Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman

This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical results...

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Main Authors:	Ab Rahman, Nik Muhammad Naziman, Hj. Wahab, Anuar
Format:	Research Reports
Language:	English
Published:	Research Management Institute, Universiti Teknologi MARA 2004
Subjects:	Foreign exchange. Foreign exchange rates
Online Access:	http://ir.uitm.edu.my/id/eprint/26394/ http://ir.uitm.edu.my/id/eprint/26394/1/LP_NIK%20MUHAMMAD%20NAZIMAN%20AB%20RAHMAN%20RMI%20K%2004_5.pdf

id	uitm-26394
recordtype	eprints
spelling	uitm-263942019-11-28T08:32:40Z http://ir.uitm.edu.my/id/eprint/26394/ Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar Foreign exchange. Foreign exchange rates This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical results show that, in general, exchange rates Granger-cause stock prices with less significant causal relations from stock prices to exchange rates. Furthermore, this one-way Granger causality effect from exchange rates to stock prices becomes less significant during the Asian financial crisis of 1997. Our results also suggest that, there is insignificant long-run outlook (no cointegration) except for Hong Kong, implies that these financial assets share no common trends in their economy system and hence they will move apart in the long-run for countries that have higher trade size exchange rate fluctuations tend to exhibit significant influence on the equity market, regardless of the exchange rate arrangement system and the degree of capital controls during the Asian financial crisis Research Management Institute, Universiti Teknologi MARA 2004-04 Research Reports NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/26394/1/LP_NIK%20MUHAMMAD%20NAZIMAN%20AB%20RAHMAN%20RMI%20K%2004_5.pdf Ab Rahman, Nik Muhammad Naziman and Hj. Wahab, Anuar (2004) Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman. [Research Reports] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Foreign exchange. Foreign exchange rates
spellingShingle	Foreign exchange. Foreign exchange rates Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman
description	This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical results show that, in general, exchange rates Granger-cause stock prices with less significant causal relations from stock prices to exchange rates. Furthermore, this one-way Granger causality effect from exchange rates to stock prices becomes less significant during the Asian financial crisis of 1997. Our results also suggest that, there is insignificant long-run outlook (no cointegration) except for Hong Kong, implies that these financial assets share no common trends in their economy system and hence they will move apart in the long-run for countries that have higher trade size exchange rate fluctuations tend to exhibit significant influence on the equity market, regardless of the exchange rate arrangement system and the degree of capital controls during the Asian financial crisis
format	Research Reports
author	Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar
author_facet	Ab Rahman, Nik Muhammad Naziman Hj. Wahab, Anuar
author_sort	Ab Rahman, Nik Muhammad Naziman
title	Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman
title_short	Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman
title_full	Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman
title_fullStr	Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman
title_full_unstemmed	Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman
title_sort	price dynamics in relation to foreign exchange market and kuala lumpur composite index: a cointegration approach / nik muhammad naziman ab rahman
publisher	Research Management Institute, Universiti Teknologi MARA
publishDate	2004
url	http://ir.uitm.edu.my/id/eprint/26394/ http://ir.uitm.edu.my/id/eprint/26394/1/LP_NIK%20MUHAMMAD%20NAZIMAN%20AB%20RAHMAN%20RMI%20K%2004_5.pdf
first_indexed	2023-09-18T23:16:47Z
last_indexed	2023-09-18T23:16:47Z
_version_	1777419165212082176

Price dynamics in relation to foreign exchange market and Kuala Lumpur composite index: a cointegration approach / Nik Muhammad Naziman Ab Rahman

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