CAUSALITY BETWEEN STOCK AND FOREIGN EXCHANGE MARKETS IN SAUDI ARABIA AND INDONESIA (2002-2016)

AL-Maqtari, Abdullah Abdulraoof Taha (2018) CAUSALITY BETWEEN STOCK AND FOREIGN EXCHANGE MARKETS IN SAUDI ARABIA AND INDONESIA (2002-2016). S1 thesis, UAJY.

	Text (HALAMAN JUDUL) EMI201390.pdf Download (2MB)
	Text (BAB I) EMI201391.pdf Download (752kB)
	Text (BAB II) EMI201392.pdf Download (939kB)
	Text (BAB III) EMI201393.pdf Restricted to Registered users only Download (838kB)
	Text (BAB IV) EMI201394.pdf Restricted to Registered users only Download (2MB)
	Text (BAB V) EMI201395.pdf Restricted to Registered users only Download (3MB)

Abstract

The purpose of this research is to investigate the existence of a causal relationship between the stock and foreign exchange markets in Indonesia and Saudi Arabia during the period of 2002-2016. The main test employed in this research is the test of Granger causality, which will test the causal relationship between Tadawul stock market TASI and the foreign exchange market SAR in Saudi Arabia, and will test the causal relationship between Indonesia stock market JKSE and the foreign exchange market IDR in Indonesia, The result of causality test were as follow: in Indonesian, markets show unidirectional causality running form JKSE into IDR, this causality relationship disappear to show an inverse relationship from the foreign exchange IDR into Indonesia stock exchange JKSE, as result of the global financial crisis in the period of 2007-2008. For the Saudi’s markets the whole sample didn’t show causality in 5% confidence level except in the period of 2002-2005, this unidirectional causality was running from Tadawul stock market TASI into the foreign exchange SAR, as result of the stock bubble which exploded in 2006, after that period the market show unidirectional causality running from the foreign exchange rate SAR toward the Tadawul stock market TASI but in 10% confidence level

Actions (login required)

View Item