Panel causality analysis between exchange rates and stock indexes for fragile five
Ersin Açikgöz and
Veli Yilanci ()
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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
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)
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:33-44
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