NDLI: Relationship between Stock Prices and Exchange Rates: Evidence from Bangladesh

Content Provider	Semantic Scholar
Author	Rahman, Lutfur Uddin, Jashim
Copyright Year	2009
Abstract	In this paper we have investigated the interactions between stock prices and exchange rates in the emerging economy of Bangladesh. We have considered monthly nominal exchange rates of US dollar, euro, Japanese yen, pound sterling and monthly values of Dhaka Stock Exchange General Index for period of June 2003 to March 2008 to conduct the study. Empirical result shows that exchange rates and stock prices data series are non stationary and integrated of order one. Then we have applied Johansen procedure to test for the possibility of a cointegrating relationship. Result shows that there is no cointegrating relationship between stock prices and exchange rates. Finally Granger causality test shows that stock prices Granger cause exchange rates of US dollar and Japanese yen but there is no way causal relationship between stock prices and exchange rates of euro and pound sterling.
Starting Page	52
Ending Page	52
Page Count	1
File Format	PDF HTM / HTML
DOI	10.5539/ijbm.v3n9p52
Volume Number	3
Alternate Webpage(s)	http://www.ccsenet.org/journal/index.php/ijbm/article/download/1261/1224/
Alternate Webpage(s)	https://doi.org/10.5539/ijbm.v3n9p52
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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