2001
DOI: 10.1016/s1062-9769(01)00085-0
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Dynamic relationship between stock prices and exchange rates for G-7 countries

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Cited by 328 publications
(210 citation statements)
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References 30 publications
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“…The lag lengths for our models of co-integration are two based on the smallest number of AIC. We follow Nieh and Lee (2001) decision procedure described in Section 3 among the hypotheses H(r) and H * (r) of the five Johansen models. The result shows that no cointegrating vector is found.…”
Section: Resultsmentioning
confidence: 99%
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“…The lag lengths for our models of co-integration are two based on the smallest number of AIC. We follow Nieh and Lee (2001) decision procedure described in Section 3 among the hypotheses H(r) and H * (r) of the five Johansen models. The result shows that no cointegrating vector is found.…”
Section: Resultsmentioning
confidence: 99%
“…(2) C 0 (5%), C Ã 1 ð5%Þ, C 1 (5%), C Ã 2 ð5%Þ, and C 2 (5%) are the 5% LR critical values for Johansen's five models, which are extracted from Osterwald-Lenum (1992). (3) The model selection follows Nieh and Lee's (2001) decision procedure, diagnosing models one by one until the model that cannot be rejected for the null. (4) The bold number with underline indicates the selection of the rank in the presence of linear deterministic trend.…”
Section: Resultsmentioning
confidence: 99%
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“…However, there are some studies that could not establish any relationship between exchange rate and stock market prices. Some of these studies are as follows Nieha and Lee (2001) found no significant long-run relationship between stock market prices and exchange rates in G-7 countries, using both Engel-Granger and Johansen"s co-integration tests. Rahman and Uddin (2009) in their study on dynamic relationship between stock market prices and exchange rate in South Asian countries found no relationship between stock market prices and exchange rates.…”
Section: Macroeconomic Variables (Independent Variable)mentioning
confidence: 99%