Dynamic Relationship between Stock Exchange and Exchange Rate: a Case of Emerging Economies in Context of GFC

DOI

10.2991/iea-15.2015.150How to use a DOI?

Keywords

emerging market economies; exchange rate; multivariate granger causality; cointegration analysis and VAR model

Abstract

In this study we analyze the dynamic short-run and long-run relationship between the Stock returns and Exchange rate; the study identifies the impact of exogenous shocks and we have employed various econometric techniques to like multivariate granger causality test, Cointegration analysis and Vector autoregession model. Daily data has been taken for the analysis starting from January 1, 2007 to September 30, 2011 which has been divided into three parts (before, during and after) financial crisis period. The results show a long-term Cointegration among the variables in all cases whereas, in short-term during the crisis period it shows that Global stock returns have a significant impact on China and Pakistan but not on their Exchange rates and also it has significant impact on India and Brazilian Exchange rate but not on their stock returns.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Kayani Ghulam Mujtaba
AU  - Hui Xiaofeng
AU  - Gulzar Saqib
PY  - 2015/09
DA  - 2015/09
TI  - Dynamic Relationship between Stock Exchange and Exchange Rate: a Case of Emerging Economies in Context of GFC
BT  - Proceedings of the AASRI International Conference on Industrial Electronics and Applications (2015)
PB  - Atlantis Press
SP  - 603
EP  - 607
SN  - 2352-5401
UR  - https://doi.org/10.2991/iea-15.2015.150
DO  - 10.2991/iea-15.2015.150
ID  - GhulamMujtaba2015/09
ER  -