Author Type

Graduate Student

Date of Award

2006

Document Type

Thesis

Publication Status

Version of Record

Submission Date

October 2026

Thesis/Dissertation Advisor [Chair]

Yuhn, Ky-Hyang

Abstract

This thesis investigates the direction of causality as well as short-run dynamics and long-run equilibrium relationship between stock prices and exchange rates using quarterly data for the period 1960:1--2004:4. The studies apply techniques of the unit root, cointegration and Standard Granger causality tests to examine the relationship between these two financial variables. The empirical results reveal that there is no causal linkage and no cointegration between the stock prices and exchange rates as suggested under Traditional and Portfolio approaches. The results support the view that the semi-strong form of EMH holds true for the U.S. financial markets.

Extent

79 p.

Comments

College of Business|Thesis (M.S.)--Florida Atlantic University, 2006.|FAU Electronic Theses and Dissertations Collection|College of Business

Identifier

FADT13393

Format

pdf

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