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PurposeThe purpose of this paper is to examine the relationship between stock prices and exchange rates in 12 OECD countries.Design/methodology/approachThe authors examine the nexus of stock prices and exchange rates for 12 OECD countries by using the vector error correction model, the bounds testing methodology and linear and non‐linear Granger causality methods.FindingsThe empirical results substantiate that a long‐run level equilibrium relationship among the exchange rates and stock prices exists in only seven out of twelve countries. The results of the linear causality tests indicate that significant short‐run and long‐run causal relationships exist between the two financial markets. The results of the tests for non‐linear Granger causality suggest that unidirectional and bidirectional non‐linear causal relationships exist between stock prices and exchange rates among these OECD countries.Originality/valueThe findings from this paper suggest the causal relationships between stock prices and exchange rates are not only linear, but also non‐linear.