TY  - JOUR
TT  - Dynamic Relations between Stock Price and Exchange Rate: Evidence from South Asia
AU  - Ali, Mostafa
AU  - Sun, Gang
PY  - 2017
DA  - September
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 331
EP  - 341
VL  - 7
IS  - 3
KW  - Dynamic Relations
KW  - Stock Price
KW  - Exchange Rate
KW  - Vector Error Correction Model
N2  - Our study strives to explore the dynamic association between stock price and foreign exchange rate by taking daily data for a period of January 1, 2009 to June 30, 2015. We employ Bivariate Vector Auto regression (VAR) Model as well as Vector Error Correction Model (VECM) to discover the short run and long run relationship between these two financial variables. We fail to uncover any short run or long run association between these two financial variables for Bangladesh but identify a unilateral causal relationship running from stock price to exchange rate in Pakistan. Moreover, we find a long run negative relation that leads from exchange rate to stock price and a short run unidirectional causal linkage running from stock price to exchange rate in India. Granger causality test results confirmed these findings. The empirical findings of the study do not provide any precise evident in favor of Portfolio hypothesis or Goods market hypothesis but a mixed interaction of all theories.
UR  - https://dergipark.org.tr/tr/pub/ijefi/issue//354254
L1  - https://dergipark.org.tr/tr/download/article-file/365385
ER  -