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Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries

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Author Info

  • Mevlud Islami

    (University of Wuppertal/European Institute for International Economic Relations (EIIW))

Abstract

In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland, Portugal, Spain, Greece, Poland, Czech Republic, Slovenia, and Hungary are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links for Poland are identified. Conversely, for Slovenia, Hungary, Ireland, and Spain merely short-term links resulted. Surprisingly, the direction of causation is unambiguously from the stock market index to the exchange rate for all six countries considered.

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Bibliographic Info

Paper provided by Universit├Ątsbibliothek Wuppertal, University Library in its series Schumpeter Discussion Papers with number sdp08007.

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Length: 29 pages
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:bwu:schdps:sdp08007

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Web page: http://elpub.bib.uni-wuppertal.de

Related research

Keywords: Exchange Rate; Stock Markets; Cointegration; VAR; European Integration;

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  1. 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.
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