Dancing of stock prices with dollar in the presence of Australian commodity prices

Fazle Rabbi; Mohammad Ali Tareq; Mamta B. Chowdhury

Dancing of stock prices with dollar in the presence of Australian commodity prices

Fazle Rabbi, Mohammad Ali Tareq, Mamta B. Chowdhury

Western Sydney University

Research output: Chapter in Book / Conference Paper › Conference Paper › peer-review

Abstract

![CDATA[The three-way relationship among stock prices, exchange rates and the commodity indices has laid the foundation of this study. This is especially true for Australia where the primary commodities constitute an important share of exports. Using monthly data from January 2000 to December 2014, this paper uses the Johansen cointegration and vector error correction (VECM) mechanism to estimate the long-run as well as short-run dynamic relationship among these variables for Australia. The result shows significant long-run relationship among the variables including significant error correction terms to justify their substantial speed of adjustment with the equilibrium level in the short run.]]

Original language	English
Title of host publication	1st AISD International Multidisciplinary Conference on Sustainable Development (IMCSD), Dhaka, Bangladesh, 22-23 January 2016
Publisher	Australian Institute for Sustainable Development
Pages	27-39
Number of pages	13
ISBN (Print)	9780994526120
Publication status	Published - 2016
Event	International Multidisciplinary Conference on Sustainable Development - Duration: 22 Jan 2016 → …

Conference

Conference	International Multidisciplinary Conference on Sustainable Development
Period	22/01/16 → …

Keywords

stocks
foreign exchange rates
prices
Johansen cointegration test
vector error correction model
Australia

Cite this

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title = "Dancing of stock prices with dollar in the presence of Australian commodity prices",

abstract = "![CDATA[The three-way relationship among stock prices, exchange rates and the commodity indices has laid the foundation of this study. This is especially true for Australia where the primary commodities constitute an important share of exports. Using monthly data from January 2000 to December 2014, this paper uses the Johansen cointegration and vector error correction (VECM) mechanism to estimate the long-run as well as short-run dynamic relationship among these variables for Australia. The result shows significant long-run relationship among the variables including significant error correction terms to justify their substantial speed of adjustment with the equilibrium level in the short run.]]",

keywords = "stocks, foreign exchange rates, prices, Johansen cointegration test, vector error correction model, Australia",

author = "Fazle Rabbi and Tareq, {Mohammad Ali} and Chowdhury, {Mamta B.}",

year = "2016",

language = "English",

isbn = "9780994526120",

pages = "27--39",

booktitle = "1st AISD International Multidisciplinary Conference on Sustainable Development (IMCSD), Dhaka, Bangladesh, 22-23 January 2016",

publisher = "Australian Institute for Sustainable Development",

note = "International Multidisciplinary Conference on Sustainable Development ; Conference date: 22-01-2016",

}

Rabbi, F, Tareq, MA & Chowdhury, MB 2016, Dancing of stock prices with dollar in the presence of Australian commodity prices. in 1st AISD International Multidisciplinary Conference on Sustainable Development (IMCSD), Dhaka, Bangladesh, 22-23 January 2016. Australian Institute for Sustainable Development, pp. 27-39, International Multidisciplinary Conference on Sustainable Development, 22/01/16.

Dancing of stock prices with dollar in the presence of Australian commodity prices. / Rabbi, Fazle; Tareq, Mohammad Ali; Chowdhury, Mamta B.
1st AISD International Multidisciplinary Conference on Sustainable Development (IMCSD), Dhaka, Bangladesh, 22-23 January 2016. Australian Institute for Sustainable Development, 2016. p. 27-39.

Research output: Chapter in Book / Conference Paper › Conference Paper › peer-review

TY - GEN

T1 - Dancing of stock prices with dollar in the presence of Australian commodity prices

AU - Rabbi, Fazle

AU - Tareq, Mohammad Ali

AU - Chowdhury, Mamta B.

PY - 2016

Y1 - 2016

N2 - ![CDATA[The three-way relationship among stock prices, exchange rates and the commodity indices has laid the foundation of this study. This is especially true for Australia where the primary commodities constitute an important share of exports. Using monthly data from January 2000 to December 2014, this paper uses the Johansen cointegration and vector error correction (VECM) mechanism to estimate the long-run as well as short-run dynamic relationship among these variables for Australia. The result shows significant long-run relationship among the variables including significant error correction terms to justify their substantial speed of adjustment with the equilibrium level in the short run.]]

AB - ![CDATA[The three-way relationship among stock prices, exchange rates and the commodity indices has laid the foundation of this study. This is especially true for Australia where the primary commodities constitute an important share of exports. Using monthly data from January 2000 to December 2014, this paper uses the Johansen cointegration and vector error correction (VECM) mechanism to estimate the long-run as well as short-run dynamic relationship among these variables for Australia. The result shows significant long-run relationship among the variables including significant error correction terms to justify their substantial speed of adjustment with the equilibrium level in the short run.]]

KW - stocks

KW - foreign exchange rates

KW - prices

KW - Johansen cointegration test

KW - vector error correction model

KW - Australia

UR - http://handle.uws.edu.au:8081/1959.7/uws:34238

UR - http://aisd.org.au/international-multidisciplinary-conference-on-sustainable-development-dhak-p238-168.htm

M3 - Conference Paper

SN - 9780994526120

SP - 27

EP - 39

BT - 1st AISD International Multidisciplinary Conference on Sustainable Development (IMCSD), Dhaka, Bangladesh, 22-23 January 2016

PB - Australian Institute for Sustainable Development

T2 - International Multidisciplinary Conference on Sustainable Development

Y2 - 22 January 2016

ER -

Dancing of stock prices with dollar in the presence of Australian commodity prices

Abstract

Conference

Keywords

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