EconPapers    
Economics at your fingertips  
 

Bivariate causality between exchange rates and stock prices in South Asia

Russell Smyth and M. Nandha

Applied Economics Letters, 2003, vol. 10, issue 11, 699-704

Abstract: This article examines the relationship between exchange rates and stock prices in Bangladesh, India, Pakistan and Sri Lanka using daily data over a six-year period from 1995 to 2001. Both the Engle-Granger two-step and Johansen cointegration methods suggest that there is no long-run equilibrium relationship between these two financial variables in any of the four countries. Granger causality tests find that there is uni-directional causality running from exchange rates to stock prices in India and Sri Lanka, but in Bangladesh and Pakistan exchange rates and stock prices are independent.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (54)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:10:y:2003:i:11:p:699-704

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/1350485032000133282

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst (chris.longhurst@tandf.co.uk).

 
Page updated 2025-01-06
Handle: RePEc:taf:apeclt:v:10:y:2003:i:11:p:699-704