Stock prices, exchange rates and causality in Malaysia : a note

Azman-Saini, W.N.W. and Habibullah, M.S. and Siong, Hook Law and Dayang-Affizzah, A.M. (2006) Stock prices, exchange rates and causality in Malaysia : a note. MPRA Paper No. 656, posted 3. November 2006, 656 (3).

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Abstract

This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for 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.

Item Type: Article
Uncontrolled Keywords: Exchange rate, causality, stock prices, Malaysia, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 17 Apr 2014 04:07
Last Modified: 06 Mar 2017 07:14
URI: http://ir.unimas.my/id/eprint/1789

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