کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5054643 1476533 2013 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Co-integration and causality analysis between stock market prices and their determinates in Jordan
ترجمه فارسی عنوان
تجزیه و تحلیل همگام سازی و علیت بین قیمت سهام در بورس اوراق بهادار و تعیین ارزش آن در اردن
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- The paper examines the relationship between stock market index and macroeconomic variables.
- We find that the existence of long-run relationship between the SPI and macroeconomic variables.
- The feedback effect exists between SPI and finical development.

The current study examines the short- and long-term equilibrium relationship between the stock price index (SPI) and the macroeconomic variables in Jordan. Annual time series data over the 1978-2010 period for industrial production (IP), money supply (M2), exchange rate (EX), and discount rate (DR) were used. The ADF, bound testing approach, CUSUM, and CUSUMQ tests were applied to test the stationary and co-integration among variables. The results suggest the existence of a long-term equilibrium relationship between SPI and the macroeconomic variables (i.e., IP, M2, EX, and DR).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 35, September 2013, Pages 508-514
نویسندگان
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