Cointegration and Granger Causality Tests of Stock Price and Exchange Rate Interactions in Malaysia

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Stock Market and Foreign Exchange Market in India: Are they Related? (2004, background): “Representative examples are Morley and Pentecost (2000), Bahmani-Oskooee and Sohrabian (1992), Ibrahim (2000), Kanas (2000) etc.”
Macroeconomic determinants of Malaysian stock market (2009, background): “Using three different exchange rate measures namely real effective exchange rate, nominal effective exchange rate and RM/US$, Ibrahim (2000) suggests no long run relationship between stock market and exchange rates in a bi-variate setting for the Malaysian case.”
EFFECT OF EXCHANGE RATE VOLATILITY ON THE GHANA STOCK EXCHANGE (2008, result): “On the issue of causation, most of the studies had mixed results (Morley and Pentecost (2000); Bahmani-Oskooee and Sohrabian (1992); Ibrahim (2000); Kanas (2000).”
Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples (2003, background): “Elsewhere, compared to other measures of exchange rates such as effective exchange rates, Ibrahim (2000)”