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Causality Relationship Between Foreign Exchange Rates And Stock Market Close: Evidence From Singapore, Jeffrey Shew, Jr.
Causality Relationship Between Foreign Exchange Rates And Stock Market Close: Evidence From Singapore, Jeffrey Shew, Jr.
Empirical Economic Bulletin, An Undergraduate Journal
This paper attempts to examine whether or not a causal relationship exists between exchange rates and stock market returns. By using the Granger Causality model, causality relationships were determined for four data sets created through the use of significant structural breaks between 1990 and 2006 in Singapore. The results suggest that over the course of 16 years there exists no relationship between exchange rates and stock market returns. However, from 1990 up until the Asian Financial Crisis exchange rates led stock prices as suggested by Granger et al. (2000). The other two time series, between the Asian Financial Crisis and …