Bivariate causality between exchange rates and stock prices in Malaysia
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...
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| Médium: | Článek |
| Jazyk: | English English |
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The Institute for Business and Finance Research
2008
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| On-line přístup: | https://eprints.ums.edu.my/id/eprint/29347/1/Bivariate%20causality%20between%20exchange%20rates%20and%20stock%20prices%20in%20Malaysia.pdf https://eprints.ums.edu.my/id/eprint/29347/2/Bivariate%20causality%20between%20exchange%20rates%20and%20stock%20prices%20in%20Malaysia1.pdf |
| _version_ | 1825714242455601152 |
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| author | Mohd Fahmi Ghazali Wahi Ismail Mohd Rushdan Yasoa’ Nelson Lajuni |
| author_facet | Mohd Fahmi Ghazali Wahi Ismail Mohd Rushdan Yasoa’ Nelson Lajuni |
| author_sort | Mohd Fahmi Ghazali |
| collection | UMS |
| description | 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. |
| first_indexed | 2024-03-06T03:08:53Z |
| format | Article |
| id | ums.eprints-29347 |
| institution | Universiti Malaysia Sabah |
| language | English English |
| last_indexed | 2024-03-06T03:08:53Z |
| publishDate | 2008 |
| publisher | The Institute for Business and Finance Research |
| record_format | dspace |
| spelling | ums.eprints-293472021-09-21T07:39:19Z https://eprints.ums.edu.my/id/eprint/29347/ Bivariate causality between exchange rates and stock prices in Malaysia Mohd Fahmi Ghazali Wahi Ismail Mohd Rushdan Yasoa’ Nelson Lajuni HB1-3840 Economic theory. Demography 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. The Institute for Business and Finance Research 2008 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/29347/1/Bivariate%20causality%20between%20exchange%20rates%20and%20stock%20prices%20in%20Malaysia.pdf text en https://eprints.ums.edu.my/id/eprint/29347/2/Bivariate%20causality%20between%20exchange%20rates%20and%20stock%20prices%20in%20Malaysia1.pdf 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 https://www.researchgate.net/publication/228241202 |
| spellingShingle | HB1-3840 Economic theory. Demography Mohd Fahmi Ghazali Wahi Ismail Mohd Rushdan Yasoa’ Nelson Lajuni Bivariate causality between exchange rates and stock prices in Malaysia |
| title | Bivariate causality between exchange rates and stock prices in Malaysia |
| title_full | Bivariate causality between exchange rates and stock prices in Malaysia |
| title_fullStr | Bivariate causality between exchange rates and stock prices in Malaysia |
| title_full_unstemmed | Bivariate causality between exchange rates and stock prices in Malaysia |
| title_short | Bivariate causality between exchange rates and stock prices in Malaysia |
| title_sort | bivariate causality between exchange rates and stock prices in malaysia |
| topic | HB1-3840 Economic theory. Demography |
| url | https://eprints.ums.edu.my/id/eprint/29347/1/Bivariate%20causality%20between%20exchange%20rates%20and%20stock%20prices%20in%20Malaysia.pdf https://eprints.ums.edu.my/id/eprint/29347/2/Bivariate%20causality%20between%20exchange%20rates%20and%20stock%20prices%20in%20Malaysia1.pdf |
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