汇率与股票价格的关系:来自约翰内斯堡证券交易所的实证调查

M. Alam, G. Uddin, Khan M.R. Taufique
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引用次数: 10

摘要

本研究寻求证据支持存在的市场效率和汇率敏感性的股票价格在约翰内斯堡证券交易所(JSE)。样本包括2000年1月至2004年12月期间在JSE上市的所有证券的每日价格指数以及美元/兰特的汇率。单位根检验、ADF检验和格兰杰意义上的因果关系检验的结果表明,约翰内斯堡证券交易所(JSE)具有信息效率。它与汇率长期变动,长期均衡或稳定。因此,在JSE中,外国直接投资者和外汇市场交易者很有可能无法通过利用汇率机制或利用汇率预测市场上的股票价格来影响和获得异常的额外利益。因此,JSE是半强形式有效的。通过协整检验,本文对市场效率的概念和结果的信度有了更深入的了解。这些结果对证券分析师、投资者和证券监管机构制定政策以改善市场状况具有重要意义
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Relationships between Exchange Rates and Stock Prices: Empirical Investigation from Johannesburg Stock Exchange
This study seeks evidence supporting the existence of market efficiency and exchange rate sensitivity on stock prices in the Johannesburg stock exchange (JSE). The sample includes the daily price indices of all securities listed on the JSE, and the exchange rate of the USD/Rand for the period since January 2000 to December 2004. The results from the unit root test, the ADF test and the causality test at the Granger sense provide evidence that the Johannesburg stock exchange (JSE) is informationally efficient. It has a long run comovement with exchange rate, and long run equilibrium or steady state. Hence, in JSE there is a strong possibility that foreign direct investors and forex market traders cannot influence and gain abnormal extra benefits by using exchange rate mechanism or by using exchange rate to forecast stock prices in the market. So, JSE is semi-strong form efficient. Through cointegration test, this paper gives more insight on the concept of market efficiency and the reliability of the results. These results are important to security analysts, investors, and security regulatory exchange bodies in policy making decision to improve the market conditions
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