Correlation of RMB Exchange Rates and Industrial Stock Indexes Based on Granger Causality Test

2008 ◽  
Author(s):  
Feixue Huang ◽  
Ning Liu ◽  
Zhijie Li
Keyword(s):  
Exchange Rates ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test ◽  
Stock Indexes

scholarly journals Investigating the Dynamic Interlinkages between Exchange Rates and the NSE NIFTY Index

2021 ◽  
Vol 14 (1) ◽  
pp. 20
Author(s):  
Vijay Victor ◽  
Dibin K K ◽  
Meenu Bhaskar ◽  
Farheen Naz
Keyword(s):  
Exchange Rates ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Response Analysis ◽  
Stock Market Index ◽  
Causality Test ◽  
Daily Movement ◽  
Long Run ◽  
Short Run ◽  
Time Required

This study aims at examining the short-run and long-run dynamic linkages among exchange rates and stock market index in India through a structured cointegration and Granger causality tests. Daily exchange rates of USD, EUR, CNY, JPY, and GBP to INR along with the daily movement of NSE NIFTY for a period spanning 13 years from 6 September 2005 to 31 December 2018 were used for the analysis. The results reveal that there is no evidence for a stable long-run relationship between NSE NIFTY and the exchange rates under study. However, the VAR-based Granger causality test shows that USD, JPY, and CNY have short-run causal relationship with NSE NIFTY. The NSE NIFTY also seemed to have an influence on USD expressed in terms of Indian rupee. The impulse response analysis further supports the results of the Granger causality test and provides information on the time required for the NSE NIFTY index to recover from a shock caused by the fluctuation in exchange rates.

scholarly journals STOCK MARKET REACTIONS ON EXCHANGE RATE VOLATILITY: AN INDIAN EXPERIENCE

2020 ◽  
Vol 8 (9) ◽  
Author(s):  
Lyn Rose ◽  
Nithin Jose
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Granger Causality ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Unit Root Test ◽  
Exchange Rate Volatility ◽  
Granger Causality Test ◽  
Causality Test

This paper looks at the relationship between Nifty returns and US Dollar - Indian Rupee Exchange Rates. The study looks into the causal relationship between Nifty returns and exchange rate using Granger Causality test. It took daily data covering the period from January, 2009 to June, 2019. In this study, it was found that both variables were non–normally distributed. With the help of Unit Root Test, it was also verified that Nifty returns as well as Exchange rate, were stationary at the first difference form. Using Granger Causality test it is proved there was a bidirectional relationship between Nifty returns and Exchange rates. From the further investigation it is evident there is a causality running from exchange rate return to stock market return. Finally, employing impulse response function it found that there is a negative relationship among the variables.

scholarly journals Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

Econometrics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 17
Author(s):  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Costas Siriopoulos
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Infectious Diseases ◽  
Granger Causality ◽  
Predictive Value ◽  
High Frequency ◽  
Causal Relation ◽  
Granger Causality Test ◽  
Causality Test ◽  
Non Linear

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

scholarly journals R&D Investment, Financial and Environmental Performance Nexuses via Bootstrap Fourier Quantiles Granger Causality Test

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 85
Author(s):  
Feng-Li Lin
Keyword(s):  
Financial Performance ◽  
Granger Causality ◽  
Environmental Performance ◽  
Co2 Emission ◽  
Positive Relationship ◽  
Granger Causality Test ◽  
Causality Test ◽  
Emission Reductions ◽  
Policy Makers ◽  
D Investment

This study investigated the relationship between R&D investments and financial and environmental performance. The direction, size, and significance of various phases of these variables were generated using the bootstrap Fourier quantiles Granger causality test. In our results, a positive relationship between R&D investment and CO2 emission reductions was found at two tails of quantiles. Additionally, we observed a significantly positive relationship between financial performance and CO2 emission reductions at the 0.5 quantile and above. The correlation between R&D investment and financial performance was identified to be positive under the 0.3, 0.4, 0.5 and 0.9 quantiles and negative under the 0.5 and 0.6 quantiles. The changing linkages among R&D investment, environmental performance and financial performance found in this study provide important information for policy makers, aiding in the development of R&D strategies to upgrade financial and environmental performance simultaneously.

The effect of spillover on the Granger causality test

2010 ◽  
Vol 37 (9) ◽  
pp. 1473-1486 ◽  
Author(s):  
Panagiotis Mantalos ◽  
Ghazi Shukur
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

Sign in / Sign up

Export Citation Format

Share Document