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The Causal Relationship Between Stock Prices And Exchange Rates: Panel Granger Causality Evidence From Emerging And Developed Markets
2017
Journal:  
Journal of Academic Value Studies (JAVStudies)
Author:  
Abstract:

The financial literature has paid increasing attention to the relationship between stock prices and exchange rates. This study examines the relationship between these variables using a newly developed heterogeneous panel Granger causality test robust to cross-sectional dependency for 21 emerging and 22 developed markets. Panel results show a unidirectional causality relationship between the variables for both emerging and developed markets, running from stock prices to exchange rates. Additionally, in most cases, country-specific results also support the panel results, indicating the same unidirectional causality for 13 emerging markets (approximately 62 %) and 15 developed markets (approximately 68 %). The opposite link is found for only one emerging market. As such, we conclude that the stock-oriented model is valid for most of emerging and developed markets. That is, in both emerging and developed markets, a change in stock markets causes a change in exchange rate markets in most cases. These findings have important policy implications.

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Journal of Academic Value Studies (JAVStudies)

Field :   Filoloji; Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

Metrics
Article : 631
Cite : 1.730
2023 Impact : 0.274
Journal of Academic Value Studies (JAVStudies)