On the relationship between stock returns and exchange rates: Tests of granger causality
No abstract is available for this item.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 353-364, September.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Hardouvelis, Gikas A., 1988. "Economic news, exchange rates and interest rates," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 23-35, March.
- Swanson, Peggy E., 1987. "Capital market integration over the past decade: The case of the US dollar," Journal of International Money and Finance, Elsevier, vol. 6(2), pages 215-225, June.
- Guilkey, David K & Salemi, Michael K, 1982. "Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 668-80, November.
- Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-71, December.
- Gandolfo, Giancarlo & Padoan, Pietro Carlo & Paladino, Giovanna, 1990. "Exchange rate determination: Single-equation or economy-wide models? : A test against the random walk," Journal of Banking & Finance, Elsevier, vol. 14(5), pages 965-992, November.
- Steven J Cochran & Iqbal Mansur, 1991. "The Interrelationships Between U.S. and Foreign Equity Market Yields: Tests of Granger Causality," Journal of International Business Studies, Palgrave Macmillan, vol. 22(4), pages 723-736, December.
- David A. Pierce & Larry D. Haugh, 1977. "Causality in temporal systems: characterizations and a survey," Special Studies Papers 87, Board of Governors of the Federal Reserve System (U.S.).
- Solnik, Bruno, 1987. " Using Financial Prices to Test Exchange Rate Models: A Note," Journal of Finance, American Finance Association, vol. 42(1), pages 141-49, March.
- Huang, Roger D & Kracaw, William A, 1984. " Stock Market Returns and Real Activity: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 267-73, March.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
- Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
- Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May.
When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:9:y:1998:i:2:p:241-251. 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: (Zhang, Lei)
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.