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References
- Abdalla, I.S.A. and V. Murinde (1997), “Exchange Rates and Stock Prices Interaction in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and the Philip-pines,†Applied Financial Economics, 7, 25-35.
- Aggarwal, R. (1981), “Exchange Rates and Stock Prices: A study of the US Capital Markets under Floating Rates,†Akron Business and Economic Review, 12, 7-12.
- Ajayi, R.A., J. Friedman, and S.M. Mehdian (1998), â€On the Relationship between Stock Returns and Exchange Rates: Tests of Granger Causality,†Global Finance Journal, 9, 241-251.
- Bahmani-Oskooee, M. and A. Sohrabian (1992), “Stock Prices and the Effective Exchange Rates of the Dollar,†Applied Economics, 24, 459-464.
- Bodnar, G.M., and W.M. Gentry (1993), “The Exchange Rates Exposure and Industry Characteristics: Evidence from Canada, Japan and the US,†Journal of International Money and Finance, 12, 29-45.
- Dickey, D.A. and W.A. Fuller (1979), “Distribution of the Estimators for Autoregression Time Series with a Unit Root,†Journal of American Statistic Association, 74, 427- 431.
- Doong, S.C., S.Y. Yang, and A.T. Wang (2005), “The Dynamic Relationship and Pricing of Stocks and Exchange Rates: Empirical Evidence from Asian Emerging Markets,†Journal of American Academy of Business, 7(1), 123-135.
- Engle, R.F. and C.W. Granger (1987), “Co-integration and Error Correction: Representa-tion, Estimation and Testing,†Econometrica, 55, 251–276.
- Granger, C.W. (2000), “A Bivariate Causality between Stock Price and Exchange Rates: Evidence from Recent Asian Flu,†Quarterly Review of Economics and Finance, 21(2), 43-58.
- Harjito, D.A. (2006), “Hubungan Nilai Tukar dan Harga Saham di Pasar Modal Malaysia: Pendekatan Statistik Non-parametrik,†Jurnal Ekonomi dan Bisnis-EKOBI, 7(2), 257-279.
- Harjito, D.A. and C.B. McGowan (2007), “Stock Price and Exchange Rate Causality: The Case of Four ASEAN Countries,†Southwestern Economic Review, 34(1), 103-114.
- Ibrahim, M.H. (2000), “Cointegration and Granger Causality Test of Stock Prices and Ex-change Rates Interactions in Malaysia,†ASEAN Economic Bulletin, 17, 36-47.
- Johansen, S. (1988), â€Statistical Analysis of Cointegration Vectors,†Journal of Economics Dynamic Control, 12, 231–254.
- Jorion, P. (1990), “The Exchange Rates Exposure of US. Multinationals,†Journal of Bus-inness, 63, 331-345.
- Krueger, A.O. (1983), Exchange Rates Determination, Cambridge University Press, Cam-bridge.
- Phylaktis, K. and F. Ravazzolo (2002), Stock Price and Exchange Rate Dynamics, London, City University Business School.
- Solnik, B.H. (1984), “Stock and Money Variabels: The International Evidence,†Financial Analyst Journal, 69-73.
References
Abdalla, I.S.A. and V. Murinde (1997), “Exchange Rates and Stock Prices Interaction in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and the Philip-pines,†Applied Financial Economics, 7, 25-35.
Aggarwal, R. (1981), “Exchange Rates and Stock Prices: A study of the US Capital Markets under Floating Rates,†Akron Business and Economic Review, 12, 7-12.
Ajayi, R.A., J. Friedman, and S.M. Mehdian (1998), â€On the Relationship between Stock Returns and Exchange Rates: Tests of Granger Causality,†Global Finance Journal, 9, 241-251.
Bahmani-Oskooee, M. and A. Sohrabian (1992), “Stock Prices and the Effective Exchange Rates of the Dollar,†Applied Economics, 24, 459-464.
Bodnar, G.M., and W.M. Gentry (1993), “The Exchange Rates Exposure and Industry Characteristics: Evidence from Canada, Japan and the US,†Journal of International Money and Finance, 12, 29-45.
Dickey, D.A. and W.A. Fuller (1979), “Distribution of the Estimators for Autoregression Time Series with a Unit Root,†Journal of American Statistic Association, 74, 427- 431.
Doong, S.C., S.Y. Yang, and A.T. Wang (2005), “The Dynamic Relationship and Pricing of Stocks and Exchange Rates: Empirical Evidence from Asian Emerging Markets,†Journal of American Academy of Business, 7(1), 123-135.
Engle, R.F. and C.W. Granger (1987), “Co-integration and Error Correction: Representa-tion, Estimation and Testing,†Econometrica, 55, 251–276.
Granger, C.W. (2000), “A Bivariate Causality between Stock Price and Exchange Rates: Evidence from Recent Asian Flu,†Quarterly Review of Economics and Finance, 21(2), 43-58.
Harjito, D.A. (2006), “Hubungan Nilai Tukar dan Harga Saham di Pasar Modal Malaysia: Pendekatan Statistik Non-parametrik,†Jurnal Ekonomi dan Bisnis-EKOBI, 7(2), 257-279.
Harjito, D.A. and C.B. McGowan (2007), “Stock Price and Exchange Rate Causality: The Case of Four ASEAN Countries,†Southwestern Economic Review, 34(1), 103-114.
Ibrahim, M.H. (2000), “Cointegration and Granger Causality Test of Stock Prices and Ex-change Rates Interactions in Malaysia,†ASEAN Economic Bulletin, 17, 36-47.
Johansen, S. (1988), â€Statistical Analysis of Cointegration Vectors,†Journal of Economics Dynamic Control, 12, 231–254.
Jorion, P. (1990), “The Exchange Rates Exposure of US. Multinationals,†Journal of Bus-inness, 63, 331-345.
Krueger, A.O. (1983), Exchange Rates Determination, Cambridge University Press, Cam-bridge.
Phylaktis, K. and F. Ravazzolo (2002), Stock Price and Exchange Rate Dynamics, London, City University Business School.
Solnik, B.H. (1984), “Stock and Money Variabels: The International Evidence,†Financial Analyst Journal, 69-73.