文章基本信息

标题：Causal Correlation between Exchange Rate and Stock Index: Evidence from VN-Index
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作者：Tri Nguyen ; Quang Bui ; Tan Nguyen 等
期刊名称：Asian Social Science
印刷版ISSN：1911-2017
电子版ISSN：1911-2025
出版年度：2016
卷号：12
期号：8
页码：43
DOI：10.5539/ass.v12n8p43
出版社：Canadian Center of Science and Education
摘要：This paper will examine the causal correlation of exchange rates and stock prices in Vietnam. The data is collected daily from March 1^st2007 to March 1^st 2014. The whole sample period is divided into two sub-groups as before the stock market bottom, after stock market bottom and full sample period. Unit root tests are employed for checking the stationary of time series data such as ADF test, PP test and KPSS test. This paper employs the co-integration test and Granger causality test to identify the causal correlation between two variables. The results of paper prove that there is no causal correlation between exchange rate and stock price. It means that the stock price has no effect on exchange rate and vice versa. However, after stock market bottom from February 25^th2009 to March 1^st2014, this research finds that it has a long-run co-movement between these variables by applying the Johansen test.
其他摘要：This paper will examine the causal correlation of exchange rates and stock prices in Vietnam. The data is collected daily from March 1 st 2007 to March 1 st 2014. The whole sample period is divided into two sub-groups as before the stock market bottom, after stock market bottom and full sample period. Unit root tests are employed for checking the stationary of time series data such as ADF test, PP test and KPSS test. This paper employs the co-integration test and Granger causality test to identify the causal correlation between two variables. The results of paper prove that there is no causal correlation between exchange rate and stock price. It means that the stock price has no effect on exchange rate and vice versa. However, after stock market bottom from February 25 th 2009 to March 1 st 2014, this research finds that it has a long-run co-movement between these variables by applying the Johansen test.