Causal Relationship between Stock Prices and Exchange Rates
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- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011. "Causal relationship between stock prices and exchange rates," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(1), pages 67-86.
- Alagidede, Paul & Panagiotidis, Theodore & Zhang, Xu, 2010. "Causal Relationship between Stock Prices and Exchange Rates," Stirling Economics Discussion Papers 2010-05, University of Stirling, Division of Economics.
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More about this item
Keywords
Granger Causality; Stock Prices; Exchange Rates; Hiemstra-Jones Test; Nonparametric Causality.;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IFN-2010-04-17 (International Finance)
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