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Technological University Dublin

Conference papers

2007

Cointegration

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The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales Jun 2007

The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales

Conference papers

This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. …