Stock Prices, Exchange Rates and Causality in Malaysia: A Note
This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines the causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (1995). The study indicates a feedback interaction between exchange rates and stock prices during the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange rates stability is important for stock market well-being.
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Volume (Year): V (2007)
Issue (Month): 1 (March)
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- Issam Abdalla & Victor Murinde, 1997. "Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 25-35.
- DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
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