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 |
| _version_ | 1798028029868376064 |
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| author | Banamber Mishra Matiur Rahman |
| author_facet | Banamber Mishra Matiur Rahman |
| author_sort | Banamber Mishra |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-11T19:01:12Z |
| format | Article |
| id | doaj.art-d91c699872114eab8a09d1d2974eb078 |
| institution | Directory Open Access Journal |
| issn | 1088-6931 2384-1648 |
| language | English |
| last_indexed | 2024-04-11T19:01:12Z |
| publishDate | 2009-03-01 |
| publisher | People & Global Business Association (P&GBA) |
| record_format | Article |
| series | Global Business and Finance Review |
| spelling | doaj.art-d91c699872114eab8a09d1d2974eb0782022-12-22T04:08:01ZengPeople & Global Business Association (P&GBA)Global Business and Finance Review1088-69312384-16482009-03-011418792Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily DataBanamber Mishra0Matiur Rahman1McNeese State University, USAMcNeese State University, USAThis 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.http://www.gbfrjournal.org/pds/journal/thesis/20150622160945-QGHC8.pdfcausalityforeign currencyequity marketspost-crisis daily data |
| spellingShingle | Banamber Mishra Matiur Rahman Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data Global Business and Finance Review causality foreign currency equity markets post-crisis daily data |
| title | Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data |
| title_full | Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data |
| title_fullStr | Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data |
| title_full_unstemmed | Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data |
| title_short | Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data |
| title_sort | causality between foreign currency and equity markets of singapore and thailand evidence from post crisis daily data |
| topic | causality foreign currency equity markets post-crisis daily data |
| url | http://www.gbfrjournal.org/pds/journal/thesis/20150622160945-QGHC8.pdf |
| work_keys_str_mv | AT banambermishra causalitybetweenforeigncurrencyandequitymarketsofsingaporeandthailandevidencefrompostcrisisdailydata AT matiurrahman causalitybetweenforeigncurrencyandequitymarketsofsingaporeandthailandevidencefrompostcrisisdailydata |