On the causality between exchange rates and stock prices: A note

Abdulnasser Hatemi-J, Manuchehr Irandoust

Research output: Contribution to journalArticlepeer-review

51 Citations (Scopus)


This study uses a new Granger non-causality testing procedure developed by Toda and Yamamoto (1995) to contribute to the debate on exchange rates and stock prices in Sweden. It examines a possible causal relation between these variables in a vector autoregression (VAR) model. The results show that Granger causality is unidirectional running from stock prices to effective exchange rates. The results also reveal that an increase in Swedish stock prices is associated with an appreciation of the Swedish krona. Special attention is given to the estimation methodology and the lag choosing process.

Original languageEnglish
Pages (from-to)197-203
Number of pages7
JournalBulletin of Economic Research
Issue number2
Publication statusPublished - 2002
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics


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