外匯匯率對(duì)肯尼亞納羅比上市公司股票價(jià)格的影響
發(fā)布時(shí)間：2020-12-21 23:24
匯率市場(chǎng)和股票市場(chǎng)之間的相互作用在維持全球金融系統(tǒng)穩(wěn)定方面起著至關(guān)重要的作用。因?yàn)閰R率是各個(gè)經(jīng)濟(jì)體中的主要宏觀(guān)經(jīng)濟(jì)變量之一,所以許多研究試圖分析匯率對(duì)股票市場(chǎng)的影響。為了研究匯率對(duì)股票價(jià)格的影響,許多學(xué)者采用了不同的方法,提出了匯率波動(dòng)會(huì)導(dǎo)致股票價(jià)格以流動(dòng)為導(dǎo)向的理論（Dornbusch and Fisher,1980）。也有研究發(fā)現(xiàn),兩者存在單向因果關(guān)系,即匯率是股票價(jià)格的“Granger原因”。此外,以股票為導(dǎo)向的理論認(rèn)為,股票價(jià)格會(huì)導(dǎo)致匯率上漲。本文試圖研究匯率對(duì)肯尼亞內(nèi)羅畢證券交易所上市公司股票價(jià)格的影響。本文使用2003年至2018年的季度時(shí)間序列數(shù)據(jù),并采用NSE-20指數(shù)來(lái)衡量股票價(jià)格。同時(shí),以通貨膨脹率、利率、經(jīng)濟(jì)增長(zhǎng)率以及外匯匯率變量被作為股票價(jià)格的主要決定因素。本文采用自回歸分布式滯后（ARDL）模型來(lái)確定匯率與股票價(jià)格之間是否存在協(xié)整關(guān)系,并且還進(jìn)行了長(zhǎng)期模型分析,以確定匯率和其他宏觀(guān)經(jīng)濟(jì)因素對(duì)股票價(jià)格的邊際影響。根據(jù)ARDL邊界檢驗(yàn)的實(shí)證結(jié)果發(fā)現(xiàn):匯率、通貨膨脹率、利率、經(jīng)濟(jì)增長(zhǎng)和股票價(jià)格之間存在長(zhǎng)期的關(guān)系,并且長(zhǎng)期關(guān)系收斂。Granger因果關(guān)系檢驗(yàn)結(jié)果表明,...
【文章來(lái)源】：江西財(cái)經(jīng)大學(xué)江西省
【文章頁(yè)數(shù)】：68 頁(yè)
【學(xué)位級(jí)別】：碩士
【文章目錄】：
ACKNOWLEDGEMENTS
ABSTRACT
摘要
ABBREVIATIONS AND ACRONYMS
DEFINITION OF TERMS
CHAPTER ONE INTRODUCTION
1.1 Background of the study
1.2 Exchange Rate and Stock Markets in Kenya
1.3 Statement of the problem
1.4 Research Objectives
1.5 Organization of the study
CHAPTER TWO RELATIVE THEORIES AND LITERATURE REVIEW
2.1 Relative Theories
2.1.1 Flow-Oriented Theory
2.1.2 Stock-Oriented Theory
2.1.3 Overview of Macro-economic variables and Stock prices in Kenya
2.2 Empirical Literature Reviews
2.2.1 The Related Previous Studies
2.2.2 Overview of Literature Reviews
2.2.3 Contribution of The Study
CHAPTER THREE RESEARCH METHODOLOGY
3.1 Description and Measurement of Variables
3.2 Data collection
3.3 Data analysis
3.4 Analytical Framework
3.4.1 Unit Root Analysis
3.4.2 Optimal Lag Selection
3.4.3 Autoregressive Distributed Lag（ARDL）Model
3.4.4 ARDL Bounds Testing
3.4.5 Error Correction Model（ECM）Specification
3.4.6 Analysis of Long-Term Model
3.4.7 Granger Causality test
CHAPTER FOUR DATA ANALYSIS AND INTERPRETATION
4.1 Descriptive Statistics
4.1.1 Analysis of foreign exchange rate
4.1.2 Analysis of Inflation rate
4.1.3 Analysis of stock prices
4.1.4 Analysis of interest rates
4.1.5 Analysis of Economic growth
4.2 Stationarity Test
4.3 Optimal Lag Selection
4.4 ARDL Bounds Testing
4.4.1 Breusch-Godfrey Serial Correlation LM Test
4.4.2 Heteroskedasticity Test:Breusch-Pagan-Godfrey
4.4.3 Cusum Test for stability of the model
4.5 Error Correction Model（ECM）
4.5.1 Breusch-Godfrey Serial Correlation LM Test
4.5.2 Heteroskedasticity Test:Breusch-Pagan-Godfrey
4.5.3 Cusum Test for stability of the model
4.6 Analysis of Long-Term Model
4.6.1 Breusch-Godfrey Serial Correlation LM Test
4.6.2 Cusum Test for stability of the model
4.7 Granger Causality Test
4.8 Discussion of the results
4.8.1 Discussion of ARDL modelling results
4.8.2 Discussion of Long-term model results
CHAPTER FIVE SUMMARY,CONCLUSION AND RECOMMENDATIONS
5.1 Summary of the study
5.2 Conclusion
5.3 Recommendations for policy
5.4 Limitations of the Research
5.5 Areas for further research
REFERENCES
APPENDICES
本文編號(hào)：2930703
【文章來(lái)源】：江西財(cái)經(jīng)大學(xué)江西省
【文章頁(yè)數(shù)】：68 頁(yè)
【學(xué)位級(jí)別】：碩士
【文章目錄】：
ACKNOWLEDGEMENTS
ABSTRACT
摘要
ABBREVIATIONS AND ACRONYMS
DEFINITION OF TERMS
CHAPTER ONE INTRODUCTION
1.1 Background of the study
1.2 Exchange Rate and Stock Markets in Kenya
1.3 Statement of the problem
1.4 Research Objectives
1.5 Organization of the study
CHAPTER TWO RELATIVE THEORIES AND LITERATURE REVIEW
2.1 Relative Theories
2.1.1 Flow-Oriented Theory
2.1.2 Stock-Oriented Theory
2.1.3 Overview of Macro-economic variables and Stock prices in Kenya
2.2 Empirical Literature Reviews
2.2.1 The Related Previous Studies
2.2.2 Overview of Literature Reviews
2.2.3 Contribution of The Study
CHAPTER THREE RESEARCH METHODOLOGY
3.1 Description and Measurement of Variables
3.2 Data collection
3.3 Data analysis
3.4 Analytical Framework
3.4.1 Unit Root Analysis
3.4.2 Optimal Lag Selection
3.4.3 Autoregressive Distributed Lag（ARDL）Model
3.4.4 ARDL Bounds Testing
3.4.5 Error Correction Model（ECM）Specification
3.4.6 Analysis of Long-Term Model
3.4.7 Granger Causality test
CHAPTER FOUR DATA ANALYSIS AND INTERPRETATION
4.1 Descriptive Statistics
4.1.1 Analysis of foreign exchange rate
4.1.2 Analysis of Inflation rate
4.1.3 Analysis of stock prices
4.1.4 Analysis of interest rates
4.1.5 Analysis of Economic growth
4.2 Stationarity Test
4.3 Optimal Lag Selection
4.4 ARDL Bounds Testing
4.4.1 Breusch-Godfrey Serial Correlation LM Test
4.4.2 Heteroskedasticity Test:Breusch-Pagan-Godfrey
4.4.3 Cusum Test for stability of the model
4.5 Error Correction Model（ECM）
4.5.1 Breusch-Godfrey Serial Correlation LM Test
4.5.2 Heteroskedasticity Test:Breusch-Pagan-Godfrey
4.5.3 Cusum Test for stability of the model
4.6 Analysis of Long-Term Model
4.6.1 Breusch-Godfrey Serial Correlation LM Test
4.6.2 Cusum Test for stability of the model
4.7 Granger Causality Test
4.8 Discussion of the results
4.8.1 Discussion of ARDL modelling results
4.8.2 Discussion of Long-term model results
CHAPTER FIVE SUMMARY,CONCLUSION AND RECOMMENDATIONS
5.1 Summary of the study
5.2 Conclusion
5.3 Recommendations for policy
5.4 Limitations of the Research
5.5 Areas for further research
REFERENCES
APPENDICES
本文編號(hào)：2930703
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