TY  - JOUR
TT  - Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach
AU  - Siami-namini, Sima
PY  - 2017
DA  - December
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 603
EP  - 607
VL  - 7
IS  - 4
KW  - Exchange Rates
KW  - Stock Prices
KW  - Johansen-Juselius Co-integration Test
KW  - Toda-Yamamoto Causality Test
N2  - This research article attempts to examine the relationship between exchange rate (EX) and stock price using quarterly data of Iran on nominal EX, stock price index, liquidity and consumer price index covering the period of 1994:02 to 2010:01. It also investigates the long‑run relationship between variables using Johansen and Juselius (1990) co‑integration test and the short‑run dynamic causal relationship by using Toda and Yamamoto (1995) procedure. Likewise, variance decompositions serve as tools for evaluating the dynamics interactions and strength of causal relations among variables in the system. The results show that there is no any significant evidence of a relationship between stock prices and EXs.
UR  - https://dergipark.org.tr/tr/pub/ijefi/issue//353604
L1  - https://dergipark.org.tr/tr/download/article-file/364642
ER  -