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The Causality Between Stock Returns And Exchange Rates: Revisited

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  • BALA RAMASAMY
  • MATTHEW C.H. YEUNG

Abstract

There has been a renewed interest in the determination of causality between stock markets and exchange rates. In nearly all these studies Granger causality tests has been extensively used. In this paper, we employ the standard Granger causality methodology to a research setting similar to that of Granger et al. (2000). We consider the causality between the two markets in nine east Asian economies. We find that the direction of causality tends to demonstrate a hit-and-run behaviour and switches according to the length of period chosen. This implies that great caution should be taken when interpreting Granger causality results. Copyright Blackwell Publishing Ltd/ University of Adelaide and Flinders University 2005..

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Australian Economic Papers.

Volume (Year): 44 (2005)
Issue (Month): 2 (06)
Pages: 162-169

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Handle: RePEc:bla:ausecp:v:44:y:2005:i:2:p:162-169

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-900X

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Cited by:
  1. David McMillan & Isabel Ruiz & Alan Speight, 2010. "Correlations and spillovers among three euro rates: evidence using realised variance," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 753-767.
  2. Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements.
  3. Giulia Piccillo, 2013. "Exchange Rates and Asset Prices: Heterogeneous Agents at Work," CESifo Working Paper Series 4257, CESifo Group Munich.
  4. Stavarek, Daniel, 2004. "Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions," MPRA Paper 7297, University Library of Munich, Germany.
  5. Daniel Stavárek, 2005. "Stock Prices and Exchange Rates in the EU and the United States: Evidence on their Mutual Interactions (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(3-4), pages 141-161, March.
  6. Daniel Stavarek, 2004. "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance 0406006, EconWPA.

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