In this study we apply a series of non-causality tests to determine the direction of the relationship between stock price indices and exchange rates in emerging market economies. The data set includes monthly observations for the 21 countries included in the MSCI Emerging Markets Index between January 2003 and June 2013. The results indicate that there is a statistically significant causal interaction between the two variables in 13 of the 21 countries we study. The direction of the causality varies from country to country and is subject to the joint effect of multiple factors depending on the particulars of the economy in question.

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