Stock prices, exchange rates and causality in Malaysia: a note

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.

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
• 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

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