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

Azman-Saini, W.N.W. and Habibullah, M.S. and Dayang-Affizzah, A.M. and Siong Hook, Law (2006) Stock prices, exchange rates and causality in Malaysia : a note. Working Paper. Economic Division.

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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: Monograph (Working Paper)
Uncontrolled Keywords: UNIMAS, Causality, exchange rate, stock price, Malaysia, research, Universiti Malaysia Sarawak, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education
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: 20 Mar 2014 03:56
Last Modified: 05 Apr 2016 07:06
URI: http://ir.unimas.my/id/eprint/1274

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