Causality of interest rate, exchange rate and stock prices at stock market open and close in Hong Kong

Using an ARIMA approach, the causality of daily interest rate (HIBOR), exchange rate (FOREX) and stock prices in Hong Kong were explored for the period 1986-1991. The results were verified and confirmed by the Granger causality tests. Depending on the subperiods being considered, sporadic unidirecti...

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Veröffentlicht in:	Asia Pacific journal of management 1993-10, Vol.10 (2), p.123-143
1. Verfasser:	Mok, Henry M K
Format:	Artikel
Sprache:	eng
Schlagworte:	Causality Efficient markets Foreign exchange rates Impacts Interest rates Prices Securities markets Stock exchanges Stock prices Studies Variables
Online-Zugang:	Volltext
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