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Publicação
The dynamic relationship between stock market indexes and foreign exchange
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
cointegration Granger causality USD/EUR and USD/GBP exchange rates European stock indexes
Contexto Educativo
Citação
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
Editora
ISEG - REM - Research in Economics and Mathematics