CURRENCY-ADJUSTED STOCK INDEX CAUSALITY

Terrance Jalbert

The International Journal of Business and Finance Research, 2015, vol. 9, issue 5, 83-91

Abstract: Currency adjusted stock indices consider the impact of both stock value changes and underlying currency value changes on total wealth changes. This paper explores causality and cointegration of currencyadjusted indices using intraday data. This paper examines tick-by-tick data for seven currently available stock indexes, the Philadelphia Housing Index and the Dollar Index for the period 2002-2013. Results show cointegrating relationships between each combination of series examined. The analysis reveals a higher level of causality than found in previous research. The results show bidirectional Granger causality for every index pairwise combination examined

Keywords: Cointegration; Stock Index; Currency-Adjusted Stock Index; Dow Jones Industrial Average (search for similar items in EconPapers)
JEL-codes: D14 F15 G11 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:9:y:2015:i:5:p:83-91

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