利率与股票价格的动态联系:ARDL约束检验的应用

A. Mishra, L. Pokhrel
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引用次数: 4

摘要

本研究论文的目的是利用2010年至2019年期间的时间序列月度数据,研究利率对尼泊尔市场股票价格的影响。本研究采用自回归分布滞后模型(l)和误差修正模型来检验尼泊尔股票市场的NEPSE指数与利率(90天国库券)之间的联系。应用递归残差平方累积和检验,验证了估计的信度和效度。结果表明,利率在短期内对股票价格有显著影响,但在长期内,利率与股票价格之间不存在关系。研究结果有助于了解尼泊尔股票市场的行为,并制定稳定市场的政策。在尼泊尔的背景下,首次研究了利率对股票价格对月度数据的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Dynamic Linkage Between Interest Rates and Stock Prices: An Application of ARDL Bound Test
The purpose of this research paper is to investigate the effect of interest rate on stock price in the Nepali market by applying time-series monthly data from 2010to-2019 periods. This study examined the linkage between NEPSE index and interest rate (90-day T-Bill) using the autoregressive distributed lag mode(l) and error correction model to explain the behavior of the Nepal stock market. The reliability and validity of our estimations are confirmed by the application of cumulative sum of recursive residual ()square test. The result shows that the interest rate has a significant effect on stock price in the short run however, in the long run, there is no relationship between the interest rate and stock price. The findings of the research can be helpful to understand the behavior of the Nepal stock market and to develop policies for market stabilization. In the Nepalese context, the effect of interest rate on the stock price on monthly data has been studied for the first time.
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