Garcia, Maria TeresaRodrigues, Ana Catarina Gomes2019-09-122019-09-122019-09Garcia, 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 - 20192184-108Xhttp://hdl.handle.net/10400.5/18310This 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.engcointegrationGranger causalityUSD/EUR and USD/GBP exchange ratesEuropean stock indexesworking paper