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...
| Main Authors: | , , , |
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| Format: | Working Paper |
| Language: | English |
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Economic Division
2006
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/1274/ http://ir.unimas.my/id/eprint/1274/1/stock%20prices%2C%20exchange%20rates.pdf |
| _version_ | 1848834729023897600 |
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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 |
| id | unimas-1274 |
| 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 |