Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman

Ab Rahman, Nik Muhammad Naziman and Hj. Wahab, Anuar (2004) Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman. [Research Reports] (Unpublished)

Abstract

This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical results show that, in general, exchange rates Granger-cause stock prices with less significant causal relations from stock prices to exchange rates. Furthermore, this one-way Granger causality effect from exchange rates to stock prices becomes less significant during the Asian financial crisis of 1997. Our results also suggest that, there is insignificant long-run outlook (no cointegration) except for Hong Kong, implies that these financial assets share no common trends in their economy system and hence they will move apart in the long-run for countries that have higher trade size exchange rate fluctuations tend to exhibit significant influence on the equity market, regardless of the exchange rate arrangement system and the degree of capital controls during the Asian financial crisis

Metadata

Item Type: Research Reports
Creators:
CreatorsID Num. / Email
Ab Rahman, Nik Muhammad NazimanUNSPECIFIED
Hj. Wahab, AnuarUNSPECIFIED
Subjects: H Social Sciences > HG Finance > International finance > Foreign exchange. Foreign exchange rates
Divisions: Universiti Teknologi MARA, Kedah > Sg Petani Campus > Research Management Institute (RMI), UiTM Cawangan Kedah
Item ID: 26394
Uncontrolled Keywords: Foreign Exchange; Stock Markets; Rate Fluctuations; Equity Market; Exchange Rate; Asian Financial Crisis
URI: http://ir.uitm.edu.my/id/eprint/26394

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