Stock Prices, Exchange Rates and Causality in Malaysia: A Note
AbstractThis article contributes to the debate on stock prices and exchange rates in Malaysia. It examines the causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (1995). The study indicates a feedback interaction between exchange rates and stock prices during 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.
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Bibliographic InfoArticle provided by IUP Publications in its journal The IUP Journal of Financial Economics.
Volume (Year): V (2007)
Issue (Month): 1 (March)
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Other versions of this item:
- Azman-Saini, W.N.W. & Habibullah, M.S. & Law, Siong Hook & Dayang-Afizzah, A.M., 2006. "Stock prices, exchange rates and causality in Malaysia: a note," MPRA Paper 656, University Library of Munich, Germany.
- G1 - Financial Economics - - General Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
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