重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2016-10-18

BIVARIATE CAUSALITY BETWEEN EXCHANGE RATES AND STOCK PRICES IN MALAYSIA

BIVARIATE CAUSALITY BETWEEN EXCHANGE RATES AND STOCK PRICES IN MALAYSIA


 Mohd Fahmi Ghazali, Universiti Malaysia Sabah-Labuan International Campus
Wahi Ismail, Universiti Teknologi MARA
Mohd Rushdan Yasoa, Universiti Malaysia Sabah-Labuan International Campus
Nelson Lajuni, Universiti Malaysia Sabah-Labuan International Campus


ABSTRACT
The main purpose of this paper is to examine the relationship between stock prices and exchange rates in Malaysia. This research considers high-frequency data of USD-MYR exchange rates and Kuala Lumpur Composite Index (KLSE) from July 22, 2005 to March 23, 2007, which is the period when the MYR was unpegged. The Johansen cointegration method suggests that there is no long-run equilibrium relationship between these two financial variables. Both Engle Granger and Toda-Yamamoto causality tests find that there is uni-directional causality running from stock prices to exchange rates.


JEL: D4, D46 G14, G15

期中報告影片網址：https://www.youtube.com/watch?v=4XjtGi2SYis
期末報告影片網址：https://www.youtube.com/watch?v=ZIEF_Y-mm08
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每位同學必需建立與維護 2 個網頁: (updated on 2010.9.19)
Every registered student MUST post and maintain TWO pages at this site.

1. 你的期末報告想要仿照的原始 paper 重點摘要頁, 見 [範例]
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== Posted on 2009.10.05 ==
請同學在你所選的 paper 加上標籤:「已選」
在你的 學習紀錄頁加上標籤:「學習記事」