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Autor
Devkota Mitra Lal (University of North Georgia Dahlonega, Georgia, USA), Panta Humnath (Brenau University School of Business Administration, USA)
Tytuł
An Inquiry into the Effect of the Interest Rate, Gold Price, and the Exchange Rate on Stock Exchange Index: Evidence from Nepal
Źródło
Dynamic Econometric Models, 2018, vol. 18, s. 49-65, tab., bibliogr. 41 poz.
Słowa kluczowe
Przyczynowość, Kointegracja, Kurs walutowy, Stopa procentowa
Causality, Cointegration, Exchange rates, Interest rate
Uwagi
Klasyfikacja JEL: C22, E00, E44
summ.
Firma/Organizacja
Nepalska Giełda Papierów Wartościowych
Nepalese Stock Exchange (NEPSE)
Abstrakt
This study examines the causal relationship between the Nepalese Stock Exchange (NEPSE) Index, the interest rate, gold price, and the USD exchange rate in Nepal. The monthly time series data from January 2006 to June 2018 are used. Time series properties of the data are diagnosed using the Ng-Perron unit root test and Johansen's cointegration test. Finally, the Granger causality test based on the Vector Error Correction Model (VECM) is used to find the direction of causation, and to model the short and long-run relationships between the variables. The findings suggest that there exists a feedback relationship between the NEPSE Index and the interest rate, and there exists a unidirectional causation from the gold price to both the exchange rate and the interest rate. There is also a unidirectional causation from the exchange rate to the NEPSE Index during the sample period. These findings have implications for government agencies, investors, researchers, stakeholders, and others interested in the topic. (original abstract)
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Bibliografia
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Cytowane przez
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ISSN
1234-3862
Język
eng
URI / DOI
http://dx.doi.org/10.12775/DEM.2018.003
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