This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Stock Prices, Exchange Rates and Causality in Malaysia: A Note

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
W N W Azman-Saini
M S Habibullah
Siong Hook Law
A M Dayang-Affizzah

Additional information is available for the following registered author(s):

Abstract

This 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.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Article provided by Icfai Press in its journal The Icfai Journal of Financial Economics.

Volume (Year): V (2007)
Issue (Month): 1 (March)
Pages: 7-13
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:icf:icfjfe:v:05:y:2007:i:1:p:7-13

Contact details of provider:

For technical questions regarding this item, or to correct its listing, contact: (Srinivasulu Bayineni).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250. [Downloadable!] (restricted)
  2. Abdalla, Issam S A & Murinde, Victor, 1997. "Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines," Applied Financial Economics, Taylor and Francis Journals, vol. 7(1), pages 25-35, February. [Downloadable!] (restricted)
  3. Moreno, R. & Pasadilla, G. & Remolona, E., 1998. "Asia's Financial Crisis: Lessons and Policy Responses," Papers 98-02, Economisch Institut voor het Midden en Kleinbedrijf-.
    Other versions:
  4. John Wei, K. C. & Liu, Yu-Jane & Yang, Chau-Chen & Chaung, Guey-Shiang, 1995. "Volatility and price change spillover effects across the developed and emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 113-136, May. [Downloadable!] (restricted)
  5. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March. [Downloadable!] (restricted)
  6. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354. [Downloadable!] (restricted)
    Other versions:
  7. Jun Nagayasu, 2000. "Currency Crisis and Contagion - Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand," IMF Working Papers 00/39, International Monetary Fund.
    Other versions:
  8. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-71, December. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS indexes over 550000 items of research in Economics alone.

This page was last updated on 2008-6-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.