Current Search: Stock exchanges--Mathematical models (x)
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Title
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Causality between stock prices and exchange rates: A case of the United States.
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Creator
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Ozair, Amber., Florida Atlantic University, Yuhn, Ky-hyang
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Abstract/Description
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This thesis investigates the direction of causality as well as short-run dynamics and long-run equilibrium relationship between stock prices and exchange rates using quarterly data for the period 1960:1--2004:4. The studies apply techniques of the unit root, cointegration and Standard Granger causality tests to examine the relationship between these two financial variables. The empirical results reveal that there is no causal linkage and no cointegration between the stock prices and exchange...
Show moreThis thesis investigates the direction of causality as well as short-run dynamics and long-run equilibrium relationship between stock prices and exchange rates using quarterly data for the period 1960:1--2004:4. The studies apply techniques of the unit root, cointegration and Standard Granger causality tests to examine the relationship between these two financial variables. The empirical results reveal that there is no causal linkage and no cointegration between the stock prices and exchange rates as suggested under Traditional and Portfolio approaches. The results support the view that the semi-strong form of EMH holds true for the U.S. financial markets.
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Date Issued
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2006
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PURL
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http://purl.flvc.org/fcla/dt/13393
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Subject Headings
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Econometric models, Business forecasting--Mathematical models, Efficient market theory, Stock exchanges--Mathematical models
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Format
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Document (PDF)
