The DOI matches its Crossref record; 12 of the 12 references it cites were found in a registry or an index.
Stock prices and the effective exchange rate of the dollar
Abstract
The literature on the relation between stock prices and exchange rates is very poor and includes few studies that have argued that exchange rate changes do effect stock prices.By relying on the portfolio approach to exchange rate determination, it is argued that a change in stock prices could also have an impact on exchange rates, i.e. there could be a two-way relationship between exchange rates and stock prices. Granger concept of causality as well as cointegration technique are employed to support this conjecture. The empirical results show that there is bidirectional causality between stock prices measured by S&P 500 index and the effective exchange rate of the dollar, at least in the short-run. The cointegration analysis reveals that there is no long-run relationship between two variables.
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Citations
Cites
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Cited by
A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆
Granger, C. W. J., Huangb, B.-N., & Yang, C.-W. (2000) · The Quarterly Review of Economics and Finance · doi:10.1016/s1062-9769(00)00042-9 · Cited by 784
Dynamic relationship between stock prices and exchange rates for G-7 countries
Nieh, C.-C., & Lee, C.-F. (2001) · The Quarterly Review of Economics and Finance · doi:10.1016/s1062-9769(01)00085-0 · Cited by 472
Abdalla, I. S. A., & Murinde, V. (1997) · Applied Financial Economics · doi:10.1080/096031097333826 · Cited by 465
Dynamic relationship between exchange rate and stock price: Evidence from China
Zhao, H. (2010) · Research in International Business and Finance · doi:10.1016/j.ribaf.2009.09.001 · Cited by 260
Metadata
- Authors
- Bahmani-Oskooee, M., & Sohrabian, A.
- Venue
- Applied Economics
- Publisher
- Informa UK Limited
- Published
- 1992-04
- Volume
- 24
- Issue
- 4
- Pages
- 459-464
- ISSN
- 0003-6846 (ISSN-L)
- 1466-4283
- OpenAlex
- W2000818357
- Cited by
- 489
- References
- 12
- FWCI
- 0.95
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
