Dynamics between stock price and exchange rates in Australia, Canada and New Zealand.
Our study examines the long and short run relationships between stock market performances and exchange rates of three commodity-export dependent countries namely Australia, Canada and New Zealand, after their adoption of a floating exchange rate. This provides an additional outlook and further insig...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/15272 |
| _version_ | 1826123665745379328 |
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| author | Lim, Chee Li. Ng, Pei Wen. |
| author2 | Choong Chewn Seng, Edmund |
| author_facet | Choong Chewn Seng, Edmund Lim, Chee Li. Ng, Pei Wen. |
| author_sort | Lim, Chee Li. |
| collection | NTU |
| description | Our study examines the long and short run relationships between stock market performances and exchange rates of three commodity-export dependent countries namely Australia, Canada and New Zealand, after their adoption of a floating exchange rate. This provides an additional outlook and further insights into the contending issue of the presence of any causal relationship between foreign exchange markets and stock markets. We investigate the existence and direction of the causal relationship between stock prices and exchange rates, using daily data that spans across three normal periods and two crisis periods, namely the 1987 and 1997 financial crisis. Employing Augmented Dickey-Fuller test, cointegrating VAR test and Granger Causality test, our study ascertained a positive causality between the two variables. A long-run relationship was found to be absent for both Australia and Canada but apparent for New Zealand. The direction of causality returned a spectrum of varying results, but Australia and New Zealand generally purported the portfolio balance theory. |
| first_indexed | 2024-10-01T06:08:05Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/15272 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:08:05Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | ntu-10356/152722023-05-19T06:09:00Z Dynamics between stock price and exchange rates in Australia, Canada and New Zealand. Lim, Chee Li. Ng, Pei Wen. Choong Chewn Seng, Edmund Nanyang Business School DRNTU::Business::Finance::Equity Our study examines the long and short run relationships between stock market performances and exchange rates of three commodity-export dependent countries namely Australia, Canada and New Zealand, after their adoption of a floating exchange rate. This provides an additional outlook and further insights into the contending issue of the presence of any causal relationship between foreign exchange markets and stock markets. We investigate the existence and direction of the causal relationship between stock prices and exchange rates, using daily data that spans across three normal periods and two crisis periods, namely the 1987 and 1997 financial crisis. Employing Augmented Dickey-Fuller test, cointegrating VAR test and Granger Causality test, our study ascertained a positive causality between the two variables. A long-run relationship was found to be absent for both Australia and Canada but apparent for New Zealand. The direction of causality returned a spectrum of varying results, but Australia and New Zealand generally purported the portfolio balance theory. BUSINESS 2009-04-22T08:22:52Z 2009-04-22T08:22:52Z 2009 2009 Final Year Project (FYP) http://hdl.handle.net/10356/15272 en Nanyang Technological University 55 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Equity Lim, Chee Li. Ng, Pei Wen. Dynamics between stock price and exchange rates in Australia, Canada and New Zealand. |
| title | Dynamics between stock price and exchange rates in Australia, Canada and New Zealand. |
| title_full | Dynamics between stock price and exchange rates in Australia, Canada and New Zealand. |
| title_fullStr | Dynamics between stock price and exchange rates in Australia, Canada and New Zealand. |
| title_full_unstemmed | Dynamics between stock price and exchange rates in Australia, Canada and New Zealand. |
| title_short | Dynamics between stock price and exchange rates in Australia, Canada and New Zealand. |
| title_sort | dynamics between stock price and exchange rates in australia canada and new zealand |
| topic | DRNTU::Business::Finance::Equity |
| url | http://hdl.handle.net/10356/15272 |
| work_keys_str_mv | AT limcheeli dynamicsbetweenstockpriceandexchangeratesinaustraliacanadaandnewzealand AT ngpeiwen dynamicsbetweenstockpriceandexchangeratesinaustraliacanadaandnewzealand |