Download or read book On the Causal Relationship Between Stock Prices and Exchange Rates written by Lokman Gunduz and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the causality between the exchange rates and stock prices in the Middle East and North Africa Region before and after Asian financial crisis. Applying a non-causality testing procedure developed by Toda and Yamamoto (1995), we empirically find that there is a unidirectional Granger causality from exchange rates to stock prices for Israel and Morocco before and after the Asian financial crisis, and for Jordan only after the crisis. However the causality runs from stock prices to exchange rates for Turkey after the Asian financial crisis. Moreover, we do not find any support for causal relationship between these two variables for Egypt. These findings have implications regarding the influence of exchange rates on the development of stock markets and the effect of financial crises on the relation between stock prices and exchange rates.
Download or read book Causal Relationship Between Stock Prices and Exchange Rates written by Paul Alagidede and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Causal Relationship between Stock Prices and Exchange Rates written by Sorin Dumitrescu and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates the dynamic links between stock prices and exchange rates in Romania, considering the changes in the exchange rate regime occurred after 1997. The research employs advanced econometric methods - cointegration and innovation accounting techniques, in order to capture the relationship between stock prices, exchange rates and other macroeconomic variables, applied to monthly data over the January 1998 - September 2007 period. We identify a long-term equilibrium relationship between stock prices, official reserves and nominal effective exchange rates, while the real exchange rate and the money supply are found not to be statistically significant in any of the models. The signs of variables in the cointegrating vectors are consistent with economic reasoning: we find there is a positive relationship between money supply and stock prices, on one hand, and between the nominal effective exchange rate and stock prices, on the other hand. Also, there is a negative relationship between official reserves and stock prices, and between the real effective exchange rate and stock prices. Conversely, while over the short run stock prices react mainly to their own one standard deviation shocks, over the long run we observe that shocks in money supply and reserves generate responses from stock prices.
Download or read book Stock Prices and Exchange Rates in the EU and the United States written by Daniel Stavarek and published by . This book was released on 2009 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run and short-run causalities between these variables are explored using monthly data. The paper also tries to answer the question whether the linkages between analyzed economic variables are of the similar intensity and direction in the old and new part of the EU and how has been the relationship changing over the analyzed period. The results show much stronger causality in countries with developed capital and foreign exchange markets (old EU-member countries and the USA) than in the new-comes. Evidence also suggests more powerful long-run as well as short-run causal relations in the period 1993-2003 than during 1970-1992. Causalities seem to be predominantly unidirectional with a direction running from stock prices to exchange rates. Finally, we also detected much stronger relations applying real effective exchange rate than nominal effective exchange rate.
Download or read book On the Causality Between Stock Prices and Exchange Rates written by Yaşar Köse and published by . This book was released on 2016 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to investigate the existence and direction of relationship between stock prices and exchange rates for Turkish financial market. Granger (1969) causality testing methodology was employed to reveal the nature of relationship between the two variables. This work contributes to the existing body of literature in the way that in Turkish financial market, there is a uni-directional causality running from stock prices to exchange rates using the daily observations for the sample period, which runs from February 23, 2001 to November 4, 2009. Also, the model used in this study extends the scope of exchange rate variables including a total of five currencies í US dollar, Euro, Japanese Yen, Pound Sterling, Swiss Franc and two baskets of currencies of Undersecretariat of Foreign Trade of Turkey. This evidence has implications for the policy makers and economic actors to perceive the movements in stock prices as a dynamic determinant, which may affect the success of their exchange rate policies.
Download or read book Causality Between Stock Prices and Exchange Rates written by Amber Ozair and published by . This book was released on 2006 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the direction of causality as well as short-run dynamics and long-run equilibrium relationship between stock prices and exchange rates using quarterly data for the period 1960:1--2004:4. The studies apply techniques of the unit root, cointegration and Standard Granger causality tests to examine the relationship between these two financial variables. The empirical results reveal that there is no causal linkage and no cointegration between the stock prices and exchange rates as suggested under Traditional and Portfolio approaches. The results support the view that the semi-strong form of EMH holds true for the U.S. financial markets.
Download or read book An Empirical Investigation of Stock Markets written by Shigeyuki Hamori and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Download or read book Exchange Rate and Equity Price Relationship written by Sekhar Amba and published by . This book was released on 2019 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between stock prices and exchange rates in Mexican and Canadian Markets using weekly data from Jan 2013 to December 2018. Cointegration, Vector Error Correction model, Vector Auto Regression model and Granger causality tests are used to examine the long-term relationship and casual relationship between exchange rates and stock prices. Johansen cointegration tests confirm the insignificant existence of long-run relationships between stock prices and exchange rates in Canadian and Mexican markets. However, the Granger causality test confirms the existence of short-run unidirectional causal relationship from exchange rates to stock prices in the Mexican market.
Download or read book The Nonlinear Dynamic Relationship Between Stock Prices and Exchange Rates in Asian Countries written by Ryuta Sakemoto and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study explores dynamic relationships between stock prices and exchange rates in Asian countries. These relationships are complex and include both linear and nonlinear relationships. We employ a nonparametric causality test to explore them. The nonparametric causality test is more robust to a nonlinear relationship. The empirical results reveal that most countries have bi-directional causality relationships between stock prices and exchange rates. Some relationships are not captured by the linear model. These results support the theoretical model which shows dynamic interactions between stock and exchange rate markets. This study investigates the main driver to generate the nonlinear causality relationships. The empirical results present that the main source for the nonlinearity is the volatility effects. In particular, they were substantial during the Asian and global financial crises. After controlling for the volatility effects, only one country shows the bi-directional causality relationship. In contrast to the previous studies, this study shows that the volatility effects are important between different asset markets. These findings suggest that controlling for exchange rate markets may be helpful to mitigate turmoil during a financial crisis.
Download or read book Co Integration and Causal Relationship Among Crude Oil Prices Exchange Rate and Stock Market Performance written by Sanjeeta Shirodkar and published by . This book was released on 2020 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper has made an attempt to evaluate the combined impact of crude oil prices and exchange rate on the performance of Indian stock market. As the impact of dollar nominated oil prices on stock prices may not be quite relevant for Indian context. Therefore, in this study WTI Crude oil prices per Dollars along with the USD/Rupee exchange rate would be more meaningful and relevant to understand the impact of oil prices on stock market by using monthly data from 2003 to 2016 for S&P CNX Nifty Index, WTI Crude oil prices per Barrel (Dollars) and Dollar/Rupee Exchange rate. All the series were found to be stationery at First difference. The Granger causality tests revealed that there exists a Bi directional causality between stock prices and exchange rates in the short run i.e. stock prices lead exchange rates in the short run, but result of Johansen cointegration suggested that there is no long run relationship between these two financial variables. The results of the Johansen cointegration test suggest absence of any long term relationship between WTI crude oil price, USD/Rupee exchange rate and stock prices in India. The result of forecast error variances suggested that USD/Rupee exchange rate is influenced by Stock market performance. The forecast error variances of USD/Rupee exchange rate is significantly explained by the value of Nifty. Results also indicate that the values of oil price and exchange rate are comparatively less exogenous than the Indian stock market. Particularly, the contribution of Stock market shocks to the USD/Rupee exchange rate is greater than that of WTI Crude oil price shocks in all the periods.
Download or read book Exploring the Relationship Between Stock Prices and Exchange Rates in North America and China written by Yifeng Zhang and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report explores the relationship between stock prices and exchange rates in North America and China during the post-crisis period. It is found that there is a stable long-run relationship between stock prices and exchange rates in Canada and China, but not for the US. Another finding is that Canadian exchange rates and stock prices exhibit bi-directional Granger causality, which supports both "flow-oriented" model and "stock-oriented" model. Conversely, the two financial variables in China interact in a manner consistent with the "flow-oriented" model. On the other hand, no Granger causality is found between these two financial variables for the US in either direction. Finally, this report provides a few implications for monetary policy makers and global investors.
Download or read book Dynamic Relationship Between Stock Prices and Exchange Rates written by Jung Wan Lee and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically examines the short-run and long-run causal relationship between stock market prices and exchange rates in Chinese stock markets using monthly data from January 2002 to December 2012 retrieved from the National Bureau of Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity Wald tests, impulse responses, variance decomposition techniques and structural break tests are employed. This study found 1) long-run causality from exchange rates to stock prices in Chinese stock markets and 2) short-run causality from Japanese yen and Korean won exchange rates to stock prices in the Shanghai Stock Exchange strongly prevails while in the Shenzhen Stock Exchange weakly prevails . The impact of the global financial crisis from 2007 to 2009 on Chinese stock markets was insignificant.
Download or read book Collective Correlation Between Exchange Rate and Stock Prices written by Najam Ul Sabeeh and published by . This book was released on 2020 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers have made considerable research on the aggressive relation among stock prices and exchange rates in the past. The linkage has grasped the intentions of researchers at the time of 1977-78 crises, worldwide financial crunch 2001-2002 and in 2007. The subject is also critical from the perspective of a modern large amounts of funds transfer across different country borders. This study explored the relationship among the stock prices and exchange rates of G20 countries over the period of 2005- 2019, investigated daily nominal exchange rates of G20 countries in US dollar and daily values of all G20 stock exchanges. Johansen's strategy adapted to check for the prices and exchange rates. Granger causality test applied to check causal relation among the stock prices and exchange rates of G20 countries. The results demonstrate that among various countries there is a causal relationship and between some countries, there is no such kind of relationship.
Download or read book Relationship between Exchange Rate and Stock Prices in India an Empirical Analysis written by Golaka C. Nath and published by . This book was released on 2003 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dynamic linkage between exchange rate and stock prices has been subjected to extensive research for over a decade and attracted considerable attention from researchers worldwide during the Asian crisis of 1997-98. The issue is also important from the viewpoint of recent large cross-boarder movement of funds. In India the issue is also gaining importance in the liberalization era. With this background, the present study examines the causal relationship between returns in stock market and forex market in India. Using daily data from March 1993 to December 2002, we found that causal link is generally absent though in recent years there has been strong causal influence from stock market return to forex market return. The results, however, are tentative and we need further in-depth research to identify the causes and consequences of the findings.
Download or read book A Bivariate Causality Between Stock Prices and Exchange Rates written by Clive William John Granger and published by . This book was released on 1998 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Relationship Between Exchange Rates and Stock Prices written by Esin Cakan and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and non-linear bi-directional causality in most cases. The exceptional countries are Brazil, Poland and Taiwan that there is no evidence for a nonlinear Granger causality from stock prices to exchange rates. The results support both the portfolio balance and the goods market theories for eight out of twelve countries.
Download or read book Exchange Rates and Corporate Performance written by Yakov Amihud and published by Beard Books. This book was released on 2003 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
