Please use this identifier to cite or link to this item: https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/2116
Title: A Study of the Interaction Between Exchange Rates and Stock Market Prices
Authors: Dash, Mihir
Sahu, Ajit Kumar
Keywords: Exchange rates
Stock market prices
Granger causality
Flow-oriented model
Portfolio balance model
Issue Date: 7-Jun-2018
Publisher: International Journal of Economics and Business Research
Citation: Vol. 15, No. 4; pp. 541-549
Abstract: This study examines the interaction between exchange rates and stock market prices in some developed economies (viz. Australia, Japan, Canada, UK, USA, Hong Kong, and Switzerland) and some emerging economies (China and Brazil). The study period considered is from 01/01/2007 to 23/07/2012, and the study is based on weekly data. The results of the study provide evidence of uni-directional Granger causality of exchange rates on stock market returns, except in cases of China and Canada. The results support the flow-oriented model, which suggests that changes in exchange rates cause changes in stock prices, and provide evidence against the portfolio balance model, which suggests that stock market movements cause changes in the exchange rate.
URI: https://doi.org/10.1504/IJEBR.2018.092142
http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/2116
ISSN: 1756-9850
1756-9869
Appears in Collections:Journal Articles

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