哈萨克斯坦股票价格与汇率的相互关系

G. Azretbergenova
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摘要

由于国际金融市场之间的资本流动增加,股票市场和汇率之间产生了强有力的经济联系。股票回报率与汇率之间的这种相关性对哈萨克斯坦等发展中国家尤其有趣,这些国家的经济对资本流动相当敏感。在不断演变的全球金融体系中,理解汇率与股价之间的相关性对政策制定者和投资者来说至关重要。了解这种关系可以使管理者有效地管理风险,相反,它被投资者用来预测未来的趋势。然而,经济和金融政策制定者和监管机构需要了解汇率与资产价格(如股票市场)之间的相互关系,以便阐明各自的政策。然而,对于发达国家和发展中国家的汇率与股票市场之间的相互关系,已有大量的实证研究。这种相关性尚未在哈萨克斯坦进行研究。本研究的目的是探讨哈萨克斯坦股票价格与汇率之间的相关性。采用Johansen协整检验和VECM模型分析各变量之间的关系。根据分析结果,证明了变量之间存在长期相关关系。根据因果检验的结果,格兰杰汇率是哈萨克斯坦股票价格上涨的原因。股票价格和汇率之间没有因果关系。研究结果对股票市场和外汇市场投资者的投资决策也具有指导作用。根据表4的Trace和MaximumEigenvalue检验数据,拒绝变量之间不存在协整关系的原假设。换句话说,已经确定变量具有长期联系。当存在协整联系时,不能使用基于VAR模型的格兰杰因果检验。首先对VECM(6)模型进行估计,然后进行因果检验。使用误差修正模型预测的因果检验结果见表5。根据因果检验的结果,汇率是哈萨克斯坦股票价格的格兰杰原因。股票价格和汇率之间没有关系。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Interrelation between Stock Prices and the Exchange Rate in Kazakhstan
   A strong economical link has arisen between stock markets and exchange rates as a consequence of increased capital flows between international financial markets. This correlation between stock returns and exchange rates is particularly intriguing for developing countries such as Kazakhstan, whose economies are quite sensitive to capital flows. In the evolving global financial system, comprehension of the correlation between exchange rates and stock prices is vital for policymakers and investors. Knowing this relationship enables the manager to manage risk effectively, contrariwise, it is applied by investors to predict future trends. However, economic and financial policymakers and regulators need to know the interrelation between conversion rate and asset prices, such as stock markets, in order to articulate respective policies. Nevertheless, there are plenty of empirical studies on the interrelation between exchange rates and the stock market in developed and developing countries. This correlation has not been explored in Kazakhstan.   The purpose of this study is to explore the correlation between stock prices and exchange rates in Kazakhstan. The relationship between the variables was analyzed via Johansen Cointegration Test and the VECM model. Upon the results of the analysis, the presence of a long-term correlation between the variables is proved. According to the results of the causality test, the Granger exchange rate is the reason for stock prices in Kazakhstan. There is no causality from stock prices to exchange rates. The results of the study also have a guiding quality in guiding investment decisions for both equity market and foreign money exchange market investors.The null hypothesis that there is nocointegration connection between the variablesis rejected, according to the Trace and MaximumEigenvalue test data in Table 4. In other words,it has been established that the variables have along-term connection. Granger causality test basedon VAR model cannot be used when there is acointegration connection. The VECM (6) modelwill be estimated first, followed by the causalitytest. The results of the causality test predicted usingthe error correction model are presented in Table 5.The exchange rate is the Granger cause of stockprices in Kazakhstan, according to the findings ofthe causality test. There is no relationship betweenstock prices and currency rates. 
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