A Granger causality analysis between stock prices and exchange rates: evidence from four countries

Phoong Seuk Yen

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Type :	article
ISSN :	1752-5055
Main Author :	Phoong Seuk Yen
Title :	A Granger causality analysis between stock prices and exchange rates: evidence from four countries

Place of Production :	Tanjung Malim
Publisher :	Fakulti Sains dan Matematik
Year of Publication :	2023
Notes :	International Journal of Computing Science and Mathematics
Corporate Name :	Universiti Pendidikan Sultan Idris
HTTP Link :	Click to view web link

Abstract : Universiti Pendidikan Sultan Idris

This study investigates predictive causality between stock prices and exchange rates over the period of January 2005 to May 2020 in Malaysia, Singapore, China, and USA. The methodology applied in this study allows for structural changes during the global financial crisis, as past studies have shown that tests can be biased towards non-rejection if structural breaks are not accounted for. Thence, Gregory and Hansen cointegration and Granger causality tests are implemented in this study. Results revealed that unidirectional Granger causality relations are established in Malaysia, the US, and Singapore. However, signs for causal effects differ even though two markets have the same unidirectional Granger causality relation. Additionally, stock prices and exchange rates are found to be cointegrated in the US and Singapore. Meanwhile, there is no causal effect between stock prices and the exchange rate in China, for both the short-run and long-run periods. Copyright 2023 Inderscience Enterprises Ltd.

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