Causal Relationships Between Exchange Rates And Stock Prices In Malaysia And Thailand During The 1997 Currency Crisis Turmoil
AbstractUsing Granger (1969), Sim (1972) and Geweke et al. (1982) causality tests, this study finds a feedback causal relationship between exchange rate and stock price in Malaysia, whereas a unidirectional causal relationship running from exchange rate to stock price in Thailand. The stock markets of these countries are also found to be closely linked, with a feedback causal relationship between them. Most importantly, this study is able to identify the path through which the fall in Thai baht was transmitted to Malaysian ringgit plunge during the 1997 Currency Crisis turmoil.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0405015.
Length: 20 pages
Date of creation: 09 May 2004
Date of revision:
Note: Type of Document - doc; pages: 20
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Granger causality; exchange rates; stock prices; Malaysia; Thailand.;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-26 (All new papers)
- NEP-FIN-2004-05-26 (Finance)
- NEP-IFN-2004-05-26 (International Finance)
- NEP-SEA-2004-05-26 (South East Asia)
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.:
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