The dynamic relation between stock prices and exchange rates in Egypt, Saudi Arabia and UAE

مرکز و کتابخانه مطالعات اسلامی به زبان های اروپایی

منو

" The dynamic relation between stock prices and exchange rates in Egypt, Saudi Arabia and UAE "
Gehan Saleh L. Officer

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 UAE\ Gehan 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