Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia
The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.
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- W N W Azman-Saini & M S Habibullah & Siong Hook Law & A M Dayang-Affizzah, 2007.
"Stock Prices, Exchange Rates and Causality in Malaysia: A Note,"
The IUP Journal of Financial Economics,
IUP Publications, vol. 0(1), pages 7-13, March.
- Azman-Saini, W.N.W. & Habibullah, M.S. & Law, Siong Hook & Dayang-Afizzah, A.M., 2006. "Stock prices, exchange rates and causality in Malaysia: a note," MPRA Paper 656, University Library of Munich, Germany.
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