Publicação
The dynamic relationship between stock market indexes and foreign exchange
| dc.contributor.author | Garcia, Maria Teresa | |
| dc.contributor.author | Rodrigues, Ana Catarina Gomes | |
| dc.date.accessioned | 2019-09-12T10:32:36Z | |
| dc.date.available | 2019-09-12T10:32:36Z | |
| dc.date.issued | 2019-09 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/18310 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG - REM - Research in Economics and Mathematics | pt_PT |
| dc.relation.ispartofseries | REM Working paper;nº 090 - 2019 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_090_2019.pdf | pt_PT |
| dc.subject | cointegration | pt_PT |
| dc.subject | Granger causality | pt_PT |
| dc.subject | USD/EUR and USD/GBP exchange rates | pt_PT |
| dc.subject | European stock indexes | pt_PT |
| dc.title | The dynamic relationship between stock market indexes and foreign exchange | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |