IDEAS home Printed from https://ideas.repec.org/a/ris/apecjn/0020.html
   My bibliography  Save this article

How Often Does the Exchange Rate Granger Cause the Stock Market in Pakistan? A Bootstrap Rolling Window Approach

Author

Listed:
  • Khan, Khalid

    (School of Finance, Qilu University of Technology, China)

  • SU, Chi-Wei

    (Department of Finance, Ocean University of China, China)

  • Khurshid, Adnan

    (Abbottabad University of Science and Technology, Abbottabad, Pakistan)

  • Rehman, Ashfaq U.

    (Department of Political Science Women University of Sawabi, Pakistan)

Abstract

his paper investigates the causal link between the stock market (SM) and the exchange rate (EXR) in Pakistan, using the bootstrap Granger causality and sub-sample rolling window estimation. The full sample Granger causality test indicates no causality between the SM and the EXR. The stability of the parameters is examined by taking into the account structural changes for individual series as well as the VAR. The full sample Granger test shows the absence of causality. The rolling window approach shows the uni-directional positive and negative relationship between the SM and the EXR. The study gives some suggestions to the government and policy makers that a well-coordinated policy implementation and execution regarding the SM and the EXR are crucial in attracting foreign investors and developing a sound financial system in the country complementary to the development of the economy.

Suggested Citation

  • Khan, Khalid & SU, Chi-Wei & Khurshid, Adnan & Rehman, Ashfaq U., 2018. "How Often Does the Exchange Rate Granger Cause the Stock Market in Pakistan? A Bootstrap Rolling Window Approach," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 25(1), pages 65-78, June.
    • Handle: RePEc:ris:apecjn:0020
    as

    Download full text from publisher

    File URL: https://so01.tci-thaijo.org/index.php/AEJ/article/view/151087/110576
    File Function: Full text
    Download Restriction: Asian Journal of Applied Economics/ Applied Economics Journal
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xinyu WANG & Wensen WU & Jin ZHANG & Gheorghe HURDUZEU & Teodora Odett BREAZ & Vasile Cosmin NICULA, 2022. "How are industrial sector optimization, mitigation policies and taxes contributing to carbon neutrality? Threshold Evidence from Europe," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 187-201, April.

    More about this item

    Keywords

    Rolling Window; Bootstrap; Granger causality; Stock market; Exchange rate;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:apecjn:0020. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Arannee Tongjankaew (email available below). General contact details of provider: https://edirc.repec.org/data/feckuth.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.