EconPapers    
Economics at your fingertips  
 

Panel causality analysis between exchange rates and stock indexes for fragile five

Mehmet Pekkaya, Ersin Açikgöz and Veli Yilanci ()
Additional contact information
Mehmet Pekkaya: Bulent Ecevit University, Turkey
Ersin Açikgöz: Bulent Ecevit University, Turkey

Theoretical and Applied Economics, 2017, vol. XXIV, issue 2(611), Summer, 33-44

Abstract: Having become too dependent on foreign capital inflows to finance their economies can be expressed for the fragile five countries. The purpose of this study is to determine the existence and direction of casual relationship between stock indexes and exchange rates for the fragile five. According to Dumitrescu-Hurlin’s panel causality test for fragile five countries, bidirectional Granger causality relation is detected for overall data, except before mortgage crisis term, from exchange rate to stock indexes. Dumitrescu-Hurlin’s test and a modified type of sequential panel selection methodology are also conducted for searching the determiners of the casual relationship for each time interval.

Keywords: causality relation; fragile five; exchange rates; stock markets; panel data. (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://store.ectap.ro/articole/1267.pdf (application/pdf)
http://www.ectap.ro/articol.php?id=1267&rid=127 (text/html)

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:agr:journl:v:xxiv:y:2017:i:2(611):p:33-44

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Marin Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania - AGER Contact information at EDIRC.
Bibliographic data for series maintained by Marin Dinu ().

 
Page updated 2018-06-06
Handle: RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:33-44