Does relationship exist between exchange rates and stock prices: evidence from Malaysia?

This study attempts to illustrate the dynamic relationship between Bursa Malaysia Stock index and Malaysian Ringgit Exchange Rate. Although the positive co-movement between each variable can be seen, the direction of causality still remains unresolved in both theory and empirical studies. Types of i...

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Main Author:	Ng, Brendan Loi Phu
Format:	Thesis
Language:	English
Published:	2011
Subjects:	HG Finance
Online Access:	https://eprints.ums.edu.my/id/eprint/7595/1/mt0000000268.pdf
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id	my-ums-ep.7595
record_format	uketd_dc
spelling	my-ums-ep.75952017-10-12T02:59:38Z Does relationship exist between exchange rates and stock prices: evidence from Malaysia? 2011 Ng, Brendan Loi Phu HG Finance This study attempts to illustrate the dynamic relationship between Bursa Malaysia Stock index and Malaysian Ringgit Exchange Rate. Although the positive co-movement between each variable can be seen, the direction of causality still remains unresolved in both theory and empirical studies. Types of investigation are to establish whether long run relationships exist and to determine the causality between exchange rates and stock prices in Malaysia. Data used are time series and range from 22nd July, 2005 to 30th March, 2011. Daily observations of RM/USD exchange rates and the Malaysian stock prices are gathered and analyze using the EViews statistical tools. The empirical evident reported that both variables have long-run relationship; and the direction is unidirectional where the causal relationship run from exchange rate to stock price during the sample period, which is consistent with Flow Oriented Model. 2011 Thesis https://eprints.ums.edu.my/id/eprint/7595/ https://eprints.ums.edu.my/id/eprint/7595/1/mt0000000268.pdf text en public masters Universiti Malaysia Sabah School of Business and Economics
institution	Universiti Malaysia Sabah
collection	UMS Institutional Repository
language	English
topic	HG Finance
spellingShingle	HG Finance Ng, Brendan Loi Phu Does relationship exist between exchange rates and stock prices: evidence from Malaysia?
description	This study attempts to illustrate the dynamic relationship between Bursa Malaysia Stock index and Malaysian Ringgit Exchange Rate. Although the positive co-movement between each variable can be seen, the direction of causality still remains unresolved in both theory and empirical studies. Types of investigation are to establish whether long run relationships exist and to determine the causality between exchange rates and stock prices in Malaysia. Data used are time series and range from 22nd July, 2005 to 30th March, 2011. Daily observations of RM/USD exchange rates and the Malaysian stock prices are gathered and analyze using the EViews statistical tools. The empirical evident reported that both variables have long-run relationship; and the direction is unidirectional where the causal relationship run from exchange rate to stock price during the sample period, which is consistent with Flow Oriented Model.
format	Thesis
qualification_level	Master's degree
author	Ng, Brendan Loi Phu
author_facet	Ng, Brendan Loi Phu
author_sort	Ng, Brendan Loi Phu
title	Does relationship exist between exchange rates and stock prices: evidence from Malaysia?
title_short	Does relationship exist between exchange rates and stock prices: evidence from Malaysia?
title_full	Does relationship exist between exchange rates and stock prices: evidence from Malaysia?
title_fullStr	Does relationship exist between exchange rates and stock prices: evidence from Malaysia?
title_full_unstemmed	Does relationship exist between exchange rates and stock prices: evidence from Malaysia?
title_sort	does relationship exist between exchange rates and stock prices: evidence from malaysia?
granting_institution	Universiti Malaysia Sabah
granting_department	School of Business and Economics
publishDate	2011
url	https://eprints.ums.edu.my/id/eprint/7595/1/mt0000000268.pdf
_version_	1747836349690413056

Does relationship exist between exchange rates and stock prices: evidence from Malaysia?

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