Bivariate causality between exchange rates and stock prices in Malaysia

Mohd Fahmi Ghazali and Wahi Ismail and Mohd Rushdan Yasoa’ and Nelson Lajuni (2008) Bivariate causality between exchange rates and stock prices in Malaysia. The International Journal of Business and Finance Research, 2. pp. 53-59. ISSN 2641-5313

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Abstract

The main purpose of this paper is to examine the relationship between stock prices and exchange rates in Malaysia. This research considers high-frequency data of USD-MYR exchange rates and Kuala Lumpur Composite Index (KLSE) from July 22, 2005 to March 23, 2007, which is the period when the MYR was unpegged. The Johansen cointegration method suggests that there is no long-run equilibrium relationship between these two financial variables. Both Engle Granger and Toda-Yamamoto causality tests find that there is uni-directional causality running from stock prices to exchange rates.

Item Type:	Article
Keyword:	Bivariate , Causality , Exchange Rates , Stock Prices
Subjects:	H Social Sciences > HB Economic theory. Demography > HB1-3840 Economic theory. Demography
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	SITI AZIZAH BINTI IDRIS -
Date Deposited:	21 Sep 2021 15:39
Last Modified:	21 Sep 2021 15:39
URI:	https://eprints.ums.edu.my/id/eprint/29347

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