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

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 betwee...

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Main Authors: Azman Saini, W.N.W., Habibullah, M.S., Dayang Affizzah, Awang Marikan, Law, Siong Hook
Format: Working Paper
Language:English
Published: Economic Division 2006
Subjects:
Online Access:http://ir.unimas.my/id/eprint/1274/
http://ir.unimas.my/id/eprint/1274/1/stock%20prices%2C%20exchange%20rates.pdf
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author Azman Saini, W.N.W.
Habibullah, M.S.
Dayang Affizzah, Awang Marikan
Law, Siong Hook
author_facet Azman Saini, W.N.W.
Habibullah, M.S.
Dayang Affizzah, Awang Marikan
Law, Siong Hook
author_sort Azman Saini, W.N.W.
building UNIMAS Institutional Repository
collection Online Access
description 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.
first_indexed 2025-11-15T05:56:36Z
format Working Paper
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institution Universiti Malaysia Sarawak
institution_category Local University
language English
last_indexed 2025-11-15T05:56:36Z
publishDate 2006
publisher Economic Division
recordtype eprints
repository_type Digital Repository
spelling unimas-12742023-03-23T07:25:48Z http://ir.unimas.my/id/eprint/1274/ Stock prices, exchange rates and causality in Malaysia : a note Azman Saini, W.N.W. Habibullah, M.S. Dayang Affizzah, Awang Marikan Law, Siong Hook HB Economic Theory HG Finance 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. Economic Division 2006-11-06 Working Paper NonPeerReviewed text en http://ir.unimas.my/id/eprint/1274/1/stock%20prices%2C%20exchange%20rates.pdf Azman Saini, W.N.W. and Habibullah, M.S. and Dayang Affizzah, Awang Marikan and Law, Siong Hook (2006) Stock prices, exchange rates and causality in Malaysia : a note. [Working Paper] http://mpra.ub.uni-muenchen.de/656/
spellingShingle HB Economic Theory
HG Finance
Azman Saini, W.N.W.
Habibullah, M.S.
Dayang Affizzah, Awang Marikan
Law, Siong Hook
Stock prices, exchange rates and causality in Malaysia : a note
title Stock prices, exchange rates and causality in Malaysia : a note
title_full Stock prices, exchange rates and causality in Malaysia : a note
title_fullStr Stock prices, exchange rates and causality in Malaysia : a note
title_full_unstemmed Stock prices, exchange rates and causality in Malaysia : a note
title_short Stock prices, exchange rates and causality in Malaysia : a note
title_sort stock prices, exchange rates and causality in malaysia : a note
topic HB Economic Theory
HG Finance
url http://ir.unimas.my/id/eprint/1274/
http://ir.unimas.my/id/eprint/1274/
http://ir.unimas.my/id/eprint/1274/1/stock%20prices%2C%20exchange%20rates.pdf