Stock Price and Exchange Rate Interactions: The Case of The Philippines

W.N.w Azman-Saini, A M Dayang-Affizah, Siong Hook Law and Muzafar Shah Habibullah

The IUP Journal of Applied Economics, 2007, vol. VI, issue 3, 7-16

Abstract: The paper attempts to empirically determine the causal relationship between the stock price and the exchange rate in the Philippines. Having established the stationarity condition of each series using Augmented Dickey-Fuller (ADF), Phillip-Perron (PP) and mean stationary (KPSS) unit root tests, the causal linkage between the stock price and the exchange rate was examined using the Granger non-causality test as prescribed by Toda and Yamamoto (1995). Results suggest existence of bi-directional causality between exchange rate and stock price in the Philippines over the period 1991 to 2001. The eruption of the recent Asian currency crisis, apparently does not affect the causal structure between these two leading prices in the Philippines.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:06:y:2007:i:3:p:7-16

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