Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries

Mevlud Islami ()

No sdp08007, Schumpeter Discussion Papers from Universitätsbibliothek Wuppertal, University Library

Abstract: In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland, Portugal, Spain, Greece, Poland, Czech Republic, Slovenia, and Hungary are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links for Poland are identified. Conversely, for Slovenia, Hungary, Ireland, and Spain merely short-term links resulted. Surprisingly, the direction of causation is unambiguously from the stock market index to the exchange rate for all six countries considered.

Keywords: Exchange Rate; Stock Markets; Cointegration; VAR; European Integration (search for similar items in EconPapers)
JEL-codes: E44 F31 G15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2008-12
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://elekpub.bib.uni-wuppertal.de/ubwhsmig/down ... riginalFilename=true (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:bwu:schdps:sdp08007

Access Statistics for this paper

More papers in Schumpeter Discussion Papers from Universitätsbibliothek Wuppertal, University Library
Bibliographic data for series maintained by Frank Hoffmann ().