Yıl: 2020 Cilt: 10 Sayı: 2 Sayfa Aralığı: 397 - 426 Metin Dili: İngilizce İndeks Tarihi: 12-10-2021

An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy

Öz:
The aim of this paper is to search for a possible asymmetric effect of the exchange rate on thestock market by Nonlinear Autoregressive Distributed Lag Model using the data spanning June2002 – March 2018 for an oil producer country, Kuwait, while controlling consumer prices,interest rate, money supply and oil prices. Results are statistically preferable compared to linearmodels and there is a weak form of efficiency in the stock market. Appreciation of the localcurrency has a negative effect on stock prices in the long-run but depreciation has not astatistically significant effect so there is a case of long-run asymmetry. However, in the short-run,the exchange rate has no statistically significant effect on stock prices and there is no asymmetriccausality.
Anahtar Kelime:

Döviz Kuru ve Hisse Senedi Fiyatları Arasındaki İlişkinin Kısa ve Uzun Dönemde İncelenmesi: Kuveyt Ekonomisi için NARDL Modeli Bulguları

Öz:
Bu çalışmanın amacı Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif Model ile petrol üreticisi Kuveyt ekonomisinde döviz kurunun hisse senedi fiyatları üzerindeki olası asimetrik etkilerini Haziran 2002 – Mart 2018 tarihleri arasında tüketici fiyatları, faiz oranı, para arzı ve petrol fiyatları kontrol edilerek araştırmaktır. Bulgular doğrusal modellerle karşılaştırıldığında istatistiki olarak tercih edilebilirdir ve hisse senedi piyasasında zayıf türde etkinlik söz konusudur. Yerli paranın değer kazanması, uzun dönemde hisse senedi piyasasında negatif etkiye yol açarken, yerli paranın değer kaybetmesinin etkileri istatistiki olarak anlamlı bulunmamıştır, dolayısıyla uzun dönem asimetriden söz edilebilir. Ancak kısa dönemde döviz kurunun hisse senedi fiyatları üzerinde istatistiki olarak anlamlı bir etkisi yoktur ve asimetrik nedensellikten bahsedilemeyecektir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • Abdalla, I., Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25-35.
  • Abouwafia, H. E., Chambers, M. J. (2015). Monetary policy, exchange rates and stock prices in the Middle East region. International Review of Financial Analysis, 37(1), 14-28.
  • Al-Naif, K. (2017). The relationship between interest rate and stock market index: Empirical evidence from Arabian countries. Research Journal of Finance and Accounting, 8(4), 181-191.
  • Al-Sharkas, A. (2004). Dynamic relations between macroeconomic factors and the Jordanian stock market. International Journal Applied Econometrics and Quantitative Studies, 1(1), 97-114.
  • Arat, K. (2003). Analyzing the optimum exchange rate regime selection and exchange rate pass-through to prices in Turkey. Expertise Thesis for Central Bank of the Republic of Turkey, July, Ankara, Turkey.
  • Arslan, B. (2017). Evaluation of Stock Market Reaction to the Inclusion of Firms in 2016 ISE Sustainability Index, Ankara Yildirim Beyazit University, Master of Banking and Finance Thesis, Ankara, Turkey.
  • Bahmani-Oskooee, M., Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24(4), 459-464.
  • Bahmani-Oskooee, M., Saha, S. (2019a). On the effects of policy uncertainty on stock prices: An asymmetric analysis. Quantitative Finance and Economics, 3(2), 412-424.
  • Bahmani-Oskooee, M., Saha, S. (2019b). On the effects of policy uncertainty on stock prices. Journal of Economics and Finance, 43(4), 764-778.
  • Bahmani-Oskooee, M., Saha, S. (2015). On the relation between stock prices and exchange rates: a review article. Journal of Economic Studies, 42(4), 707- 732.
  • Bahmani-Oskooee, M., Ghodsi, H. (2018). Asymmetric causality between the U.S. housing market and its stock market: Evidence from state level data. The Journal of Economic Asymmetries, 18(November), e00095.
  • Bahmani-Oskooee, M., Maki-Nayeri, M. (2018). Policy uncertainty and the demand for money in Korea. International Economic Journal, 32(2), 219- 234.
  • Bahmani-Oskooee, M., Maki-Nayeri, M. (2019). Asymmetric effects of policy uncertainty on domestic investment in G7 countries. Open Economies Review, 30(4), 675-693.
  • Bahmani-Oskooee, M., Saha, S. (2016). Do exchange rate changes have symmetric or asymmetric effects on stock prices. Global Finance Review, 31(November), 57-72.
  • Bartram, S. M. (2004). Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations. Journal of International Money and Finance, 23(4), 673-699.
  • Basher, S. A., Haug, A. A., Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, 34(1), 227-240.
  • Benli, M., Durmuskaya, S., Bayramoglu, G. (2019). Asymmetric exchange rate pass-through and sectoral stock price indices: Evidence from Turkey. International Journal of Business and Management, 7(1), 25-47.
  • Bodie, Z., Kane, A., Marcus, A. J. (2018). Etkin piyasa hipotezi (Efficient market hypotehsis), In: Yatırımın Temelleri (Essentials of Investment), Translation to Turkish from 9th Edition, Nobel Publications, Ankara, Turkey, pp. 235- 264.
  • Boonyanam, N. (2014). Relationship of stock price and monetary variables of Asian small open emerging economy: Evidence from Thailand. International Journal of Financial Research, 5(1), 52–63.
  • Cheah, S. P., Yiew, T. H., Ng, C. F. (2017). A nonlinear ARDL analysis on the relation between stock price and exchange rate in Malaysia . Economics Bulletin, 37(1), 336-346.
  • Cheikh, N. B., Naceur, M. S., Kanaan, M. O., et al. (2018). Oil prices and GCC stock markets: New evidence from smooth transition models, Working Paper.
  • Chen, N. F., Roll, R., Ross, S. A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383-403.
  • Chortareas, G., Cipollini, A., Eissa, M. A. (2011). Exchange rates and stock prices in the MENA countries: What role for oil? Review of Development Economics, 15(4), 758-774.
  • Cuestas, J. C., Tang, B. (2015). Asymmetric exchange rate exposure of stock returns: Empirical evidence from Chinese Industries Studuies in Nonlinear Dynamics and Econometrics, 21(4), DOI: https://doi.org/10.1515/snde2016-0042.
  • Dickey, D. A., Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
  • Eita, J. H. (2012). Modelling macroeconomic determinants of stock market prices: Evidence from Namibia. The Journal of Applied Business Research, 28(5), 871-884.
  • Elafif, M., Alsamara, M. K., Mrabet, Z., et al. (2017). The asymmetric effects of oil price on economic growth in Turkey and Saudi Arabia: new evidence from nonlinear ARDL approach. International Journal of Development and Conflict, 7(2), 97-118.
  • Engle, R. F., Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55(2), 251-276.
  • Fama, E. F. (1981). Stock returns, real activity, inflation and money. The American Economic Review, 71(4), 545–565.
  • Fisher, I. (1930). The Theory of Interest Rate. New York: Macmillan. Granger, C. W. (1988). Some recent developments in a concept of causality. Journal of Econometrics, 39(1-2), 199-211.
  • Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
  • Greene, W. H. (2012). Econometric Analysis, Pearson Education, USA.
  • Groenewold, N., Paterson, J. E. H. (2013). Stock prices and exchange rates in Australia: Are commodity prices the missing link?. Australian Economic Papers, 52(3-4), 150–170.
  • Gujarati, D. (2011). Econometrics by Example, USA: Palgrave Macmillan.
  • Hu, C, Liu, X., Pan, B., et al. (2018). Asymmetric impact of oil price shocks on stock market in China: A combination analysis based on SVAR model and NARDL Model. Emerging Markets Finance and Trade, 54(8), 1693-1705.
  • Hussain, A., Rafique, M., Khalil, A., et al. (2013). Macroeconomic determinants of stock price variations: An economic analysis of KSE-100 index. Pakistan Journal of Humanities and Social Sciences, 1(1), 28-46.
  • Huy, T. Q. (2016). The linkage between exchange rates and stock prices: Evidence from Vietnam. Asian Economic and Financial Review, 6(7), 363:373.
  • Ibrahim, M. H., Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economic Studies, 30(1), 6-27.
  • Ibrahim, M. H. (2000). Cointegration and Granger causality tests of stock price and exchange rate interactions in Malaysia. ASEAN Econ Bulletin, 17(1), 36-47.
  • Inegbedion, H. E. (2012). Macroeconomic determinants of stock price changes: Empirical evidence from Nigeria. Indian Journal of Finance, 6(2), 19-23.
  • Ismail, M. T., Bin Isa, Z. (2009). Modeling the interactions of stock price and exchange rate in Malaysia. The Singapore Economic Review, 54(4), 605- 619.
  • Jayashankar, M., Rath, B. N. (2017). The dynamic linkage between exchange rate, stock price and interest rate in India. Studies in Economics and Finance, 34(3), 383-406.
  • Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580.
  • Khan, M. K., Teng, J. Z., Khan, M. I. (2019). Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model. Plos One, June,1-14
  • Kisswani, K. M., Elian, M. I. (2017). Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange. Cogent Economics and Finance, 5(1), 1-17.
  • Koutmos, G., Martin, A. D. (2003). Asymmetric exchange rate exposure: theory and evidence. Journal of International Money and Finance, 22(3), 365- 383.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., et al. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1-3), 159-178.
  • Mishkin, F. S. (2004). The Economics of Money, Banking, and Financial Markets, 7 th Eds., New Jersey: Pearson Addison Wesley Publications.
  • Mishkin, F. S. (2013). The Economics of Money, Banking and Financial Markets, 10th Eds., New Jersey: Pearson Education Wesley Publications.
  • Mukherjee, T. K., Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model. The Journal of Financial Research, 18(2), 223-237.
  • Mutuku, C., Ngeny, K. L. (2015). Macroeconomic variables and the Kenyan equity market: A time series analysis. Business and Economic Research, 5(1), 1-10.
  • Nwani, C., Bassey, O. J. (2016). Economic growth in oil-exporting countries: Do stock market and banking sector development matter? Evidence from Nigeria. Cogent Economics and Finance, 4(1), 1-11.
  • Oyinlola, M. A., Oloko, T. (2018). Exchange Rate Dynamics and Stock Market Price in Nigeria: Evidence from a Nonlinear ARDL Approach. West African Financial and Economic Review, 18(1), 27-46.
  • Pan, M. S., Fok, R. C. W., Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics and Finance, 16(4), 503–520.
  • Park, J., Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Economics, 30(5), 2587-2608.
  • Parsva, P., Lean, H. H. (2011). The analysis of relationship between stock prices and exchange rates: Evidence from six Middle Eastern financial markets. International Research Journal of Finance and Economics, 66(5), 157- 171.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
  • Pesaran, M. H., Shin, Y. (1998). An autoregressive distributed-lag modelling approach to cointegration analysis. Econometric Society Monographs, 31: 371-413.
  • Pesaran, M. H., Shin, Y., Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Phillips, P. C., Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Press Releases (2003). New Exchange Policy Launched: CBK Sets the KD/Dollar Parity Rate and Margins of Fluctuations, Central Bank of Kuwait, 05.01.2003. Available at www.cbk.gov.kw.
  • Press Releases (2007). The Kuwaiti Dinar (KD) Re-Pegged to a Basket of Currencies. Central Bank of Kuwait, 20.05.2007. Available at www.cbk.gov.kw.
  • Qamruzzaman, M., Jianguo, W. (2018). Investigation of the asymmetric relationship between financial innovation, banking sector development, and economic growth. Quantitative Finance and Economics, 2(4), 952- 980.
  • Rahman, A. A., Sidek, N. Z., Tafri, F. H. (2009). Macroeconomic determinants of Malaysian stock market. African Journal of Business Management, 3(3), 095-106.
  • Saha, S. (2017). Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on Stock Prices?, Phd Thesis at University of WisconsinMilwaukee.
  • Sahin, A. (2011). The effects of monetary policy on the stock price bubbles: A case study on Turkey (in Turkish). In: Global Economic and Financial Crisis, (Ed.), Ankara, Turkey: Nobel Publication Inc.: 107-155.
  • Sahin, A. (2014). Stock market returns and oil prices relationship revisited. Quo Vadis Social Sciences: Artvin Coruh University International Congress on Social Sciences, Artvin, Turkey, October, 15-17, 2014.
  • Sahin, A. (2016). Short and long - run effects of exchange rate on stock price index: An application to the fragile five countries by smooth transition regression error correction model. (in Turkish). Ege Academic Review, 16(2), 319-349.
  • Sahin, A. (2018). Staying vigilant of uncertainty to velocity of money: an application for oil‐producing countries. OPEC Energy Review, 42(2), 170- 195.
  • Sahin, A., Berument, M. H. (2019). Asymmetric effects of central bank funding on commercial banking sector behaviour. Economic Research, 32(1), 128- 147.
  • Shin, Y., Yu, B., Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in Honor of Peter Schmidt, Springer, New York, 281–314.
  • Subburayan B., Srinivasan, V. D. (2014). The effects of macroeconomic variables on CNX bankex returns: Evidence from Indian stock market. International Journal of Management and Business Studies, 4(2), 67-71.
  • Sultan, K., Madah, N. A., Khalid, A. (2013). Comparison between Kuwait and Pakistan stock exchange market: Testing weak form of efficient market. Academy of Contemporary Research, 7(2), 59-70.
  • The Economist (2019). “Facebook’s New Cryptocurrency: Click Here to Buy Libra”, The Economist, June 22-28, 2019, p. 9.
  • Tian, G. G., Ma S. (2010). The relationship between stock returns and the foreign exchange rate: the ARDL approach. Journal of Asia Pacific Economy, 15(4), 490-508.
  • Tiryaki, A., Ceylan, R., Erdogan, L. (2019). Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey. Applied Economics, 51(20), 2143-2154.
  • Turksoy, T. (2017). Causality between stock prices and exchange rates in Turkey: Empirical evidence from the ARDL bounds test and a combined cointegration approach. International Journal of Financial Studies, 5(1), 1-10.
  • Wongbangpo, P., Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13(1), 27-51.
  • Yau, H. Y., Nieh, C. C. (2009). Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan. Japan and the World Economy, 21(3), 292-300.
APA Mohamed M, Sahin A (2020). An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. , 397 - 426.
Chicago Mohamed Mohamed,Sahin Afsin An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. (2020): 397 - 426.
MLA Mohamed Mohamed,Sahin Afsin An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. , 2020, ss.397 - 426.
AMA Mohamed M,Sahin A An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. . 2020; 397 - 426.
Vancouver Mohamed M,Sahin A An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. . 2020; 397 - 426.
IEEE Mohamed M,Sahin A "An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy." , ss.397 - 426, 2020.
ISNAD Mohamed, Mohamed - Sahin, Afsin. "An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy". (2020), 397-426.
APA Mohamed M, Sahin A (2020). An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(2), 397 - 426.
Chicago Mohamed Mohamed,Sahin Afsin An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10, no.2 (2020): 397 - 426.
MLA Mohamed Mohamed,Sahin Afsin An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol.10, no.2, 2020, ss.397 - 426.
AMA Mohamed M,Sahin A An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020; 10(2): 397 - 426.
Vancouver Mohamed M,Sahin A An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020; 10(2): 397 - 426.
IEEE Mohamed M,Sahin A "An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy." Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10, ss.397 - 426, 2020.
ISNAD Mohamed, Mohamed - Sahin, Afsin. "An Analysis on the Relationship between Exchange Rate and Stock Prices in the Short-Run and Long-Run: NARDL Model Results for the Kuwait Economy". Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10/2 (2020), 397-426.