The dynamic relationship between stock market indexes and foreign exchange

Detalhes bibliográficos
Autor(a) principal: Garcia, Maria Teresa
Data de Publicação: 2019
Outros Autores: Rodrigues, Ana Catarina Gomes
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/18310
Resumo: This empirical study analyses the dynamic relationship between the FTSE 100 Index and the Euro STOXX 50 Index and the USD/EUR and USD/GBP exchange rates, from January 2007 to April 2017. The Johansen co-integration tests suggest that these variables have a long-term relationship. The Granger causality test was conducted through the use of VECM equations, showing that the FTSE 100 and the Euro STOXX 50 Index both have a causal feedback relationship. A unidirectional relationship was found between the FTSE 100 Index stock prices and the USD/EUR exchange rate. The presence of a unidirectional relationship between the USD/GBP exchange rate and FTSE 100 and Euro STOXX 50 Index stock prices was also detected.
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spelling The dynamic relationship between stock market indexes and foreign exchangecointegrationGranger causalityUSD/EUR and USD/GBP exchange ratesEuropean stock indexesThis empirical study analyses the dynamic relationship between the FTSE 100 Index and the Euro STOXX 50 Index and the USD/EUR and USD/GBP exchange rates, from January 2007 to April 2017. The Johansen co-integration tests suggest that these variables have a long-term relationship. The Granger causality test was conducted through the use of VECM equations, showing that the FTSE 100 and the Euro STOXX 50 Index both have a causal feedback relationship. A unidirectional relationship was found between the FTSE 100 Index stock prices and the USD/EUR exchange rate. The presence of a unidirectional relationship between the USD/GBP exchange rate and FTSE 100 and Euro STOXX 50 Index stock prices was also detected.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaGarcia, Maria TeresaRodrigues, Ana Catarina Gomes2019-09-12T10:32:36Z2019-092019-09-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/18310engGarcia, Maria Teresa e Ana Catarina Gomes Rodrigues (2019). "The dynamic relationship between stock market indexes and foreign exchange". Instituto Superior de Economia e Gestão – REM Working paper nº 090 - 20192184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:47:54Zoai:www.repository.utl.pt:10400.5/18310Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:03:22.909482Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The dynamic relationship between stock market indexes and foreign exchange
title The dynamic relationship between stock market indexes and foreign exchange
spellingShingle The dynamic relationship between stock market indexes and foreign exchange
Garcia, Maria Teresa
cointegration
Granger causality
USD/EUR and USD/GBP exchange rates
European stock indexes
title_short The dynamic relationship between stock market indexes and foreign exchange
title_full The dynamic relationship between stock market indexes and foreign exchange
title_fullStr The dynamic relationship between stock market indexes and foreign exchange
title_full_unstemmed The dynamic relationship between stock market indexes and foreign exchange
title_sort The dynamic relationship between stock market indexes and foreign exchange
author Garcia, Maria Teresa
author_facet Garcia, Maria Teresa
Rodrigues, Ana Catarina Gomes
author_role author
author2 Rodrigues, Ana Catarina Gomes
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Garcia, Maria Teresa
Rodrigues, Ana Catarina Gomes
dc.subject.por.fl_str_mv cointegration
Granger causality
USD/EUR and USD/GBP exchange rates
European stock indexes
topic cointegration
Granger causality
USD/EUR and USD/GBP exchange rates
European stock indexes
description This empirical study analyses the dynamic relationship between the FTSE 100 Index and the Euro STOXX 50 Index and the USD/EUR and USD/GBP exchange rates, from January 2007 to April 2017. The Johansen co-integration tests suggest that these variables have a long-term relationship. The Granger causality test was conducted through the use of VECM equations, showing that the FTSE 100 and the Euro STOXX 50 Index both have a causal feedback relationship. A unidirectional relationship was found between the FTSE 100 Index stock prices and the USD/EUR exchange rate. The presence of a unidirectional relationship between the USD/GBP exchange rate and FTSE 100 and Euro STOXX 50 Index stock prices was also detected.
publishDate 2019
dc.date.none.fl_str_mv 2019-09-12T10:32:36Z
2019-09
2019-09-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/18310
url http://hdl.handle.net/10400.5/18310
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Garcia, Maria Teresa e Ana Catarina Gomes Rodrigues (2019). "The dynamic relationship between stock market indexes and foreign exchange". Instituto Superior de Economia e Gestão – REM Working paper nº 090 - 2019
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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