Does relationship exist between exchange rates and stock prices: evidence from Malaysia?

Ng, Brendan Loi Phu (2011) Does relationship exist between exchange rates and stock prices: evidence from Malaysia? Masters thesis, Universiti Malaysia Sabah.

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Abstract

This study attempts to illustrate the dynamic relationship between Bursa Malaysia Stock index and Malaysian Ringgit Exchange Rate. Although the positive co-movement between each variable can be seen, the direction of causality still remains unresolved in both theory and empirical studies. Types of investigation are to establish whether long run relationships exist and to determine the causality between exchange rates and stock prices in Malaysia. Data used are time series and range from 22nd July, 2005 to 30th March, 2011. Daily observations of RM/USD exchange rates and the Malaysian stock prices are gathered and analyze using the EViews statistical tools. The empirical evident reported that both variables have long-run relationship; and the direction is unidirectional where the causal relationship run from exchange rate to stock price during the sample period, which is consistent with Flow Oriented Model.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Bursa Malaysia Stock index, Malaysian Ringgit Exchange Rate, Flow Oriented Model, sample period
Subjects: H Social Sciences > HG Finance
Divisions: SCHOOL > School of Business and Economics
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 19 Nov 2013 06:49
Last Modified: 12 Oct 2017 02:59
URI: http://eprints.ums.edu.my/id/eprint/7595

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