Advanced Search
MyIDEAS: Login to save this article or follow this journal

The Causal Relationship between Stock Prices and Exchange Rates: Evidence from the G-7

Contents:

Author Info

  • Shyh-Wei Chen

    ()
    (Department of International Trade, Chung Yuan Christian University, Taiwan)

  • Tzu-Chun Chen

    (Taiwan Research Institute, Taiwan)

Registered author(s):

    Abstract

    We examine the nexus of stock prices and exchange rates for the G-7 countries by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality methods. The empirical results substantiate that a long-run level equilibrium relationship exists among the exchange rates and stock prices for the UK and France. The results from the linear causality tests indicate significant short-run and long-run causal relations between the two financial markets. In the results of the non-linear Granger causality, there are unidirectional and bidirectional non-linear causal relations between stock prices and exchange rates in six of the G-7 countries. Therefore, the causal relations between stock prices and exchange rates are not only linear but are also non-linear.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.jem.org.tw/content/pdf/Vol.7No.1/05.pdf
    Download Restriction: no

    File URL: http://www.jem.org.tw/content/abstract/Vol.7No.1/English/05.htm
    Download Restriction: no

    Bibliographic Info

    Article provided by College of Business, Feng Chia University, Taiwan in its journal Journal of Economics and Management.

    Volume (Year): 7 (2011)
    Issue (Month): 1 (January)
    Pages: 101-133

    as in new window
    Handle: RePEc:jec:journl:v:7:y:2011:i:1:p:101-133

    Contact details of provider:
    Postal: 100 Wenhwa Road, Seatwen, Taichung
    Web page: http://www.jem.org.tw/
    More information through EDIRC

    Related research

    Keywords: exchange rate; stock price; cointegration; causality;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:jec:journl:v:7:y:2011:i:1:p:101-133. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yi-Ju Su).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.