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    The determinants of stock market index in Syria during the conflict period: Linear versus nonlinear approach

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    Date
    2020
    Author
    Alsamara, Mouyad
    Yaghi, Kinan
    Mrabet, Zouhair
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    Abstract
    The main purpose of this paper is to examine the long and the short-rum impact of the macroeconomic variables on the stock market index in Syria during the period 2010:Q1 - 2017:Q4. In addition, this paper aims to investigate the asymmetric impact of parallel market exchange rate on stock market price index. This empirical research depends mainly on two-econometrics approaches, namely: Autoregressive Distributed Lag (ARDL) and the nonlinear ARDL, which are recently developed by Shin et al., (2014). The empirical results provide a strong evidence of long-run relationship between stock market index and its main determinants (parallel exchange rate, consumer price index, and real GDP). In particular, parallel market exchange rate has negative and a symmetric impact on stock market index, but negative exchange rate changes are more dominated in the economy during the period of conflict. Therefore, policymakers should consider effective tools to encounter these negative changes and mitigate its impact on the financial system. Copyright Mouyad Alsamara, Kinan Yaghi and Zouhair Mrabet. Licensed under the Creative Commons Attribution-NonCommercial License 3.0
    DOI/handle
    http://hdl.handle.net/10576/38509
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    • Finance & Economics [‎437‎ items ]

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