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Impact of interest rate fluctuations on stock market performance : empirical evidence from the MENA region -
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| dc.contributor.author | Khouri, Line Charbel, |
| dc.date.accessioned | 2017-08-30T14:06:31Z |
| dc.date.available | 2017-08-30T14:06:31Z |
| dc.date.issued | 2015 |
| dc.date.submitted | 2015 |
| dc.identifier.other | b18387640 |
| dc.identifier.uri | http://hdl.handle.net/10938/10690 |
| dc.description | Project. M.A.F.E. American University of Beirut. Department of Economics, 2015. Pj:1874 |
| dc.description | First Reader : Dr. Simon Neaime, Professor, Economics ; Second Reader : Dr. Yassar Nasser, Lecturer, Economics. |
| dc.description | Includes bibliographical references (leaves 62-66) |
| dc.description.abstract | This project studies the dynamic relationship between interest rate fluctuations and stock market performance in both Egypt and Morocco. Prior to conducting the analysis, a unit root test is applied and determined that both interest rate and stock market series were not stationary. Johansen cointegration test reveals a long-run relationship between the two parameters in Egypt in the framework of an error correction mechanism (ECM), but failed to detect any evidence of this linkage in Morocco in the context of a Vector Autoregression Model (VAR). Granger causality testing however found no short-run causality from interest rates to stock market in both countries. The study uses monthly data from February 2007 up to May 2015. |
| dc.format.extent | 1 online resource (ix, 66 leaves) : color illustrations ; 30 cm |
| dc.language.iso | eng |
| dc.relation.ispartof | Theses, Dissertations, and Projects |
| dc.subject.classification | Pj:001874 |
| dc.subject.lcsh | Interest rates -- Africa, North. |
| dc.subject.lcsh | Interest rates -- Middle East. |
| dc.subject.lcsh | Stock exchanges -- Africa, North. |
| dc.subject.lcsh | Stock exchanges -- Middle East. |
| dc.subject.lcsh | Autoregression (Statistics) |
| dc.subject.lcsh | Monetary policy -- Middle East. |
| dc.subject.lcsh | Monetary policy -- Africa, North. |
| dc.title | Impact of interest rate fluctuations on stock market performance : empirical evidence from the MENA region - |
| dc.type | Project |
| dc.contributor.department | Faculty of Arts and Sciences. |
| dc.contributor.department | Department of Economics, |
| dc.contributor.institution | American University of Beirut. |
