit root test under the method of Zivot & Andrews (1992) showed that the ratio data of currency exchange in Singapore dollar to United States dollar, Philippine peso to United States dollar, Indonesian rupiah to United States dollar, Vietnamese dong to United States dollar, Singapore stock index, Philippines stock index and Indonesia stock index was non-stationary. Second part was an analysis of long term correlations of variables. The applying a method of Gregory & Hansen (1996) were conducted, it was found that correlations between currency exchange rates to United States dollar and stock indexes of Thailand, Singapore, Malaysia and the Philippines had correlations regarding to the stipulated hypothesis as the increasing exchange rate affected the decreasing on stock indexes, except only the correlations between Indonesian rupiah to United States dollar and Indonesia stock index that the coefficient was irrelevant to the determined hypothesis.
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