Co-integration analysis between stock prices & exchange rates: Evidence from Pakistan
نویسندگان
چکیده
منابع مشابه
Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from Iran and South Korea
The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis....
متن کاملdynamic linkages between exchange rates and stock prices: evidence from iran and south korea
â â â â â â â â the main purpose of present study is to analyze the relationship between stock and exchange markets in two asian countries, iran and south korea. a monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. the data is collected from the central bank of each country and wdi. the calculated stock return and real exchange rate change are u...
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This study researches the causal relationship between exchange rates and stock prices during pre and post financial crisis in Viet Nam, based on the collected daily data from 2005 to 2015. The paper investigates the long-run relationship between above-mentioned two variables using Johansen and Juselius (1990) co-integration test and short run dynamic causal relationships by using Toda and Yamam...
متن کاملDynamic Relationship between Stock Prices and Exchange Rates: Evidence from Three South Asian Countries
In this paper we have investigated the interactions between stock prices and exchange rates in three emerging countries of South Asia named as Bangladesh, India and Pakistan. We have considered average monthly nominal exchange rates of US dollar in terms of Bangladeshi Taka, Indian Rupee and Pakistani Rupee and monthly values of Dhaka Stock Exchange General Index, Bombay Stock Exchange Index an...
متن کاملThe Co-movement between Output and Prices: Evidence from Iran
This paper employs a multivariate dynamic conditional correlation GARCH model, which is developed by Engle (2001, 2002), to detect the timing and nature of changes in the comovement between Iranian output and prices for the periods after Iran–Iraq war , known as imposed war . The results showed that there is a weak correlation between output and prices after imposed war and varies periodically...
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ژورنال
عنوان ژورنال: International Journal of Accounting and Economics Studies
سال: 2016
ISSN: 2309-4508
DOI: 10.14419/ijaes.v4i2.6609