Relationship between stock market returns and exchangerates in emerging stock markets
This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; befo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Fakultas Ekonomi Dan Bisnis Islam IAIN Raden Intan Lampung
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/53760/1/Relationship%20between%20stock%20market%20returns%20and%20exchangerates%20in%20emerging%20stock%20markets.pdf |
| _version_ | 1825930912662028288 |
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| author | Arshad, M. N. Yahya, Mohamed Hisham |
| author_facet | Arshad, M. N. Yahya, Mohamed Hisham |
| author_sort | Arshad, M. N. |
| collection | UPM |
| description | This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007) and second, after (2008-2012) the financial crisis of 2008. Johansen-Juselius (JJ). Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM) indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient. |
| first_indexed | 2024-03-06T09:18:46Z |
| format | Article |
| id | upm.eprints-53760 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:18:46Z |
| publishDate | 2016 |
| publisher | Fakultas Ekonomi Dan Bisnis Islam IAIN Raden Intan Lampung |
| record_format | dspace |
| spelling | upm.eprints-537602018-01-15T10:33:43Z http://psasir.upm.edu.my/id/eprint/53760/ Relationship between stock market returns and exchangerates in emerging stock markets Arshad, M. N. Yahya, Mohamed Hisham This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007) and second, after (2008-2012) the financial crisis of 2008. Johansen-Juselius (JJ). Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM) indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient. Fakultas Ekonomi Dan Bisnis Islam IAIN Raden Intan Lampung 2016 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/53760/1/Relationship%20between%20stock%20market%20returns%20and%20exchangerates%20in%20emerging%20stock%20markets.pdf Arshad, M. N. and Yahya, Mohamed Hisham (2016) Relationship between stock market returns and exchangerates in emerging stock markets. IKONOMIKA: Jurnal Ekonomi dan Bisnis Islam, 1 (2). pp. 131-143. ISSN 2527-3434; ESSN: 2527-5143 http://ejournal.radenintan.ac.id/index.php/ikonomika/article/view/148 |
| spellingShingle | Arshad, M. N. Yahya, Mohamed Hisham Relationship between stock market returns and exchangerates in emerging stock markets |
| title | Relationship between stock market returns and exchangerates in emerging stock markets |
| title_full | Relationship between stock market returns and exchangerates in emerging stock markets |
| title_fullStr | Relationship between stock market returns and exchangerates in emerging stock markets |
| title_full_unstemmed | Relationship between stock market returns and exchangerates in emerging stock markets |
| title_short | Relationship between stock market returns and exchangerates in emerging stock markets |
| title_sort | relationship between stock market returns and exchangerates in emerging stock markets |
| url | http://psasir.upm.edu.my/id/eprint/53760/1/Relationship%20between%20stock%20market%20returns%20and%20exchangerates%20in%20emerging%20stock%20markets.pdf |
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