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Causal Relationships Between Exchange Rates And Stock Prices In Malaysia And Thailand During The 1997 Currency Crisis Turmoil

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Author Info
Huzaimi Hussain (Universiti Teknologi MARA Malaysia)
Venus Khim-Sen Liew (Universiti Putra Malaysia)

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Abstract

Using 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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Publisher Info
Paper provided by EconWPA in its series International Finance with number 0405015.

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Length: 20 pages
Date of creation: 09 May 2004
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Handle: RePEc:wpa:wuwpif:0405015

Note: Type of Document - doc; pages: 20
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Web page: http://129.3.20.41

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Related research
Keywords: 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)

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  1. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  2. Baharumshah, Ahmad Zubaidi & M. Masih, A. Mansur & Azali, M., 2002. "The stock market and the ringgit exchange rate: a note," Japan and the World Economy, Elsevier, vol. 14(4), pages 471-486, December. [Downloadable!] (restricted)
  3. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354. [Downloadable!] (restricted)
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  4. R. Smyth & M. Nandha, 2003. "Bivariate causality between exchange rates and stock prices in South Asia," Applied Economics Letters, Taylor and Francis Journals, vol. 10(11), pages 699-704, September. [Downloadable!] (restricted)
  5. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2002. "On the Causality between Exchange Rates and Stock Prices: A Note," Bulletin of Economic Research, Blackwell Publishing, vol. 54(2), pages 197-203, April.
  6. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September. [Downloadable!] (restricted)
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