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

Fazle Rabbi, Mohammad Ali Tareq, Mamta B. Chowdhury

Research output: Chapter in Book / Conference PaperConference Paperpeer-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 languageEnglish
Title of host publication1st AISD International Multidisciplinary Conference on Sustainable Development (IMCSD), Dhaka, Bangladesh, 22-23 January 2016
PublisherAustralian Institute for Sustainable Development
Pages27-39
Number of pages13
ISBN (Print)9780994526120
Publication statusPublished - 2016
EventInternational Multidisciplinary Conference on Sustainable Development -
Duration: 22 Jan 2016 → …

Conference

ConferenceInternational Multidisciplinary Conference on Sustainable Development
Period22/01/16 → …

Keywords

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

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