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Dynamic Relationship between Stock Prices and Exchange Rates : Evidence from Chinese Stock Markets
Lee, Jung Wan - 2017
Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity …
Persistent link: https://www.econbiz.de/10012970640
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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand
Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10010406272
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Animal spirits, the stock market, and the unemployment rate : some evidence for German data
Fritsche, Ulrich; Pierdzioch, Christian - 2016 - First version: January 2016
Models recently studied by Farmer (2012, 2013, 2015) predict that, due to labor-market frictions and "animal spirits", stock-market fluctuations should Granger cause fluctuations of the unemployment rate. We performed several Granger-causality tests on more than half a century of data of German...
Persistent link: https://www.econbiz.de/10011415821
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Long run and short run relation between exchange rate and Indian stock market
Chaudhary, Amit; Sharma, Rajkumar; Agarwal, Yamini - In: Finance India : the quarterly journal of Indian … 37 (2023) 2, pp. 321-334
Persistent link: https://www.econbiz.de/10014419205
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On the Causality between Stock Prices and Exchange Rates : Evidence from Turkish Financial Market
Köse, Yaşar - 2016
The aim of this paper is to investigate the existence and direction of relationship between stock prices and exchange rates for Turkish financial market. Granger (1969) causality testing methodology was employed to reveal the nature of relationship between the two variables. This work...
Persistent link: https://www.econbiz.de/10012997833
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Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries
Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …
Persistent link: https://www.econbiz.de/10013179569
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Forex and financial markets dynamics : a case of China and ASEAN
Akram, Mohammad Uzair; Malik, Kashif Zaheer; Imtiaz, Ali; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-15
The paper aims to investigate the possible dual causality between exchange rates and stock indices of China and ASEAN using Structural Vector Auto-Regressive Model (SVAR). The paper has analysed the dynamic relationships between the Yuan and the Shanghai Composite Index and Shenzhen Stock Index...
Persistent link: https://www.econbiz.de/10012024028
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Macroeconomic variables and market expectations : Indian stock market
Gupta, Neha; Kumar, Arya - In: Theoretical and applied economics : GAER review 27 (2020) 3/624, pp. 161-178
Persistent link: https://www.econbiz.de/10012671909
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Stock markets, banks and long run economics growth : a panel cointegration-based analysis
Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz C. - 2013
and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence …
Persistent link: https://www.econbiz.de/10010223077
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Long Run Relationship between Aggregate Stock Prices and Macroeconomic Factors in BRICS Stock Markets
Tripathi, Vanita - 2016
:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error … for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium … difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global …
Persistent link: https://www.econbiz.de/10012995658