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<p>While most studies have found a short-run link between stock prices and exchange rates, a long-run relationship has not been established. This paper uses a monthly dataset from 30 different countries and attempts to use an ARDL and Granger non-causality methodology. This study’s findings indicate that the exchange rate impacts on stock prices more in the short run. When Granger non-causality results offer two-way causality directions. The present paper also reveals that the impact of changes in stock prices on exchange rates are significant and meaningful. Additionally, the paper finds more evidence for cointegration, especially when the model is reversed.</p>

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The nexus of exchange rates and stock prices: an ARDL and Granger non-causality study

  • 期刊论文

  • 发表日期：

    2025年12月20日

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  • Nazif Durmaz

摘要

While most studies have found a short-run link between stock prices and exchange rates, a long-run relationship has not been established. This paper uses a monthly dataset from 30 different countries and attempts to use an ARDL and Granger non-causality methodology. This study’s findings indicate that the exchange rate impacts on stock prices more in the short run. When Granger non-causality results offer two-way causality directions. The present paper also reveals that the impact of changes in stock prices on exchange rates are significant and meaningful. Additionally, the paper finds more evidence for cointegration, especially when the model is reversed.