Baharom, A.H. and Royfaizal, R. C and Habibullah, M.S. (2008): Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia.
Download (150Kb) | Preview
The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.
|Item Type:||MPRA Paper|
|Original Title:||Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia|
|Keywords:||Stock price, exchange rate, Asian financial crisis, Cointegration|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Baharom Abdul Hamid|
|Date Deposited:||04. Dec 2008 12:17|
|Last Modified:||13. Feb 2013 14:42|
REFERENCES Ajayi, A.R., and Mougoue, M. (1996). ―On the dynamic relation between stock prices and exchange rates‖. The Journal of Financial Research, 19, 193-207.
Abdalla, I.S.A., and Murinde, V. (1997). ―Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and Philippines‖. Applied Financial Economics, 7, 25-35.
Azman-Saini, W.N.W., Habibullah, M.S., Law, S.H. and Dayang-Afizzah, A.M. (2006) ―Stock Prices, exchange rates and causality in Malaysia: a note‖. The ICFAI Journal of Financial Economics, 5, 7-13.
Bahmani-Oskooee, M., and Sohrabian, A. (1992). ―Stock prices and the effective exchange rate of the dollar‖. Applied Economics, 24, 459-464.
Ibrahim, M.H. (2000). ―Cointegration and Granger causality tests of stock price and exchange rate interactions in Malaysia‖. ASEAN Economic Bulletin, 17, 36-47.
Johansen, S. (1991). ―Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models‖. Econometrica 59, 1551–1580.
Johansen, S. and Juselius, K. (1990). ―The full information maximum likelihood procedure for inference on cointegration—with applications to the demand for money‖. Oxford Bulletin of Economics and Statistics, 52, 169–210.
Nieh, C.C. and Lee, C.F. (2001). ―Dynamic relationship between stock prices and exchange rates for G-7 countries‖. The Quarterly Review of Economics and Finance, 41, 477-490.
Osterwald-Lenum, M. (1992). ―A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics‖. Oxford Bulletin of Economics and Statistics, 54, 461-471.
Schwert, G.W. (1987). ―Effects of model specification on tests for unit roots in macroeconomic data‖. Journal of Monetary Economics, 20, 73-103.
Toda, H.Y., and Yamamoto, T. (1995). ―Statistical inference in vector autoregressions with possibly integrated processes‖. Journal of Econometrics, 66, 225-250.