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Title: The relationship between stock prices and the FX market
Authors: Koliou, Maria
Keywords: Granger causality
Exchange rates
Stock prices
Variance Decomposition
Issue Date: 2021
Publisher: Πανεπιστήμιο Μακεδονίας
Abstract: This study examines the relationship between foreign exchange market and the stock market in a group of advanced countries, Canada and Japan and a part of emerging countries Brazil and India over the period of 2002-2017. The whole research was carried out by applying the methods of unit root tests for stationarity, cointegration tests for the long run relationship between the two markets, the Granger causality test in order to explain the relationship in the short run period, Impulse Response Function which analyzes the response of the variables to shocks and Variance Decomposition analysis.
Description: Πτυχιακή εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2021.
Η βιβλιοθήκη διαθέτει αντίτυπο της πτυχιακής μόνο σε ηλεκτρονική μορφή.
Rights: CC0 1.0 Παγκόσμια
Appears in Collections:Τμήμα Οικονομικών Επιστημών (Π)

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