Interdependence between foreign exchange markets and stock markets in selected European countries

Arbeitspapier

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 and Spain merely short-term links resulted. Surprisingly, the direction of causation is unambiguously from the stock market index to the exchange rate for all five countries considered.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Schumpeter Discussion Papers ; No. 2008-007

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; Foreign Exchange ; Financial Markets and the Macroeconomy
• Thema: Exchange Rate ; Stock Markets ; Cointegration ; VAR ; European Integration ; Wechselkurs ; Börsenkurs ; Devisenmarkt ; Aktienmarkt ; Unit Root Test ; Polen ; Tschechische Republik ; Slowenien ; Ungarn ; Irland ; Portugal ; Spanien ; Griechenland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Islami, Mevlud
• Ereignis: Veröffentlichung
• (wer): University of Wuppertal, Schumpeter School of Business and Economics
• (wo): Wuppertal
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/68711
• URN: urn:nbn:de:hbz:468-20080668
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ