Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

The study examined stock prices (SP) and exchange rate (ER) interactions with multivariate VAR-GARCH model using monthly data from January 2000 to October 2014. The results of the Engle and Granger and Johansen cointegration test show that there is stable long-term relationship between SP and ER. Th...

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Bibliographic Details
Main Authors: Charles O. Manasseh, Ndubuisi O. Chukwu, Felicia C. Abada, Jonathan E. Ogbuabor, Adedoyin I. Lawal, Felix C. Alio
Format: Article
Language:English
Published: Taylor & Francis Group 2019-01-01
Series:Cogent Economics & Finance
Subjects:
interaction
stock prices
exchange rates
multivariate
varr-garch
Online Access:http://dx.doi.org/10.1080/23322039.2019.1681573

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