Staff Members - Benha University
Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries
SCHUMPETER DISCUSSION PAPERS • 2008
Publication Information
Authors
Mevlud Islami
Keywords
Exchange Rate, Stock Markets, Cointegration, VAR, European Integration
Journal
SCHUMPETER DISCUSSION PAPERS
Publisher
Not Available
Volume
Not Available
Issue
1867-5352
Pages
Not Available
publication.type
International
Paper Link
Open Link
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.
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.