Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach

Sima Siami-Namini

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 4, 603-607

Abstract: This research article attempts to examine the relationship between exchange rate (EX) and stock price using quarterly data of Iran on nominal EX, stock price index, liquidity and consumer price index covering the period of 1994:02 to 2010:01. It also investigates the long-run relationship between variables using Johansen and Juselius (1990) co-integration test and the short-run dynamic causal relationship by using Toda and Yamamoto (1995) procedure. Likewise, variance decompositions serve as tools for evaluating the dynamics interactions and strength of causal relations among variables in the system. The results show that there is no any significant evidence of a relationship between stock prices and EXs.

Keywords: Exchange Rates; Stock Prices; Johansen and Juselius Co-integration Test; Toda Yamamoto Causality Test (search for similar items in EconPapers)
JEL-codes: C32 E31 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-04-70

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