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| Author: | Asimakopoulos, I. Siriopoulos, C. |
| Title: | The relation between stock prices and exchange rates: an alternative approach |
| Journal: | Journal of Euro-Asian Management
1997 : DEC, VOL. 3:2, p. 87-100 |
| Index terms: | MANAGEMENT SHARE PRICES EXCHANGE RATES |
| Language: | eng |
| Abstract: | The study examines the short-term and long-term relationship between stock prices and exchange rates for a sample of three European economies (UK, Germany and Switzerland) using cointegration-error correction technique together with Granger casuality tests. Results show strong long-run interactions between the trade weighted exchange rate and some sectoral stock market indices for UK but weaker interactions for Germany and Switzerland. Specifically, for UK, results show that a currency depreciation (appreciation) has negative (positive) long-run effects on the stock market. |
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