Stock Prices, Exchange Rates and Causality in Malaysia: A Note

W.N.W Azman-Saini (), Muzafar Shah Habibullah (), Siong Hook Law () and A M Dayang-Affizzah

The IUP Journal of Journal of Financial Economics, 2007, vol. V, issue 1, pages 7-13

Abstract: This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines the causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (1995). The study indicates a feedback interaction between exchange rates and stock prices during the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange rates stability is important for stock market well-being.

Date: 2007

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Persistent link: http://EconPapers.repec.org/RePEc:icf:icfjfe:v:05:y:2007:i:1:p:7-13

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