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 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

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Year of publication:	2010
Authors:	Mohd Fahmi Ghazali
Other Persons:	Ismail, Wahi (contributor) ; Yasoa, Mohd Rushdan (contributor) ; Lajuni, Nelson (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Börsenkurs \| Share price \| Wechselkurs \| Exchange rate \| Malaysia \| Kausalanalyse \| Causality analysis \| Schätzung \| Estimation

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The International Journal of Business and Finance Research, Vol. 2, No. 1, pp. 53-59, 2008 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2008 erstellt
Classification:	D4 - Market Structure and Pricing ; D46 - Value Theory ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013148464