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The Causal Relationship between Stock Prices and Exchange Rates: Evidence from the G-7
| Content Provider | Semantic Scholar |
|---|---|
| Author | Chen, Shyh-Wei Chen, Tzu-Chun |
| Copyright Year | 2011 |
| Abstract | We examine the nexus of stock prices and exchange rates for the G-7 countries by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality methods. The empirical results substantiate that a long-run level equilibrium relationship exists among the exchange rates and stock prices for the UK and France. The results from the linear causality tests indicate significant short-run and long-run causal relations between the two financial markets. In the results of the non-linear Granger causality, there are unidirectional and bidirectional non-linear causal relations between stock prices and exchange rates in six of the G-7 countries. Therefore, the causal relations between stock prices and exchange rates are not only linear but are also non-linear. |
| Starting Page | 101 |
| Ending Page | 133 |
| Page Count | 33 |
| File Format | PDF HTM / HTML |
| Volume Number | 7 |
| Alternate Webpage(s) | http://www.jem.org.tw/content/pdf/Vol.7No.1/05.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
