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

Gunay Akel ()
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Gunay Akel: Necmettin Erbakan University

No 401783, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: 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 countries (i.e., Bulgaria, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, and Russia) for the periods of 1995-2011. The results of the paper show that uni-directional linear Granger causality running from exchange rates to stock prices for 4 countries (i.e., Czech Republic, Hungary, Poland, and Romania) and a feedback exists between two markets for only Russia when both linear and nonlinear Granger causality are used.

Keywords: Exchange Rates; Stock Prices; Transition Economies; Linear and Nonlinear Causality Tests (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2014-07
New Economics Papers: this item is included in nep-cis, nep-opm and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Proceedings of the Proceedings of the 2nd Economics & Finance Conference, Vienna, Jul 2014, pages 1-13

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https://iises.net/proceedings/2nd-economics-financ ... cid=4&iid=1&rid=1783 First version, 2014

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:0401783

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