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Register a new userأثر بعض المتغيرات الاقتصادية على أسعار الأسهم (بحث تطبيقي على سوق دمشق للأوراق المالية)
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Aِl-Baath University ورقة بحثية
Publication date
2016
fields
Economy
and research's language is
العربية
Created by
Shamra Editor
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هدفت هذه الدراسة إلى اختبار أثر بعض المتغيرات الاقتصادية الكلية على أسعار الأسهم في سوق دمشق للأوراق المالية ، و تلك المتغيرات هي معدل التضخم و سعر الصرف ، و شملت عينة الدراسة قيم مؤشر سوق دمشق للأوراق المالية و معدلات التضخم الشهرية و سعر صرف الليرة السورية لسلسلةٍ زمنيةٍ شهريةٍ تمتد من شهر كانون الثاني لعام 2011 م إلى شهر كانون الأول لعام 2013 م.
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References used
Ansotegui, C. & Esteban M.V , 2002 Cointegration for market forecast in the Spanish stock market , Applied Economics , Vol. 34 No. 7, 843-857
Bodnar , Gordon, Franco, Wong , 1999 Estimating Exchange Rate Exposures , Financial Management , Vol. 32 No.1 , 797-812
Dimitrova , Desislava , 2005 The Relationship between Exchange Rates and Stock Prices( Studied in a Multivariate Model ) , Political Economy, Vol.14, 523-541
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إن الهدف الرئيسي لهذه الدراسة هو التعرف على العوامل التي تؤثر على سيولة أسهم الشركات المساهمة العامة المدرجة في سوق دمشق للأوراق المالية
The stock market conditions are a mirror reflecting the general
economic situation in the country ,and the stability of these markets
measure of the general economic policy of the country of success
,and then be trying to understand the fluctuatio
ns in stock prices and
their relationship to economic ,financial and monetary factors and
financial crises.
The research examines the effect of inflation on the returns of index
in Damascus Stock Exchange (DSE),the monthly data for the rate of
inflation for the Damascus market indices has been collected during
the period (2010-2013).
The researcher concluded that there is a weak positive relationship
but insignificant for inflation rate on the return of market index in(
DSE) during the study period.
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.
This paper aims to examine the relationship between stock prices and
macroeconomic variables in the United States using quarterly data for the period
1988 to 2012. We dentify five macroeconomic variables ( i.e, gross domestic
product, inflation, r
eal money supply, Treasury bill rate, and oil prices) that
researchers have linked to stock prices. We then examine the relationship
between these macroeconomic variables and the S&P500 by estimating
cointegration system using Johansen technique. Moreover, this paper will use
Vector Error Correction Model (VECM) to test the short run relationships. Also,
we use variance decomposition technique to understand which macroeconomic
variable have more explantory power of the variation in the S&P500.
This research aims to investigate the impact of fluctuations in the
exchange rate of the Syrian pound on the general index of the prices
of shares of companies listed in the Damascus Securities Exchange,
and clarify the type of relationship betwee
n these fluctuations and
general share price index,using the linear regression models simple
and multiple, and vector autoregressive (VAR) model of error
correction (VECM) and Granger causality to test the relationship
between the exchange rate and the general share price index in the
Damascus Securities Exchange for the period 2011-2015.
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