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COINTEGRATION AND CAUSALITY BETWEEN STOCK PRICES AND EXCHANGE RATES: EMPIRICAL EVIDENCE FROM DEVELOPED & DEVELOPING ECONOMIES |
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| รหัสดีโอไอ | |
| Creator | Rabia Luqman, Rehana Kouser |
| Title | COINTEGRATION AND CAUSALITY BETWEEN STOCK PRICES AND EXCHANGE RATES: EMPIRICAL EVIDENCE FROM DEVELOPED & DEVELOPING ECONOMIES |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2562 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 10 |
| Journal No. | 7 |
| Page no. | 887-896 |
| Keyword | Exchange Rates, Johansen Cointegration Test, Unit Root Tests, Granger Causality Test. |
| URL Website | http://tuengr.com/Vol10_7.html |
| Website title | ITJEMAST V10(6) 2019 @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | To predict the volatility and unexpected changes between the currency and equity markets is one of the prime focus for the academicians as it leads towards changes in country wealth. Relationship between these two variables has gained much importance in last era from both theoretical and empirical perspective. This study aims to investigate that either stock price affects the exchange rate and exchange rate affect the stock price. Daily data of stock indices and real exchange rate for 14 countries includes Canada, France, Germany, Italy, Japan, UK, USA, Russia, Brazil, China, India, Mexico and South Africa and Pakistan has been considered as sample data for this study. There is no study conducted for daily data by using these countries for 2000-2016-time period. Unit root test (ADF & PP), Johansen's Cointegration test, Error Correction Model and Granger Causality is applied to test the short and long run relationship between the variable of study. Study find the long run relationship between the variables in all the countries but there is less evidence of short run relationship between stock price and exchange rate for the selected countries. |
