The Causality Between Stock Returns and Exchange Rates
Author | : Bala Ramasamy |
Publisher | : |
Total Pages | : 34 |
Release | : 2001 |
Genre | : Foreign exchange rates |
ISBN | : |
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Author | : Bala Ramasamy |
Publisher | : |
Total Pages | : 34 |
Release | : 2001 |
Genre | : Foreign exchange rates |
ISBN | : |
Author | : Amber Ozair |
Publisher | : |
Total Pages | : 138 |
Release | : 2006 |
Genre | : Business forecasting |
ISBN | : |
This thesis investigates the direction of causality as well as short-run dynamics and long-run equilibrium relationship between stock prices and exchange rates using quarterly data for the period 1960:1--2004:4. The studies apply techniques of the unit root, cointegration and Standard Granger causality tests to examine the relationship between these two financial variables. The empirical results reveal that there is no causal linkage and no cointegration between the stock prices and exchange rates as suggested under Traditional and Portfolio approaches. The results support the view that the semi-strong form of EMH holds true for the U.S. financial markets.
Author | : Sudharshan Reddy Paramati |
Publisher | : |
Total Pages | : 14 |
Release | : 2013 |
Genre | : |
ISBN | : |
In this paper study aims to investigate the relationship between call money rates, exchange rates and stock returns from the perspective of India. We use monthly data for the time span of April 1992 to March 2011. This provides sufficient data set for the empirical analysis. Result from Granger causality test evidences bidirectional relationship between call money rates and exchange rates. It is also identified that call money rates and exchange rates Granger cause stock returns and did not find reverse causality from stock returns to call money and exchange rates. To explore, lead-lag interaction among the variables studied we employed VAR models. Results suggest that there is substantial lead-lag relationship from call money rates to exchange rates and stock returns. Similar relationship also found from exchange rates to call money rates and stock returns. However, there is no evidence of lead-lag causation from stock returns to call money and exchange rates. Findings of this study are useful for the investors and policy makers. In investors' standpoint, they can utilize this historical information of call money rates and exchange rates for predicting the movements of stock returns. Similarly, policy makers can stabilize the stock market fluctuations by adopting appropriate policies towards interest rates and exchange rates for time to time.
Author | : Yaşar Köse |
Publisher | : |
Total Pages | : 9 |
Release | : 2016 |
Genre | : |
ISBN | : |
The aim of this paper is to investigate the existence and direction of relationship between stock prices and exchange rates for Turkish financial market. Granger (1969) causality testing methodology was employed to reveal the nature of relationship between the two variables. This work contributes to the existing body of literature in the way that in Turkish financial market, there is a uni-directional causality running from stock prices to exchange rates using the daily observations for the sample period, which runs from February 23, 2001 to November 4, 2009. Also, the model used in this study extends the scope of exchange rate variables including a total of five currencies í US dollar, Euro, Japanese Yen, Pound Sterling, Swiss Franc and two baskets of currencies of Undersecretariat of Foreign Trade of Turkey. This evidence has implications for the policy makers and economic actors to perceive the movements in stock prices as a dynamic determinant, which may affect the success of their exchange rate policies.
Author | : Satish Batchu |
Publisher | : |
Total Pages | : 10 |
Release | : 2015 |
Genre | : |
ISBN | : |
The present study investigate the relationship between sensex returns and Indian-USD Exchange rates and the impact of the time series on each other. Exchange rate fluctuation will effect international trades, thus influence the stock market. The study is based on the secondary sources obtained from BSE and RBI database for the period from 1st January 2005 to 30th June, 2015. In the course of analysis, appropriate econometrics tools are used. ADF and PP Unit root test shows stationarity at level. Johansen cointegration test result indicates that there exist a long term relationship among the select variables. Correlation between exchange rates and stock rates was found to be negative. Granger causality test highlighted unidirectional relationship running from stock returns to exchange rates.
Author | : Shigeyuki Hamori |
Publisher | : Springer Science & Business Media |
Total Pages | : 140 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1441992081 |
An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Author | : Van-Hop Nguyen |
Publisher | : |
Total Pages | : 12 |
Release | : 2019 |
Genre | : |
ISBN | : |
This study examines the long- and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six countries, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period December 2007 to May 2013. The evidence suggests that the global financial crisis 2007-2009 is an important determinant of the link between the domestic stock and foreign exchange markets. The exchange rate is negatively related to the domestic stock market for emerging countries but positively for developed countries for entire sample and during the crisis. However, this relationship became positive for all countries after the crisis, except United Kingdom. The finding also indicates that the exchange rate movements contain some significant information to forecast the stock returns of these markets.
Author | : Clive William John Granger |
Publisher | : |
Total Pages | : 0 |
Release | : 1998 |
Genre | : Financial crises |
ISBN | : |
Author | : Lokman Gunduz |
Publisher | : |
Total Pages | : 0 |
Release | : 2002 |
Genre | : |
ISBN | : |
This paper examines the causality between the exchange rates and stock prices in the Middle East and North Africa Region before and after Asian financial crisis. Applying a non-causality testing procedure developed by Toda and Yamamoto (1995), we empirically find that there is a unidirectional Granger causality from exchange rates to stock prices for Israel and Morocco before and after the Asian financial crisis, and for Jordan only after the crisis. However the causality runs from stock prices to exchange rates for Turkey after the Asian financial crisis. Moreover, we do not find any support for causal relationship between these two variables for Egypt. These findings have implications regarding the influence of exchange rates on the development of stock markets and the effect of financial crises on the relation between stock prices and exchange rates.
Author | : Stijn Claessens |
Publisher | : World Bank Publications |
Total Pages | : 28 |
Release | : 1995 |
Genre | : Rate of return |
ISBN | : |