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Ass. Lect. Maged Mossad Abo El yazzed Ezz El Deen :: Publications: |
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| Title: | Interdependence Between Foreign Exchange Markets and Stock
Markets in Selected European Countries |
| Authors: | Mevlud Islami |
| Year: | 2008 |
| Keywords: | Exchange Rate, Stock Markets, Cointegration, VAR, European Integration |
| Journal: | SCHUMPETER DISCUSSION PAPERS |
| Volume: | Not Available |
| Issue: | 1867-5352 |
| Pages: | Not Available |
| Publisher: | Not Available |
| Local/International: | International |
| Paper Link: | |
| Full paper | Maged Mossad Abo El yazzed Azz El Deen_Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries.pdf |
| Supplementary materials | Not Available |
| Abstract: |
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland, Portugal, Spain, Greece, Poland, Czech Republic, Slovenia, and Hungary are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links for Poland are identified. Conversely, for Slovenia, Hungary, Ireland, Spain, and Greece merely shortterm links resulted. Surprisingly, the direction of causation is unambiguously from the stock market index to the exchange rate for all six countries considered. |
