A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007
In this study the impact of global crisis over intertwining between exchange rates and stock prices is examined in Brazil. Average nominal exchange with US Dollar and Bovespa stock exchange index on weekly basis covering the period from 5th May, 2003 to 6th September, 2011 is used for analysis. Furt...
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| Format: | Article |
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2012
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| _version_ | 1796858959156477952 |
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| author | G., Ali S. M., Ziaei M. B. A., Anwar |
| author_facet | G., Ali S. M., Ziaei M. B. A., Anwar |
| author_sort | G., Ali |
| collection | ePrints |
| description | In this study the impact of global crisis over intertwining between exchange rates and stock prices is examined in Brazil. Average nominal exchange with US Dollar and Bovespa stock exchange index on weekly basis covering the period from 5th May, 2003 to 6th September, 2011 is used for analysis. Furthermore, data was divided into three sub-periods i.e., pre-crisis, crisis period and post-crisis period Results of unit-root test revealed that data of both markets were found to non-stationer)' and integrated at order one. The Johansen cointegration test is applied to investigate the comovement of exchange rates and stock price during three sub-periods. The results show that no proof of cointegration is found during pre-crisis period but only single cointegration is found during and post crisis period. Thereafter, Granger causality test is applied which postulates that bilateral causality is found between exchange rates and stock prices in the pre-crisis period. It can be suggested with the help of results that both series are affected to each other in the short-run. During crisis and post-crisis periods suggested that stock prices are significantly Granger cause to exchange rates. |
| first_indexed | 2024-03-05T19:20:06Z |
| format | Article |
| id | utm.eprints-46467 |
| institution | Universiti Teknologi Malaysia - ePrints |
| last_indexed | 2024-03-05T19:20:06Z |
| publishDate | 2012 |
| record_format | dspace |
| spelling | utm.eprints-464672017-08-27T08:31:29Z http://eprints.utm.my/46467/ A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007 G., Ali S. M., Ziaei M. B. A., Anwar QC Physics In this study the impact of global crisis over intertwining between exchange rates and stock prices is examined in Brazil. Average nominal exchange with US Dollar and Bovespa stock exchange index on weekly basis covering the period from 5th May, 2003 to 6th September, 2011 is used for analysis. Furthermore, data was divided into three sub-periods i.e., pre-crisis, crisis period and post-crisis period Results of unit-root test revealed that data of both markets were found to non-stationer)' and integrated at order one. The Johansen cointegration test is applied to investigate the comovement of exchange rates and stock price during three sub-periods. The results show that no proof of cointegration is found during pre-crisis period but only single cointegration is found during and post crisis period. Thereafter, Granger causality test is applied which postulates that bilateral causality is found between exchange rates and stock prices in the pre-crisis period. It can be suggested with the help of results that both series are affected to each other in the short-run. During crisis and post-crisis periods suggested that stock prices are significantly Granger cause to exchange rates. 2012 Article PeerReviewed G., Ali and S. M., Ziaei and M. B. A., Anwar (2012) A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007. World Applied Sciences Journal, 20 (3). pp. 438-444. ISSN 1818-4952 |
| spellingShingle | QC Physics G., Ali S. M., Ziaei M. B. A., Anwar A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007 |
| title | A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007 |
| title_full | A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007 |
| title_fullStr | A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007 |
| title_full_unstemmed | A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007 |
| title_short | A bivariate causality between Brazilian stock prices and foreign exchange rates: evidence from global financial crisis, 2007 |
| title_sort | bivariate causality between brazilian stock prices and foreign exchange rates evidence from global financial crisis 2007 |
| topic | QC Physics |
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