Stock Prices and Exchange Rates in Indonesia: Further Evidence

Bakri, Abdul Karim and Yau, Josephine Tan Hwang and Norlina, Kadri and Dzul Hadzwan, Husaini (2018) Stock Prices and Exchange Rates in Indonesia: Further Evidence. UNIMAS Review Accounting and Finance, 1 (1). pp. 92-98. ISSN 2590-3543 (In Press)

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Abstract

The paper examines the relationship between stock prices and exchange rates for the case of Indonesia. The study uses daily and weekly data for the period January 1998 to December 2007. We employed Toda and Yamamoto (1995) Granger non-causality test in both bivariate and multivariate setting to examine the relationship between stock prices and exchange rates. The results of this study suggest a strong evidence of bi-directional causality between these two financial variables. The results have implications for investors, practitioners and policy makers.

Item Type: Article
Uncontrolled Keywords: Exchange rates, Stock Prices, Causality, Indonesia, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Abdul Karim
Date Deposited: 17 Dec 2018 02:37
Last Modified: 03 May 2021 14:18
URI: http://ir.unimas.my/id/eprint/22757

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