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STOCK PRICE AND EXCHANGE RATE DYNAMICS: EVIDENCE FROM THAILAND

W. N. W. Azman-Saini, Muzafar Shah Habibullah and M. Azali
Savings and Development
Vol. 27, No. 3 (2003), pp. 245-258
Stable URL: http://www.jstor.org/stable/25830830
Page Count: 14
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
STOCK PRICE AND EXCHANGE RATE DYNAMICS: EVIDENCE FROM THAILAND
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Abstract

This paper analyzes empirically the causal relationship between the stock price and exchange rate using high-frequency data of Thailand. Having established the stationarity condition of each series using ADF, PP and KPSS unit root tests, the causal linkages were examined using the Granger non-causality test prescribed by Toda and Yamamoto (1995). Among the finding of interest, there exists feedback interaction between exchange rate and stock price before the recent Asian financial crisis. However, during the crisis, the exchange rate leads stock price.

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