The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries

The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries

This study investigates the relationship between stock prices and exchange rates in ten Middle Eastern countries, namely, Bahrain, Egypt, Iran, Jordan, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia, and the United Arab Emirates (UAE) before and during the 2007 global financial crisis. For this purpo...

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Main Author: Parsva, Parham
Format: Thesis
Language:English
Published: 2012
Subjects:
H1-99 Social sciences (General)
Online Access:http://eprints.usm.my/45592/1/PARHAM%20PARSVA_HJ.pdf
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spelling my-usm-ep.455922019-10-08T02:49:12Z The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries 2012-02 Parsva, Parham H1-99 Social sciences (General) This study investigates the relationship between stock prices and exchange rates in ten Middle Eastern countries, namely, Bahrain, Egypt, Iran, Jordan, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia, and the United Arab Emirates (UAE) before and during the 2007 global financial crisis. For this purpose, two frameworks are determined; the first framework is a bivariate model involving only stock prices and exchange rates, while the second framework is a multivariate model including the two relevant variables, inflation rates, and oil prices. Daily data are used for the bivariate model, while monthly data are used for the multivariate model. The sample period is from January 1, 2004 to September 30, 2010. The sample is divided into two subperiods, that is, the period from January 1, 2004 to September 30, 2007 and the period from October 1, 2007 to September 30, 2010, to represent the precrisis period and the crisis period respectively. The econometric techniques employed are unit root tests, Johanson-Juselius cointegration test and Granger causality test. Moreover, to ensure the goodness of fit of the models, some diagnostic and specification tests, that is, serial correlation LM test, Autoregressive Conditional Heteroscedasticity test, and Ramsey’s RESET test, are employed. 2012-02 Thesis http://eprints.usm.my/45592/ http://eprints.usm.my/45592/1/PARHAM%20PARSVA_HJ.pdf application/pdf en public masters Universiti Sains Malaysia Pusat Pengajian Sains Kemasyarakatan
institution Universiti Sains Malaysia
collection USM Institutional Repository
language English
topic H1-99 Social sciences (General)
spellingShingle H1-99 Social sciences (General)
Parsva, Parham
The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries
description This study investigates the relationship between stock prices and exchange rates in ten Middle Eastern countries, namely, Bahrain, Egypt, Iran, Jordan, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia, and the United Arab Emirates (UAE) before and during the 2007 global financial crisis. For this purpose, two frameworks are determined; the first framework is a bivariate model involving only stock prices and exchange rates, while the second framework is a multivariate model including the two relevant variables, inflation rates, and oil prices. Daily data are used for the bivariate model, while monthly data are used for the multivariate model. The sample period is from January 1, 2004 to September 30, 2010. The sample is divided into two subperiods, that is, the period from January 1, 2004 to September 30, 2007 and the period from October 1, 2007 to September 30, 2010, to represent the precrisis period and the crisis period respectively. The econometric techniques employed are unit root tests, Johanson-Juselius cointegration test and Granger causality test. Moreover, to ensure the goodness of fit of the models, some diagnostic and specification tests, that is, serial correlation LM test, Autoregressive Conditional Heteroscedasticity test, and Ramsey’s RESET test, are employed.
format Thesis
qualification_level Master's degree
author Parsva, Parham
author_facet Parsva, Parham
author_sort Parsva, Parham
title The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries
title_short The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries
title_full The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries
title_fullStr The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries
title_full_unstemmed The Relationship Between Stock Prices And Exchange Rates : Evidence From Ten Middle Eastern Countries
title_sort relationship between stock prices and exchange rates : evidence from ten middle eastern countries
granting_institution Universiti Sains Malaysia
granting_department Pusat Pengajian Sains Kemasyarakatan
publishDate 2012
url http://eprints.usm.my/45592/1/PARHAM%20PARSVA_HJ.pdf
_version_ 1747821534553047040

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