학술저널
Causality between Foreign Currency and Equity Markets of Singapore and Thailand: Evidence from Post-Crisis Daily Data
- People & Global Business Association
- Global Business and Finance Review
- Vol.14 No.1
-
2009.0687 - 92 (6 pages)
- 2
This paper investigates the causality between foreign currency and stock markets of Singapore and Thailand by using high frequency daily data from January 3, 2000 through December 28, 2007. A conventional autoregressive model with its reverse specification is implemented (Granger, 1988). The evidences on short-run causality between foreign currency and stock markets of both countries are bidirectional with interactive feedbacks.
Abstract
Ⅰ. Introduction
Ⅱ. Brief Survey of Related Literature
Ⅲ. Empirical Methodology
Ⅳ. Empirical Results
Ⅴ. Conclusions
References
Biographies
(0)
(0)