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 causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 656.
Date of creation: Oct 2006
Date of revision:
Exchange rates; Stock prices; Causality; Malaysia;
Other versions of this item:
- W N W Azman-Saini & M S Habibullah & Siong Hook Law & A M Dayang-Affizzah, 2007. "Stock Prices, Exchange Rates and Causality in Malaysia: A Note," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-13, March.
- G1 - Financial Economics - - General Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-12 (All new papers)
- NEP-CBA-2006-11-12 (Central Banking)
- NEP-IFN-2006-11-12 (International Finance)
- NEP-SEA-2006-11-12 (South East Asia)
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