IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Stock Price and Exchange Rate Interactions: The Case of The Philippines

Listed author(s):
  • W N W Azman-Saini
  • A M Dayang-Affizah
  • Siong Hook Law
  • M S Habibullah

The paper attempts to empirically determine the causal relationship between the stock price and the exchange rate in the Philippines. Having established the stationarity condition of each series using Augmented Dickey-Fuller (ADF), Phillip-Perron (PP) and mean stationary (KPSS) unit root tests, the causal linkage between the stock price and the exchange rate was examined using the Granger non-causality test as prescribed by Toda and Yamamoto (1995). Results suggest existence of bi-directional causality between exchange rate and stock price in the Philippines over the period 1991 to 2001. The eruption of the recent Asian currency crisis, apparently does not affect the causal structure between these two leading prices in the Philippines.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Article provided by IUP Publications in its journal The IUP Journal of Applied Economics.

Volume (Year): VI (2007)
Issue (Month): 3 (May)
Pages: 7-16

in new window

Handle: RePEc:icf:icfjae:v:06:y:2007:i:3:p:7-16
Contact details of provider:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:icf:icfjae:v:06:y:2007:i:3:p:7-16. 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: (G R K Murty)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.