Stock Prices Index and Exchange Rates: (An Empirical Study on Damascus Securities Exchange)
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Researchers |
Kinan Mostafa Yaghi |
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Published in |
Review of Economics and Business Administration, Volume 2, Issue 1, March 2018 |
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Abstract |
In this paper, we have investigated the dynamic relationship between stock prices and exchange rate in the emerging economy of Syrian Arab Republic. We considered the daily nominal exchange rate of Syrian pound and daily values of Damascus Stock Exchange (DSE) General Index for the period of June 2011 to the end of December 2015. To achieve this objective, Granger Causality Test has been applied using data gathered from monthly and annual analytical reports from the Central Bank of Syria (CBS) and Damascus Stock Exchange (DSE) reports. Different diagnostic tests were also performed to reach the final results, such as Lag Length Selection and Unit Root Test. Empirical result shows that exchange rates and stock prices data series are non-stationary and integrated of order one. Then we have applied Johansen procedure to test for the possibility of a co-integrating relationship. Result shows that there is co-integrating relationship between stock prices and exchange rates. Finally we applied Granger causality test to find out any causal relationship between stock prices and exchange rates. Outcome shows that exchange rates of Syrian pound Granger-cause stock prices. Keywords: Stock price, Exchange rate, Stationary, Co-integration Test, Causality, Damascus Securities Exchange, Syria. |
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