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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Abstract
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 |
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Original Title: | Stock prices, exchange rates and causality in Malaysia: a note |
Language: | English |
Keywords: | Exchange rates; Stock prices; Causality; Malaysia |
Subjects: | G - Financial Economics > G1 - General Financial Markets F - International Economics > F3 - International Finance > F31 - Foreign Exchange |
Item ID: | 656 |
Depositing User: | Azman-Saini W.N.W |
Date Deposited: | 03 Nov 2006 |
Last Modified: | 27 Sep 2019 17:24 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/656 |