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Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia

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Author Info
Baharom, A.H.
Royfaizal, R. C
Habibullah, M.S.

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Abstract

The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11925.

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Date of creation: 17 Feb 2008
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Handle: RePEc:pra:mprapa:11925

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Related research
Keywords: Stock price; exchange rate; Asian financial crisis; Cointegration.;

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
F31 - International Economics - - International Finance - - - Foreign Exchange

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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. 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. [Downloadable!]
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  3. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  4. Nieh, Chien-Chung & Lee, Cheng-Few, 2001. "Dynamic relationship between stock prices and exchange rates for G-7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 477-490. [Downloadable!] (restricted)
  5. Ajayi, Richard A & Mougoue, Mbodja, 1996. "On the Dynamic Relation between Stock Prices and Exchange Rates," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 19(2), pages 193-207, Summer.
  6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  7. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July. [Downloadable!] (restricted)
  8. Bahmani-Oskooee, Mohsen & Sohrabian, Ahmad, 1992. "Stock Prices and the Effective Exchange Rate of the Dollar," Applied Economics, Taylor and Francis Journals, vol. 24(4), pages 459-64, April.
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