Online from: 1974
Subject Area: Economics
Options: To add Favourites and Table of Contents Alerts please take a Emerald profile
|Title:||Untangling the non-linear causal nexus between exchange rates and stock prices: New evidence from the OECD countries|
|Author(s):||Shyh-Wei Chen, (Department of International Trade, Chung Yuan Christian University, Chung Li, Taiwan, Republic of China), Tzu-Chun Chen, (Taiwan Research Institute, Taipei, Taiwan, Republic of China)|
|Citation:||Shyh-Wei Chen, Tzu-Chun Chen, (2012) "Untangling the non-linear causal nexus between exchange rates and stock prices: New evidence from the OECD countries", Journal of Economic Studies, Vol. 39 Iss: 2, pp.231 - 259|
|Keywords:||Causality, Exchange rates, Non-linear, Stock prices|
|Article type:||Research paper|
|DOI:||10.1108/01443581211222671 (Permanent URL)|
|Publisher:||Emerald Group Publishing Limited|
|Acknowledgements:||JEL classification – G1, F31, C32. The authors would like to thank the Editor, Professor Bahmani-Oskooee, and an anonymous referee of this journal for helpful comments and suggestions. The usual disclaimer applies.|
Purpose – The purpose of this paper is to examine the relationship between stock prices and exchange rates in 12 OECD countries.
Design/methodology/approach – The authors examine the nexus of stock prices and exchange rates for 12 OECD countries by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality methods.
Findings – The empirical results substantiate that a long-run level equilibrium relationship among the exchange rates and stock prices exists in only seven out of twelve countries. The results of the linear causality tests indicate that significant short-run and long-run causal relationships exist between the two financial markets. The results of the tests for non-linear Granger causality suggest that unidirectional and bidirectional non-linear causal relationships exist between stock prices and exchange rates among these OECD countries.
Originality/value – The findings from this paper suggest the causal relationships between stock prices and exchange rates are not only linear, but also non-linear.
To purchase this item please login or register.
Complete and print this form to request this document from your librarian