Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland, Portugal, Spain, Greece, Poland, Czech Republic, Slovenia, and Hungary are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links for Poland are identified. Conversely, for Slovenia, Hungary, Ireland, and Spain merely short-term links resulted. Surprisingly, the direction of causation is unambiguously from the stock market index to the exchange rate for all six countries considered.
|Date of creation:||Dec 2008|
|Date of revision:|
|Contact details of provider:|| Web page: http://elpub.bib.uni-wuppertal.de|
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.:
- Oliver HoltemÃ¶ller, 2005.
"Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries,"
International Economics and Economic Policy,
Springer, vol. 2(1), pages 33-63, 06.
- Holtemöller, Oliver, 2003. "Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries," SFB 373 Discussion Papers 2003,40, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Stavarek, Daniel, 2004. "Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions," MPRA Paper 7297, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:bwu:schdps:sdp08007. 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: (Frank Hoffmann)
If references are entirely missing, you can add them using this form.