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Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis

The current study investigates the relationship between stock prices and exchange rate by using wavelets approach and more focused the continuous, power spectrum, cross and coherence wavelet.The result of Bayer and Hanck (2013) and Gregory and Hansen (1996) confirm the presence of long-run associati...

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Main Authors: Afshan, Sahar, Sharif, Arshian, Loganathan, Nanthakumar, Jammazi, Rania
Format: Article
Published: Elsevier B.V. 2018
Subjects:
HC Economic History and Conditions
Online Access:http://repo.uum.edu.my/24377/
http://doi.org/10.1016/j.physa.2017.12.033
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spelling my.uum.repo.243772018-07-04T07:48:31Z http://repo.uum.edu.my/24377/ Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis Afshan, Sahar Sharif, Arshian Loganathan, Nanthakumar Jammazi, Rania HC Economic History and Conditions The current study investigates the relationship between stock prices and exchange rate by using wavelets approach and more focused the continuous, power spectrum, cross and coherence wavelet.The result of Bayer and Hanck (2013) and Gregory and Hansen (1996) confirm the presence of long-run association between stock price and exchange rate in Pakistan.The results of wavelet coherence reveal the dominance of SP during 2005–2006 and 2011–2012 in the period of 8–16 and 16–32 weeks cycle in approximately all the exchange rates against Pakistani rupees.For almost the entire studied period in long scale, the study evidences the strong coherence between both the series.The most interesting part of this coherence is the existence of bidirectional causality in the long timescale.The arrows in this long region are pointing both left up and left down.This suggests that during the time period, our variables are exhibiting out phase relationship with mutually leading and lagging the market. These results are in contrast with many earlier studies of Pakistan. Elsevier B.V. 2018 Article PeerReviewed Afshan, Sahar and Sharif, Arshian and Loganathan, Nanthakumar and Jammazi, Rania (2018) Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis. Physica A: Statistical Mechanics and its Applications, 495. pp. 225-244. ISSN 03784371 http://doi.org/10.1016/j.physa.2017.12.033 doi:10.1016/j.physa.2017.12.033
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
topic HC Economic History and Conditions
spellingShingle HC Economic History and Conditions
Afshan, Sahar
Sharif, Arshian
Loganathan, Nanthakumar
Jammazi, Rania
Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis
description The current study investigates the relationship between stock prices and exchange rate by using wavelets approach and more focused the continuous, power spectrum, cross and coherence wavelet.The result of Bayer and Hanck (2013) and Gregory and Hansen (1996) confirm the presence of long-run association between stock price and exchange rate in Pakistan.The results of wavelet coherence reveal the dominance of SP during 2005–2006 and 2011–2012 in the period of 8–16 and 16–32 weeks cycle in approximately all the exchange rates against Pakistani rupees.For almost the entire studied period in long scale, the study evidences the strong coherence between both the series.The most interesting part of this coherence is the existence of bidirectional causality in the long timescale.The arrows in this long region are pointing both left up and left down.This suggests that during the time period, our variables are exhibiting out phase relationship with mutually leading and lagging the market. These results are in contrast with many earlier studies of Pakistan.
format Article
author Afshan, Sahar
Sharif, Arshian
Loganathan, Nanthakumar
Jammazi, Rania
author_facet Afshan, Sahar
Sharif, Arshian
Loganathan, Nanthakumar
Jammazi, Rania
author_sort Afshan, Sahar
title Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis
title_short Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis
title_full Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis
title_fullStr Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis
title_full_unstemmed Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis
title_sort time–frequency causality between stock prices and exchange rates: further evidences from cointegration and wavelet analysis
publisher Elsevier B.V.
publishDate 2018
url http://repo.uum.edu.my/24377/
http://doi.org/10.1016/j.physa.2017.12.033
_version_ 1644284037269815296
score 13.211869

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