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Register a new userThe Long And Short Relation Term Between Monetary Variable And Damascus Stock Sxchange Index
العلاقة طويلة و قصيرة الأجل بين المتغيرات النقدية و مؤشر سوق دمشق للأوراق المالية
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منذر زيدان( باحث )
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يُعنى بدراسة العلاقة قصيرة و طويلة الأجل بين المتغيرات النقدية و مؤشر سوق دمشق للأوراق المالية. و ذلك من خلال التقديم النظري لتوضيح طبيعة العلاقة بين متغيرات السياسة النقدية المؤثرة في سوق الأوراق المالية، حيث تمثلت في أثر عرض النقود، و سعر الفائدة، و سعر الصرف، و معدل التضخم، و عند إجراء الدراسة الإحصائية باستخدام منهجية التكامل المشترك باستعمال نموذج الانحدار الذاتي ذو الإبطاء الموزع (Auto Regressive-Distributed Lag)(ARDL) لتحديد طبيعة العلاقة بين متغيرات الدراسة المستقلة، ممثلة في: عرض النقود (M1,M2)، سعر الفائدة I))، سعر الصرف (EX)، و المتغير التابع الممثل في مؤشر سوق دمشق للأوراق المالية( M_I). حيث أظهرت نتائج الدراسة الإحصائية خلال تقدير أنموذج تصحيح الخطأ غير المقيد Unrestricted equilibrium correction model (UECM، أن العلاقة طويلة و قصيرة الأجل بين عرض النقودM1 و مؤشر سوق دمشق للأوراق المالية هي علاقة موجبة، بينما كانت علاقة سالبة مع عرض النقود M2 في الأجل القصير، و تحولت غلى علاقة موجبة في الأجل الطويل. و كذلك فإن العلاقة بين معدل التضخم كانت موجبة في الأجل القصير و الطويل، بينما كانت العلاقة مع سعر الصرف سلبية في الأجل القصير و الطويل، و العلاقة كانت سلبية في الأجل القصير و الطويل مع سعر الفائدة. و تمحورت المقترحات حول ضرورة تطوير أداء السياسة النقدية و ذلك عبر استخدامها للأدوات غير المباشرة، للتحكم بكل أكثر فاعلية في عرض النقود، و بالتالي تحديد سعر الفائدة بشكل يعكس توازن سوق النقد، و هذا ما يجعل قدرة التأثير على سعر الصرف و معدل التضخم تسير بالشكل الذي يخدم الأهداف الاقتصادية الكلية، و ينعكس بشكل إيجابي على سلوك مؤشر سوق دمشق للأوراق المالية.
This study is concerned in the long relation between monetary policy variable and Damascus stock exchange (DSE) index, In general, monetary policy transmission can affect the markets, so the stock market also effected by that, and this study is interested in this relation, so it start by made theoretical introduction about how can monetary variables effect the stock market index, then it follow the statistical methodology by use Autoregressive-Distributed Lag model (ARDL) to estimate the relation between independents variables which are money supply M1,M2,exchange rate EX, interest rate I, inflation INF, and dependent variables which is DSE index (M_I) The result, by using the Unrestricted error correction model (UECM) shows that there is positive relation in short and long term between money supply (M1) and DSE index, but it was and negative one in short term between M2 and DSE index, and became a positive in long term, and the relation was negative between inflation and DSE index in short and long term. There was a negative one with exchange rate in short and long term, and also negative one with interest rate. As conclusion, it should be necessary to improve the behavior of monetary policy to control all this variable in the way that made it has positive effects on DSE index.
References used
Kivilcim, Metin, Is there along relation between stock returns and monetary variables, evidence from an emerging market, applied financial economics, 2001
CHONG, CHIN SIENG, Linage of economic activity, stock price and monetary policy, the case of Malaysia, faculty of economic, university of Malaya,2002
LKhagvajav B MONETARY POLICY AND BOND MARKET DEVELOPMENT: A CASE OF MONGOLIA, central bank of Mongolia, 2007
rate research
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Given The Importance of Relationship between Macroeconomic Variables and
Financial Market for Researchers, Investors and officials, This Relationship has been
Studied in This Research during Period 1-1-2010 to 31-12-2011 Using Monthly Data for
Nom
inal Effective Exchange Rate SNEER, Money Supply SM2, Exports Coverage
Imports SXM, Inflation Rate SINF, Damascus Market Index SDWX.
Stability of Time Series Studied through Augmented Dickey Fuller Test, Johansen
Co-Integration Test Confirmed There is Longitudinal Relationship-Term, Using Granger-
Causality Test Appeared That The Relationship Reciprocal between Money Supply and
The Index, Nominal Effective Exchange Rate is Causing Change in The Index, VAR
Model Estimated, and Characterized by High R2, Jarque-Bera Test Shows The Residuals
do not Follow Normal Distribution, Finally, Prediction in Some Time Periods Close to
Realistic Values of Index. By Analyzing This Result We Come up That The Relationship
between Macroeconomic Variables and Damascus Market Index has a Medium Strength.
Financial security occupies an important role in achieving economic development by
finding the sources of funding and organize the mechanism of subscription on the shares
And issue it.
Damascus security exchange consider one of the best Arabic exc
hange
Securities and in spite of the current Syrian events the security maintained on good level
of performance despite the lack of the listed companies and that cause to lack of diversity
although this security experience many obstacles but it can be solved and that lead to
increasing the participation of this security in the economic development.
In this research was rely on the curriculum descriptive analytical get to know the market
financial market Damascus Securities through reports issued by the data of the securities
and concluded search to the limited role played by the market in the process of economic
development and not the variety of securities denied companies of finding the sources of
funding their investment and that all the constraints facing the market can be exceeded and
attention to the market and that would raise the economic growth rate.
The index of consumer prices is an important economic indicators,
which are relied upon as an indicator of the scale where
expresses the good economic performance so attention is required
to correct the methods predictable given the important econ
omic
effects, including the stock market This study aimed to the
conclusion based on the models VAR standard form of inflation.
The general index of the financial market of the important
economic indicators in any country is being reflects the
economic situation and economic activity in the country, so
attention must be appropriate methods for predicting the
performance o
f this indicator in the future and look at the
factors that affect in it .
This study aimed to the conclusion based, follow Box-Jenkins
methodology for building predictive models ARMA (p, q) and
check models" residuals, and predict the performance of the
general index of Damascus Securities Exchange DWX, as
well as the volume of trading in this market, and studying the
impact of the relationship between them .
This study sought to investigate the effect of price limits on the
volatility of stock returns on the Damascus Stock Exchange. Where
the study period divided into two periods the first test period
3/3/2009 and until 23/6/2011, the second test period 13/2/2011 until
30/3/2017. Using the model (1,1) GARCH.
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