Relationship between Exchange Rate and Stock Prices: Empirical Evidence from Cambodia

Bunheng Khon, Sorphasith Xaisongkham, Somchith Sompaseuth

Abstract: This empirical study attempts to investigate the relationship between exchange rate and stock prices of Cambodia security exchange (CSX) by adopting monthly data of stock prices and exchange rate from 2015-2018. In this research, the author employed the unit root test, cointegration by Johansen and granger causality test for finding the relationship between two variables. The results illustrated two variables are stationary in the first different I (1). Exchange rate and stock prices have no relationship in the short-run (P-value 0.21>0.05), but in the long-run they are associated with significant 99 %. Granger causality test revealed that stock prices and exchange rates are independence.

Keywords: Stock price, Exchange rate, Cointegration, Granger causality