外汇汇率对肯尼亚纳罗比上市公司股票价格的影响

发布时间：2020-12-21 23:24

　　汇率市场和股票市场之间的相互作用在维持全球金融系统稳定方面起着至关重要的作用。因为汇率是各个经济体中的主要宏观经济变量之一,所以许多研究试图分析汇率对股票市场的影响。为了研究汇率对股票价格的影响,许多学者采用了不同的方法,提出了汇率波动会导致股票价格以流动为导向的理论（Dornbusch and Fisher,1980）。也有研究发现,两者存在单向因果关系,即汇率是股票价格的“Granger原因”。此外,以股票为导向的理论认为,股票价格会导致汇率上涨。本文试图研究汇率对肯尼亚内罗毕证券交易所上市公司股票价格的影响。本文使用2003年至2018年的季度时间序列数据,并采用NSE-20指数来衡量股票价格。同时,以通货膨胀率、利率、经济增长率以及外汇汇率变量被作为股票价格的主要决定因素。本文采用自回归分布式滞后（ARDL）模型来确定汇率与股票价格之间是否存在协整关系,并且还进行了长期模型分析,以确定汇率和其他宏观经济因素对股票价格的边际影响。根据ARDL边界检验的实证结果发现:汇率、通货膨胀率、利率、经济增长和股票价格之间存在长期的关系,并且长期关系收敛。Granger因果关系检验结果表明,... 

【文章来源】：江西财经大学江西省

【文章页数】：68 页

【学位级别】：硕士

【文章目录】：
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



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