Share
تحليل اثر تقلبات السوق المالية على اسعار الصرف في عدد من البلدان النامية مع اشارة خاصة للعراق == Effect of Financial Market Volatilities On The Exchange Rate In The Number of The Developing Countries Including Iraq
Author name:
بلال محمد اسعد محمود
Supervisor name:
عماد محمد علي عبد اللطيف العاني
General topic:
Administration and Economics
Specific topic:
Economy
Degree:
Doctorate
University:
University of Baghdad - Faculty Of Administration And Economics
Language:
Arabic
University location:
Baghdad
First pages:
07T3502 - p.pdf
Abstract:
يهدف البحث الى تحليل العلاقة بين بيانات مؤشر السوق المالية مع سعر الصرف الاجنبي في عدد من البلدان النامية، مع اثبات وجود اثر لتقلبات مؤشر السوق المالية على سعر الصرف الاجنبي لعملة البلد الذي يشهد تقلبات في سوقه الاساسي للاوراق المالية، مع التركيز على حالة | This study aim at analyzing the relationship between the financial market index data with the foreign exchange rate in the number of the developing countries, with certifying the existence of an effect to the volatilities of the financial market index on the foreign exchange rate of a country currency that witnesses volatilities in its basic financial market, with focus on a case of Iraq state, by using models of (GARCH) Generalised Autoregressive Conditional Heteroskedascity with used recently in analyzing and discovering the volatilities in the financial markets particularly and the risks resulted in, and an extent of results accuracy of this model has been tested by using Granger causality test.The study includes the daily data of a sample for seven states (Iraq, Saudia Arabia, Qatar, Tunisia, Malaysia, Indonesia, UAE) for the period beginning in 2/1/2010 and till of 19/11/2013, because these are developing countries enjoying with active markets of the financial indexes besides the exchange rate, and their economies are nearly similar as depending on a basic resource the oil exports or tourism at large and similar to Iraq case.There are two methods to discuss and analyzing the relationship between the volatilities in the financial market and the volatilities in exchange rate : the traditional method and modern financial portfolio method. The study concluded that states (Indonesia, Saudia Arabia, UAE) has analysis results were identical to the classical method saying that the exchange rate effects on financial market index, while other states (Malaysia, Tunisia, Iraq) had analysis results were identical to the financial portfolio method which emphasizes that volatilities in the financial market index effect on currency exchange rate of these states.The bi - direction relationship between the financial market index and the exchange rate was appeared clearly in the case of (Qatar) state, since the analysis of data series of this state showed the existence of mutual effect to the volatilities of the two financial and exchange rate markets. Granger causality test has come to confirm an accuracy extent and the rightness to the estimated relationship and its identification to the Generalised Autoregressive Conditional Heteroskedascity GARCH (1,1) for the financial time series of the states as sample under study.
