The Granger causality effect between the stock market and exchange rate volatility in the ASEAN 5 countries

ISBEIA 2012 - IEEE Symposium on Business, Engineering and Industrial Applications

Volumn , Issue , 2012, Pages 754-759

  Md Yusuf, Mazila ^a   Rahman, Hamisah Abd ^a  

^a UNIVERSITI TEKNOLOGI MARA   (Malaysia)

Author keywords

Equity market; Exchange rate volatilit; Financial crisi; Granger causality effect and GARCH model

Indexed keywords

BI-DIRECTIONAL; EQUITY MARKETS; EXCHANGE RATE VOLATILITIES; EXCHANGE RATES; FEEDBACK INTERACTION; FINANCIAL CRISI; GARCH MODELS; GRANGER CAUSALITY; INDONESIA; MALAYSIA; MALAYSIAN GOVERNMENTS; PHILIPPINES; SINGAPORE; STOCK MARKET; STOCK MARKET PERFORMANCE; STOCK RETURNS; THAILAND; VECTOR AUTOREGRESSIONS;

COMMERCE; INDUSTRIAL APPLICATIONS; INVESTMENTS; REGRESSION ANALYSIS;

ECONOMICS;

EID: 84874379749     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ISBEIA.2012.6422992     Document Type: Conference Paper

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