| | | Document Type | : | Latin Dissertation | | Language of Document | : | English | | Record Number | : | 54350 | | Doc. No | : | TL24304 | | Call number | : | 3345490 | | Main Entry | : | Gehan Saleh | | Title & Author | : | The dynamic relation between stock prices and exchange rates in Egypt, Saudi Arabia and UAEGehan Saleh | | College | : | University of Illinois at Chicago | | Date | : | 2008 | | Degree | : | Ph.D. | | student score | : | 2008 | | Page No | : | 121-n/a | | Abstract | : | This study investigates the dynamic relation between stock prices and exchange rates in three emerging markets, Egypt, Saudi Arabia and the United Arab Emirates. First, an institutional analysis of the three emerging markets is provided then econometric techniques are applied to weekly data to examine the relation between the variables. The econometric techniques employed unit root tests, Granger-causality, cointegration, error-correction model, and EGARCH model to investigate empirically the relation between the two variables. Perhaps the most important result is that, for all three countries changes in exchange-rate cause changes in stock market prices. Further results of the EGARCH model show that "bad news" affect the volatility of each market more than "good news". These results are original for the three Middle Eastern countries, and are important to policy making as well as to portfolio management and currency hedging. [PUBLICATION ABSTRACT] | | Subject | : | Social sciences; Stock price index; Exchange rates; Emerging markets; Middle East; Arab countries; Stock prices; Egypt; Saudi Arabia; United Arab Emirates; Finance; Studies; Foreign exchange rates; 0508:Finance | | Added Entry | : | L. Officer | | Added Entry | : | University of Illinois at Chicago |
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http://lib.clisel.com/site/catalogue/54350
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