Abstract. The efficiency of
the stock market is tested by linear and non-linear methods benefiting from
variables such as exchange rate, interest rate, money supply, and commodity
prices. This paper specifically focuses on the exchange rate variable for an
oil producer country, Kuwait, and tries to estimate parameters using the Classical
Linear Regression Model, Autoregressive Distributed Lag Model and Nonlinear
Autoregressive Distributed Lag Model. According to nonlinear results, we
explore that macroeconomic and financial variables are inextricably interwined with
stock prices. In this respect, exchange rate substantial harbinger considering
magnitude and asymmetry. The results put forward in this study indicate a
cointegration relationship, a short-run and long-run asymmetry between exchange
rate and stock prices. Although the linear model indicates that an appreciation
of the local currency increases stock prices in the short-run, the nonlinear
model reveals a drop in stock prices significantly in the long-run.
Abstract. The efficiency of
the stock market is tested by linear and non-linear methods benefiting from
variables such as exchange rate, interest rate, money supply, and commodity
prices. This paper specifically focuses on the exchange rate variable for an
oil producer country, Kuwait, and tries to estimate parameters using the Classical
Linear Regression Model, Autoregressive Distributed Lag Model and Nonlinear
Autoregressive Distributed Lag Model. According to nonlinear results, we
explore that macroeconomic and financial variables are inextricably interwined with
stock prices. In this respect, exchange rate substantial harbinger considering
magnitude and asymmetry. The results put forward in this study indicate a
cointegration relationship, a short-run and long-run asymmetry between exchange
rate and stock prices. Although the linear model indicates that an appreciation
of the local currency increases stock prices in the short-run, the nonlinear
model reveals a drop in stock prices significantly in the long-run.
Birincil Dil | İngilizce |
---|---|
Konular | Finans |
Bölüm | Araştırma Makalesi |
Yazarlar | |
Yayımlanma Tarihi | 25 Aralık 2020 |
Yayımlandığı Sayı | Yıl 2020 Cilt: 10 Sayı: 2 |