Exchange Rate and Equity Price Relationship: Empirical Evidence from Mexican and Canadian Markets

The International Journal of Business and Finance Research, v. 13 (2) p. 33-43

11 Pages Posted: 11 Feb 2020

See all articles by Sekhar M. Amba

Sekhar M. Amba

New York Institute of Technology

Binh H. Nguyen

New York Institute of Technology

Date Written: 2019

Abstract

This paper examines the relationship between stock prices and exchange rates in Mexican and Canadian Markets using weekly data from Jan 2013 to December 2018. Cointegration, Vector Error Correction model, Vector Auto Regression model and Granger causality tests are used to examine the long-term relationship and casual relationship between exchange rates and stock prices. Johansen cointegration tests confirm the insignificant existence of long-run relationships between stock prices and exchange rates in Canadian and Mexican markets. However, the Granger causality test confirms the existence of short-run unidirectional causal relationship from exchange rates to stock prices in the Mexican market.

Keywords: Exchange Rates, Stock Prices, Cointegration, Canada, Mexico

JEL Classification: G150

Suggested Citation

Amba, Sekhar M. and Nguyen, Binh H., Exchange Rate and Equity Price Relationship: Empirical Evidence from Mexican and Canadian Markets (2019). The International Journal of Business and Finance Research, v. 13 (2) p. 33-43. Available at SSRN: https://ssrn.com/abstract=3461823

Sekhar M. Amba (Contact Author)

New York Institute of Technology ( email )

Kingdom of Bahrain
New York, NY 10023
United States

Binh H. Nguyen

New York Institute of Technology ( email )

NY

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