D. Agus Harjito

This study investigates the statistical relationship between stock prices and exchange rates, using Granger causality and Johansen cointegration tests in four ASEAN countries (Indonesia, the Philippines, Singapore, and Thailand) over the period 1993–2002. Exchange rates and stock prices of four ASEAN countries were examined. This study analysed these causal relationships using percentage changes. Employing the Granger test for determining unidirectional causality, this study found that the relationship between stock prices and exchange rates become characterized by a feedback system, with the Singapore dollar as the dominant exchange rate. The Johansen cointegrationRead More