Author:
Karim Bakri Abdul,Hwang Josephine Yau,Kadri Norlina,Husaini Dzul Hadzwan
Abstract
The paper examines the relationship between stock prices and exchange rates for the case of Indonesia. The study uses daily and weekly data for the period January 1998 to December 2007. We employed Toda and Yamamoto (1995) Granger non-causality test in both bivariate and multivariate setting to examine the relationship between stock prices and exchange rates. The results of this study suggest a strong evidence of bi-directional causality between these two financial variables. The results have implications for investors, practitioners and policy makers.
Reference21 articles.
1. Abdalla, I. and Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines, Applied Financial Economics, 7, pp.25-35.
2. Akaike, H. (1974). A new look at the statistics model identification, IEEE Transactions on Automatic Control AC, 19, 716-723.
3. Aggarwal, R. (Fall 1981). Exchange rates and stock prices: a study of the U.S. capital markets under floating exchange rates. Akron Business and Economic Review, pp.7-12.
4. Ajayi, R. A., Friedman, J. and Mehdian, S. M. (1998). On the relationship between stock returns and exchange rates: tests of Granger casuality, Global Finance Journal, 9, pp.241-51.
5. Azman-Saini, W. N. W., M.S. Habibullah and M. Azali (2003). Stock Price and Exchange Rate Interactions in an Emerging Market, RISEC: International Review of Economics and Business, 50, 503-519.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献