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The Causal Relationship between Stock Prices and Exchange Rates : Panel Granger Causality Evidence from Emerging and Developed Markets
| Content Provider | Semantic Scholar |
|---|---|
| Copyright Year | 2017 |
| Abstract | Article History Makale Geliş Tarihi Article Arrival Date 15/08/2017 Makale Yayın Kabul Tarihi The Published Rel. Date 10/09/2017 The financial literature has paid increasing attention to the relationship between stock prices and exchange rates. This study examines the relationship between these variables using a newly developed heterogeneous panel Granger causality test robust to cross-sectional dependency for 21 emerging and 22 developed markets. Panel results show a unidirectional causality relationship between the variables for both emerging and developed markets, running from stock prices to exchange rates. Additionally, in most cases, country-specific results also support the panel results, indicating the same unidirectional causality for 13 emerging markets (approximately 62%) and 15 developed markets (approximately 68%). The opposite link is found for only one emerging market. As such, it is concluded that the stock-oriented model is valid for most of emerging and developed markets. That is, in both emerging and developed markets, a change in stock markets causes a change in exchange rate markets in most cases. These findings have important policy implications. Keywords |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.javstudies.com/Makaleler/1598779147_4.%20ID-429-%C3%96nder%20B%C3%9CBERK%C3%96K%C3%9C_39-49.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
