EconPapers    
Economics at your fingertips  
 

On the co-movements among Stock prices and exchange rates cointegration: a VAR/VECM approach

Moussa Wajdi

Journal of Finance and Investment Analysis, 2019, vol. 8, issue 1, 5

Abstract: In this paper, based on the cointegration test, the causality test and the VECM model, we have shown that there is a two-way causality and a long-term relationship between the stock market and the exchange rate of each country. Our results lead to important implications from the point of view of investors and policy makers. They are highly relevant to the financial decisions of international investors on the management of their risks exposed to fluctuations in exchange rates and stock prices and on the benefits of potential diversification opportunities that may arise due to the decline in dependence between exchange rates and stock prices. JEL classification numbers: C1, C53, F37, G15Keywords: Exchange rates, Stock Prices, VECM Model, Granger Causality.

Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%208_1_5.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:spt:fininv:v:8:y:2019:i:1:f:8_1_5

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().

 
Page updated 2018-12-01
Handle: RePEc:spt:fininv:v:8:y:2019:i:1:f:8_1_5