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Volumn 10, Issue 11, 2003, Pages 699-704

Bivariate causality between exchange rates and stock prices in South Asia

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; FORECASTING METHOD; PRICE DYNAMICS; STOCK MARKET;

EID: 0344120741     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485032000133282     Document Type: Article
Times cited : (85)

References (12)
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  • 2
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    • On the relationship between stock returns and exchange rates: Tests of Granger casuality
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  • 3
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    • Bahmani-Oskooee, M.1    Sohrabian, A.2
  • 4
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimating and testing
    • Engle, R. F and Granger, C. W. (1987) Cointegration and error correction: representation, estimating and testing, Econometrica, 55, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.2
  • 5
    • 45949119851 scopus 로고
    • Forecasting and testing in co-integrated systems
    • Engle, R. F. and Yoo, B. S. (1987) Forecasting and testing in co-integrated systems, Journal of Econometrics, 35, 143-59.
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    • Engle, R.F.1    Yoo, B.S.2
  • 6
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    • A bivariate casuality between stock prices and exchange rates: Evidence from recent Asian flu
    • Granger, C. W. J., Huang, B. N. and Yang, C. W. (2000) A bivariate casuality between stock prices and exchange rates: evidence from recent Asian flu, Quarterly Review of Economics and Finance, 40, 337-54.
    • (2000) Quarterly Review of Economics and Finance , vol.40 , pp. 337-354
    • Granger, C.W.J.1    Huang, B.N.2    Yang, C.W.3
  • 7
    • 84890663370 scopus 로고    scopus 로고
    • Princeton, Princeton University Press
    • Hayashi, F. (2000) Econometrics, Princeton, Princeton University Press.
    • (2000) Econometrics
    • Hayashi, F.1
  • 10
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration with applications to the demand for money
    • Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 11
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    • Dynamic relationship between stock prices and exchange rates for G7 countries
    • Nieh, C. C. and Lee, C. F. (2001) Dynamic relationship between stock prices and exchange rates for G7 countries, Quarterly Review of Economics and Finance, 41, 477-90.
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  • 12
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    • A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity
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    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.