Search Results - subject:"Linear and nonlinear causality tests"

Oil market uncertainty and international business cycle dynamics

Yin, Libo; Feng, Jiabao - In: Energy economics 81 (2019), pp. 728-740

Persistent link: https://www.econbiz.de/10012172959

Relationship Between Exchange Rates and Stock Prices in Transition Economies Evidence from Linear and Nonlinear Causality Tests

Akel, Gunay - International Institute of Social and Economic Sciences - 2014

The existence of causation linkage between stock prices and exchange rates is one of the popular debate especially since the beginning of 1990s. The aim of this paper is to investigate the nature of the causal transmission mechanism between foreign exchange and stock markets in 9 transition...

Persistent link: https://www.econbiz.de/10011207343

Relationship Between Exchange Rates and Stock Prices in Transition Economies Evidence from Linear and Nonlinear Causality Tests

Nazl, Saban; Kar, Muhsin; Akel, Gunay - International Institute of Social and Economic Sciences - 2014

Persistent link: https://www.econbiz.de/10011210383

Stock market volatility and business cycle : evidence from linear and nonlinear causality tests

Choudhry, Taufiq; Papadimitriou, Fotios I.; Shabi, Sarosh - In: Journal of banking & finance 66 (2016), pp. 89-101

Persistent link: https://www.econbiz.de/10011634560

The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test

Liu, Li; Wan, Jieqiu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 23, pp. 6051-6059

This paper explores the co-movement of Shanghai stock market and China Yuan (CNY) exchange rates. First, we find that stock price and exchange rate are significantly cross-correlated. Second, employing a cointegration test allowing for a structural break, we find that the Shanghai Composite...

Persistent link: https://www.econbiz.de/10011059904