A note on the interaction between stock prices and exchange rates in Middle-East economies

Dados Bibliográficos

ID15067242
AutoresParham Parsva (Allameh Tabataba'i University), Chor Foon Tang (0000-0003-2242-9222, Universiti Sains Malaysia, autor correspondente)
Ano2017
Volume30
Fascículo1
Páginas836-844
Data de publicação2017-01-01
Open AccessSim
TipoARTICLE
PeriódicoEconomic Research-Ekonomska Istraživanja (JOURNAL)
Identificadores do periódicoISSN: 1331-677X • E-ISSN: 1848-9664
EditoraInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2017.1311222
OpenAlexW2612594176
IdiomaEN
Referências citadas24

Ample studies have been conducted to analyse the interaction between stock prices and exchange rates in developed and developing countries. However, studies on Middle-East economies are limited. Moreover, many existing studies test for Granger causality in a bi-variate setting which in turn leads to conflicting causality results. The goal of this study is to investigate the causal interaction between stock prices and exchange rates empirically in Iran, Kuwait, Oman and Saudi Arabia from January 2004 to December 2011. Among four Middle-East economies, we find that stock prices and exchange rates have bi-directional causality in Iran, Oman and Saudi Arabia, but the variables do not interact in Kuwait. Additionally, the recursive causality tests reveal that these relationships are stable over the analysis period. Therefore, stock prices and exchange rates affect each other at least in Iran, Oman and Saudi Arabia

Econometrics · Economics · Exchange rate · Geography · Granger causality · Middle East · Monetary economics · Stock exchange · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance

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