Panel causality analysis between exchange rates and stock indexes for fragile five

Autor:	Mehmet PEKKAYA, Ersin AÇIKGÖZ, Veli YILANCI
Jazyk:	angličtina
Rok vydání:	2017
Předmět:	causality relation fragile five exchange rates stock markets panel data Business HF5001-6182 Economic theory. Demography HB1-3840 Economics as a science HB71-74
Zdroj:	Theoretical and Applied Economics, Vol XXIV, Iss 2, Pp 33-44 (2017)
Druh dokumentu:	article
ISSN:	1841-8678 1844-0029
Popis:	Having become too dependent on foreign capital inflows to finance their economies can be expressed for the fragile five countries. The purpose of this study is to determine the existence and direction of casual relationship between stock indexes and exchange rates for the fragile five. According to Dumitrescu-Hurlin’s panel causality test for fragile five countries, bidirectional Granger causality relation is detected for overall data, except before mortgage crisis term, from exchange rate to stock indexes. Dumitrescu-Hurlin’s test and a modified type of sequential panel selection methodology are also conducted for searching the determiners of the casual relationship for each time interval.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/8776e3d60a83400abb86191cd710b1ec Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF