Stock prices, exchange rates and causality in Malaysia : a note
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 betwee...
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| 主要な著者: | , , , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Economic Division
2006
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| 主題: | |
| オンライン･アクセス: | http://ir.unimas.my/id/eprint/1789/1/stock%2Bprices%2Bexchange%2Brates%2Band%2Bcasuality%2B%2528abstract%2529%20%281%29.pdf http://ir.unimas.my/id/eprint/1789/ |
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| 要約: | 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. |
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