Long-run and short run dynamics between foreign exchange and stock markets: Evidence from thailand and the Philippines

The paper is an investigation of the possible long-run and short-run dynamics between the stock and foreign exchange markets in Thailand and Indonesia. The cointegration methodology is applied using the weekly data from November 8, 1991 through December 26, 1997. Each variable is non-stationary in levels and depicts I(1) behavior. There is no evidence of cointegration between these variables. Simple Granger causality tests confirm bidirectional causality, however