| Título: | T-Y Granger Causality Between Stock Prices and Macroeconomic Variables: Evidence From Dhaka Stock Exchange (DSE) |
| Autores: | Bayezid Ali, Mohammad |
| Fecha: | 2011-11-04 |
| Publicador: | European Journal of Business and Management |
| Fuente: |
 |
| Tipo: |
info:eu-repo/semantics/article Peer-reviewed Article info:eu-repo/semantics/publishedVersion |
| Tema: | No aplica |
| Descripción: | This study investigates the direction of the causal relationship between stock prices and macroeconomicaggregates in Dhaka Stock Exchange (DSE). By applying the techniques of unit root tests, cointegrationand the long run Granger causality test proposed by Toda and Yamamoto (1995), we test the causalrelationships between the DSE Stock Index and the thirteen macroeconomic variables, viz., consumer priceindex, deposit interest rate, foreign exchange rate, export payment, gross domestic product, investment,industrial production index, lending interest rate, broad money supply, national income deflator, foreignremittances and total domestic credit using monthly data for the period 1987 to 2010. The major findingsare that DSI is any way do not granger cause CPI, deposit interest rate, export receipt, GDP, investment,industrial production index, lending interest rate and national income deflator. But unidirectional causalityis found from DSI to broad money supply and total domestic credit. In addition bi-directional causality isalso identified from DSI to exchange rate, import payment and foreign remittances.Keywords: Macroeconomic Variables, Cointegration, T-Y Granger causality |
| Idioma: | Inglés |
1 | 6 Factors Influencing Jobs Satisfaction in Two Chinese Universities por Tian, Heng,Yu, Heyuan |
2 Ethics of Investment and the Social Responsibilities of the Islamic Banks por Mounira, ARAB,Gabanni, Abdul | 7 Entrepreneurial Competencies and Entrepreneurial Spirit in Japan por Wong, Hajimasi |
3 An Empirical Study on the Knowledge Sharing Behaviour among Employees in Small Enterprises por Vonartas, Alexander | 8 Necessity and Feasibility of Supervisory Management Style por Tu, Yiyuan,Zhuang, Tianhua |
4 | 9 The Intercultural Communication Theory and the Distributed Decision-Making por Muhammad, Siti |
5 A New Approach to Evaluate the Auditor Reporting Quality por Mohammed, Syed,Jubair, Abdullah | 10 |