海合会股票指数与黄金指数的协整及因果关系

Business and Economic Horizons Pub Date : 2019-01-01 DOI:10.22004/AG.ECON.287249

S. A. Kharusi, Eşref Savaş Başci

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引用次数: 6

摘要

本文利用约翰森协整检验和基于VAR的格兰杰因果关系检验，对2010年1月至2016年12月期间海湾合作委员会(GCC)股票市场的黄金价格与股票价格指数之间的关系进行了实证研究。本研究基于GCC个股市场的二手数据。国际黄金价格和六大股票价格指数;使用巴林证券交易所(BSE)、科威特证券交易所(KSE)、卡塔尔证券交易所(QSE)、沙特证券交易所(SSE)、马斯喀特证券市场(MSM)、迪拜证券交易所(DSE)和阿布扎比证券交易所(ADSE)。在研究期间，黄金价格和股票价格指数是协整的，不同海湾合作委员会股票市场之间存在多重格兰杰因果关系。

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Cointegration and causality between the GCC stock indices and gold indices

This research paper presents the empirical evidence on the relationship between the price of gold and stock price indices for the Gulf Cooperation Council (GCC) stock markets over the period beginning January 2010 and ending in December 2016 using Johansen Cointegration and VAR Based Granger Causality tests. The study is based on secondary data from GCC individual stock market. The international gold prices and six daily stock price indices; Bahrain Stock Exchange (BSE), Kuwait Stock Exchange (KSE), Qatar Stock Exchange (QSE), Saudi Stock Exchange (SSE), Muscat Securities Market (MSM), Dubai Stock Exchange (DSE) and Abu Dhabi Stock Exchange (ADSE) are used. Over the period examined, gold prices and stock price indices are co-integrated and there are multiple Granger Causality between the different GCC stock markets.

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Business and Economic Horizons ECONOMICS-

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期刊介绍： The Business and Economic Horizons (BEH) is an international peer-reviewed journal that publishes high quality theoretical, empirical, and review papers covering the broad spectrum of research in areas of economics, business, management, and finance. The journal aim is to bridge the gap between the theory and the observed data in these constantly developing domains. BEH Editorial Board welcomes the high-quality original research articles and review papers that verify the well-grounded and the emerging theories by employing the econometric, statistical methods or other relevant empirical methods in theoretical and applied economic analysis. BEH does not discriminate articles utilizing the non-mainstream approaches such as experimental research, institutional analysis, other variations of heterodox and developmental economic studies. Therefore, the submissions in any field of micro- and macroeconomics, business ethics, economic policy or finance are appropriate for this journal. We hope, the provided contributions will help to understand the contemporary challenges faced by the private and public sector and will establish an international forum of empirical research.