Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman
This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical results...
| Main Authors: | , |
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| Format: | Research Reports |
| Language: | English |
| Published: |
Research Management Institute, Universiti Teknologi MARA
2004
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| Online Access: | https://ir.uitm.edu.my/id/eprint/26394/ |
| _version_ | 1848806516086276096 |
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| author | Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar |
| author_facet | Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar |
| author_sort | Ab Rahman, Nik Muhammad Naziman |
| building | UiTM Institutional Repository |
| collection | Online Access |
| description | This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical results show that, in general, exchange rates Granger-cause stock prices with less significant causal relations from stock prices to exchange rates. Furthermore, this one-way Granger causality effect from exchange rates to stock prices becomes less significant during the Asian financial crisis of 1997. Our results also suggest that, there is insignificant long-run outlook (no cointegration) except for Hong Kong, implies that these financial assets share no common trends in their economy system and hence they will move apart in the long-run for countries that have higher trade size exchange rate fluctuations tend to exhibit significant influence on the equity market, regardless of the exchange rate arrangement system and the degree of capital controls during the Asian financial crisis |
| first_indexed | 2025-11-14T22:28:10Z |
| format | Research Reports |
| id | uitm-26394 |
| institution | Universiti Teknologi MARA |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T22:28:10Z |
| publishDate | 2004 |
| publisher | Research Management Institute, Universiti Teknologi MARA |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | uitm-263942019-11-28T08:32:40Z https://ir.uitm.edu.my/id/eprint/26394/ Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar Foreign exchange. Foreign exchange rates This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical results show that, in general, exchange rates Granger-cause stock prices with less significant causal relations from stock prices to exchange rates. Furthermore, this one-way Granger causality effect from exchange rates to stock prices becomes less significant during the Asian financial crisis of 1997. Our results also suggest that, there is insignificant long-run outlook (no cointegration) except for Hong Kong, implies that these financial assets share no common trends in their economy system and hence they will move apart in the long-run for countries that have higher trade size exchange rate fluctuations tend to exhibit significant influence on the equity market, regardless of the exchange rate arrangement system and the degree of capital controls during the Asian financial crisis Research Management Institute, Universiti Teknologi MARA 2004-04 Research Reports NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/26394/1/LP_NIK%20MUHAMMAD%20NAZIMAN%20AB%20RAHMAN%20RMI%20K%2004_5.pdf Ab Rahman, Nik Muhammad Naziman and Hj. Wahab, Anuar (2004) Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman. (2004) [Research Reports] (Unpublished) |
| spellingShingle | Foreign exchange. Foreign exchange rates Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman |
| title | Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman |
| title_full | Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman |
| title_fullStr | Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman |
| title_full_unstemmed | Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman |
| title_short | Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman |
| title_sort | price dynamics in relation to foreign exchange market and kuala lumpur composite index: a cointegration approach / nik muhammad naziman ab rahman |
| topic | Foreign exchange. Foreign exchange rates |
| url | https://ir.uitm.edu.my/id/eprint/26394/ |