Azman-Saini, W.N.W. and Habibullah, M.S. and Law, Siong Hook and Dayang-Afizzah, A.M. (2006): Stock prices, exchange rates and causality in Malaysia: a note.
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This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange rates stability is important for stock market well-being.
|Item Type:||MPRA Paper|
|Original Title:||Stock prices, exchange rates and causality in Malaysia: a note|
|Keywords:||Exchange rates; Stock prices; Causality; Malaysia|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Azman-Saini W.N.W|
|Date Deposited:||03. Nov 2006|
|Last Modified:||12. Feb 2013 09:42|
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