English, Article edition: THE CAUSALITY BETWEEN STOCK RETURNS AND EXCHANGE RATES: REVISITED BALA RAMASAMY; MATTHEW C.H. YEUNG

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Physical Description
  • article
Language
  • English

Edition details

Title
  • THE CAUSALITY BETWEEN STOCK RETURNS AND EXCHANGE RATES: REVISITED
Author
  • BALA RAMASAMY
  • MATTHEW C.H. YEUNG
Physical Description
  • article
Notes
  • There has been a renewed interest in the determination of causality between stock markets and exchange rates. In nearly all these studies Granger causality tests has been extensively used. In this paper, we employ the standard Granger causality methodology to a research setting similar to that of Granger et al. (2000). We consider the causality between the two markets in nine east Asian economies. We find that the direction of causality tends to demonstrate a hit-and-run behaviour and switches according to the length of period chosen. This implies that great caution should be taken when interpreting Granger causality results. Copyright Blackwell Publishing Ltd/​ University of Adelaide and Flinders University 2005..
  • RePEc:bla:ausecp:v:44:y:2005:i:2:p:162-169
Language
  • English
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