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Register a new userThe Causal Relationship between Macro-Economic Variables and Fluctuations in the Turkish Stock Market
العلاقة السببية بين المتغيرات الاقتصادية الكلية و تذبذبات سوق الأسهم التركي
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هدفت الدراسة إلى بيان العلاقة السببية بين متغيرات الاقتصاد الكلي و سوق الأوراق المالية في تركيا, متمثلة ب الناتج المحلي الإجمالي و التضخم, باستخدام بيانات سنوية للفترة الممتدة بين 1991-2016 , حيث تم استخدام الأسلوب الوصفي لعرض مفاهيم المتغيرات, بالإضافة إلى الأسلوب الإحصائي باستخدام اختبارات السكون, التوزيع الطبيعي, معادلة الانحدار الخطي المتعدد حيث تم تقديرها بطريقة المربعات الصغرى العادية (OLS) و اختبار السببية, و ذلك باستخدام البرنامج الإحصائي Eviews10.
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 concepts 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).
References used
Al-Ta'ma, Haidar Hussein, 2013- Athar Takalobat Asaar al- Sarf ala Asoak al-Ashoam fi al-Aktassad al-Turky. Jamaat Krbalaa, Majalt al-Aloum al- AKtassad ou al- Dariaa, al- Mouglad 19, al- Adaad 73, Safha 363-381
Arbab, Musab Moatasem Saeed, Mohammed, Mufidah Mohammed Awadallah Allah, 2015 – Athar al Seasat al naqdeaa all soak ou asaar al ashoum fi al Sudan llftra mn (2000-2013)- soak al Khartoum llaoraaq almalia namothaj, almajalaa alMassria llDrasat alkanonia ou alkatsadia, aladad 6, safha 250-297
Dalloul, Mohamed Eyad, 2014- Athar alsthmar alAjnaby almoubashar fi alnatag almahaly aljmaly fi Syria llftraa (2000-2010), Rasat Dktoura, jeamta Diamashaka, Kleat alQtassad, Safha350
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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.
The research aims to study the relationship between the health situation variables and
a group of economic variables in Syria during the Period (2000-2011), as the research
aims to create a mathematical model that illustrates the relationship betwe
en them using
Canonical Analysis.
The most significant results as follows:
- There is a very strong and statistically significant correlation between health level
variables and economic variables.
- The result of canonical analysis shows that national income per capita is the most
influential variable in health-level variables, followed by total investments, and hence
average per capita gross domestic product, and then the revised rate of activity.
- The result of canonical analysis shows that the average population per bed and
crude mortality rate have a strong impact on economic variables.
- We have come to build a mathematical model that represents the relationship
between health level variables and economic variables.
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.
Shadow economy is considered the most important economic problem which is still of concern to researchers for it is linked to all economic variables. It is found in all States with different economic patterns. But it is more widespread in developing
economies includes a recipe for lawful activities and other illegal .And it exists in all economic levels and affect all social strata and in all ages. Despite its characterization as a phenomenon, it cannot be overlooked as a reality.
Depending on that, this research tried to clarify the concept of the shadow economy, and identify its components. As well as, this research shows the most important macroeconomic indicators in Syria and the impact of economic variables on the shadow economy.
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 .
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