Stock Price and Exchange Rate Interaction in Indonesia: An Empirical Inquiry

W.N.w Azman-Saini, Muzafar Shah Habibullah and M Azali
Additional contact information
Muzafar Shah Habibullah: Associate Professor, Respectively Departement of Economics, Faculty of Economics and Management, Putra Malaysia University, Malaysia
Authors registered in the RePEc Author Service: M. Azali

Economics and Finance in Indonesia, 2002, vol. 50, 311-320

Abstract: Tujuan utama dari tulisan ini adalah untuk menginvestigasi hubungan kausalitas antara stock price dan exchange rate di Indonesia. Setelah mengintegrasikan setiap series dengan menggunakan unit root test ADF, PP, dan KPSS, seperti hubungan kausalitas diuji dengan Granger non-causality test yang diperkenalkan oleh Toda dan Yamato (1995). Hasilnya menunjukkan bahwa ada kausalitas dua arah (bi-directional) antara exchange rate dan stock price sebelum terjadinya krisis keuangan di Asia. Namun, selama krisis, exchange rate mempengaruhi stock market di Indonesia.

Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
https://lpem.org/repec/lpe/efijnl/200210.pdf (application/pdf)

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:lpe:efijnl:200210

Access Statistics for this article

More articles in Economics and Finance in Indonesia from Faculty of Economics and Business, University of Indonesia Contact information at EDIRC.
Bibliographic data for series maintained by Muhammad Halley Yudhistira ( this e-mail address is bad, please contact ).