Date of Award
6-2010
Thesis Type
Masters
Document Type
Dissertation
Divisions
Faculty of Business and Economics (formally known as Faculty of Business and Accountancy)
Institution
Universiti Malaya
Abstract
This study examines the relationship between stock price and currency exchange rate in Malaysia for the periods before pegging and after depegging of Ringgit Malaysia. Various econometrics tests are performed to find out the coefficients of correlation, beta coefficients, stationary of stock price and currency exchange rate, cointegration and Granger causality. It is found that stock price and strength of Ringgit are strongly and positively correlated, unilateral causality from stock price to currency exchange rate before pegging of Ringgit. However, the relationship between the two variables has become less significant as the correlation and degree of cointegration has become weaker while the variables become independent in term of causal relationship after depegging of Ringgit. The possible reasons for these changes in relationship between the two variables are explored.
Additional Information
Dissertation (M.A.) – Faculty of Business and Economics, Universiti Malaya, 2010.
Recommended Citation
Beng Hooi, Ooi, "The relationship between stock price and currency exchange rate in Malaysia : the case before pegging and after depegging of Ringgit Malaysia." (2010). Student Works (2010-2019). 24.
https://knova.um.edu.my/student_works_2010s/24
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
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