Advanced Search
MyIDEAS: Login

Stock Prices And Exchange Rates In Australia: Are Commodity Prices The Missing Link?

Contents:

Author Info

  • Nicolaas Groenewold

    (UWA Business School, The University of Western Australia)

  • James E H Paterson

    (UWA Business School, The University of Western Australia)

Registered author(s):

    Abstract

    The relationship between stock prices and exchange rates is an important topic of long standing. But there are still significant gaps in our knowledge of this area, not least, the ambiguity about the sign of the effect of a change in one of these variables on the other. While there are many possible reasons for this ambiguity, one which we explore in the Australian context in this paper is the omission of commodity prices. We show that a bivariate relationship which omits commodity prices performs badly but that once commodity prices are added to the relationship, our results are plausible and robust. We also throw light on the commodity-currency issue and show that the link from the exchange rate to commodity prices is stronger and more consistent than that in the opposite direction.

    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.business.uwa.edu.au/__data/assets/pdf_file/0009/1627371/11--7-Stock-Prices-and-Exchange-Rates-in-Australia-Are-Comodity-Prices-the-Missing-Link.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by The University of Western Australia, Department of Economics in its series Economics Discussion / Working Papers with number 11-07.

    as in new window
    Length: 26 pages
    Date of creation: 2011
    Date of revision:
    Handle: RePEc:uwa:wpaper:11-07

    Contact details of provider:
    Postal: 35 Stirling Highway, Crawley, W.A. 6009
    Phone: (08) 9380 2918
    Fax: (08) 9380 1016
    Web page: http://www.business.uwa.edu.au/school/disciplines/economics
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    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:uwa:wpaper:11-07. 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: (Shane Standley).

    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.