Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data
This paper investigates the causality between foreign currency and stock markets of Singapore and Thailand by using high frequency daily data from January 3, 2000 through December 28, 2007. A conventional autoregressive model with its reverse specification is implemented (Granger, 1988). The evidenc...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
2009-03-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150622160945-QGHC8.pdf |
| Summary: | This paper investigates the causality between foreign currency and stock markets of Singapore and Thailand by using high frequency daily data from January 3, 2000 through December 28, 2007. A conventional autoregressive model with its reverse specification is implemented (Granger, 1988). The evidences on short-run causality between foreign currency and stock markets of both countries are bidirectional with interactive feedbacks. |
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| ISSN: | 1088-6931 2384-1648 |