Stock prices, exchange rates and causality in Malaysia: a note

W.N.w Azman-Saini, Muzafar Shah Habibullah, Siong Hook Law and A.M. Dayang-Afizzah

MPRA Paper from University Library of Munich, Germany

Abstract: This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange rates stability is important for stock market well-being.

Keywords: Exchange rates; Stock prices; Causality; Malaysia (search for similar items in EconPapers)
JEL-codes: F31 G1 (search for similar items in EconPapers)
Date: 2006-10
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Stock Prices, Exchange Rates and Causality in Malaysia: A Note (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:656

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