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Currency-Adjusted Stock Index Causality

Author

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  • Terrance Jalbert

Abstract

Currency adjusted stock indices consider the impact of both stock value changes and underlying currency value changes on total wealth changes. This paper explores causality and cointegration of currencyadjusted indices using intraday data. This paper examines tick-by-tick data for seven currently available stock indexes, the Philadelphia Housing Index and the Dollar Index for the period 2002-2013. Results show cointegrating relationships between each combination of series examined. The analysis reveals a higher level of causality than found in previous research. The results show bidirectional Granger causality for every index pairwise combination examined

Suggested Citation

  • Terrance Jalbert, 2015. "Currency-Adjusted Stock Index Causality," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(5), pages 83-91.
    • Handle: RePEc:ibf:ijbfre:v:9:y:2015:i:5:p:83-91
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    More about this item

    Keywords

    Cointegration; Stock Index; Currency-Adjusted Stock Index; Dow Jones Industrial Average;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance

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