Abdul Karim Bakri, J. Yau, Kadri Norlina, Husaini Dzul Hadzwan
{"title":"Stock Prices and Exchange Rates in Indonesia: Further Evidence","authors":"Abdul Karim Bakri, J. Yau, Kadri Norlina, Husaini Dzul Hadzwan","doi":"10.33736/URAF.1212.2018","DOIUrl":null,"url":null,"abstract":"The paper examines the relationship between stock prices and exchange rates for the case of Indonesia. The study uses daily and weekly data for the period January 1998 to December 2007. We employed Toda and Yamamoto (1995) Granger non-causality test in both bivariate and multivariate setting to examine the relationship between stock prices and exchange rates. The results of this study suggest a strong evidence of bi-directional causality between these two financial variables. The results have implications for investors, practitioners and policy makers.","PeriodicalId":187805,"journal":{"name":"UNIMAS Review of Accounting and Finance","volume":"24 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"UNIMAS Review of Accounting and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.33736/URAF.1212.2018","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
The paper examines the relationship between stock prices and exchange rates for the case of Indonesia. The study uses daily and weekly data for the period January 1998 to December 2007. We employed Toda and Yamamoto (1995) Granger non-causality test in both bivariate and multivariate setting to examine the relationship between stock prices and exchange rates. The results of this study suggest a strong evidence of bi-directional causality between these two financial variables. The results have implications for investors, practitioners and policy makers.
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