The objective of this paper is to study the causal relationship between stock prices and exchange rates in Thailand using the Granger causality tests based on cointegration. The daily closing prices and exchange rates data considered in this paper cover from December 7, 2012 to June 22, 2016. The Johansen cointegration test finds that there is a long-run relationship between the stock prices and exchange rates. Using the Granger test for investigating the directional causality of stock prices and exchange rates in Thailand, the results show that there is an evidence of unidirectional long-run causality running from stock prices to exchange rate but no evidence of the movement from exchange rates to stock prices.
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