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

Bibliographic Data

ID15067242
AuthorsParham Parsva (Allameh Tabataba'i University), Chor Foon Tang (0000-0003-2242-9222, Universiti Sains Malaysia, corresponding author)
Year2017
Volume30
Issue1
Pages836-844
Publication date2017-01-01
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2017.1311222
OpenAlexW2612594176
LanguageEN
References cited24

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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Open DOISci-HubOpen Access