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Register a new userThe Relationship between Macroeconomic Variables and Damascus Securities Exchange Index
العلاقة بين المتغيرات الاقتصادية الكلية و مؤشر سوق دمشق للأوراق المالية
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انطلاقاً من أهمية طبيعة العلاقة بين المتغيرات الاقتصادية الكلية و مؤشر السوق المالية بالنسبة لكل من الباحثين و المستثمرين و القائمين على عمل السوق، تمت دراسة هذه العلاقة في هذا البحث خلال الفترة 1-1-2010 إلى 31-12-2011 باستخدام بيانات شهرية لكل من سعر الصرف الاسمي الفعال SNEER، العرض النقدي SM2، معدل تغطية الصادرات للواردات SXM، معدل التضخم SINF، و مؤشر سوق دمشق SDWX. تبين لنا استقرار السلاسل الزمنية المدروسة من خلال اختبار Augmented dickey Fuller، و أكد اختبار جوهانسن Co-integration وجود علاقة توازنية طولية الأجل، و باستخدام اختبار Granger-Causality ظهر أن العلاقة تبادلية بين العرض النقدي و مؤشر السوق، كما أن سعر الصرف الاسمي الفعال يسبب التغير في مؤشر السوق، و تم تقدير نموذج VAR و اتصف بارتفاع قيمة R2، و تبين لنا من خلال اختبار Jarque-Bera أن البواقي لا تتبع التوزيع الطبيعي، و كانت تقديرات التنبؤ قريبة في بعض الفترات الزمنية إلى القيم الواقعية للمؤشر، و بتحليل النتائج نتوصل إلى أن العلاقة بين المتغيرات الاقتصادية الكلية و مؤشر سوق دمشق علاقة ذات قوة متوسطة.
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 Nominal 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.
References used
ALAVIRAD, A. Macroeconomic Variables and Stock Market: Evidance From Iran. International Journal of Economics and Finance Studies. Vol. 3, No. 1. 2011. 1-10
BAŞCI, E; KARACA, S. The Ditermination of Stock Market Index Var Approach to Turkish Stock Market. International Journal of Economics and Finance. Vol. 3, No. 1. 2013. 163-171
DICKEY, D. FULLER, W. Distribution of Estimators for Autoregressive Time Series with a Unit Root. Journal of American Statistical Association. USA. Vol. 74, Issue. 366, 1979. 427-431
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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 in
terested 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.
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 study aimed to explain the causal relationship between
macroeconomic variables and the stock market in Turkey,
Represented by GDP and Inflation, using annual data for the
period 1991 to 2016, Where descriptive method was used to
present the c
oncepts of variables, In addition to the statistical
method which use the tests of stationary, the natural distribution,
the linear regression equation multiplied by the normal lower
squares (OLS), and causal testing, using the statistical program
(Eviews10).
The financial markets play an important role in the economies of the developing and
undeveloped countries likewise. As they are ones of the financial political tools are
used in filling the local savings and an attractive instrument for the foreign
investments in addition to its active role in financing the growing economic plans.
The study aimed to test the effect of changing exchange rate of the Syrian pound
against the dollar on the shares of joint stock companies listed on the Damascus
Securities Exchange, the study covered the monthly data for the period extending
from July 2011 until November 2015.
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.
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