Estimating the effect of exchange rate fluctuations on general index of stock prices in Khartoum stock exchange using GARCH model (2004-2019)
Department of Econometrics and Social Science, Faculty of Economic, Bakht Alruda University, Sudan.
Review
World Journal of Advanced Engineering Technology and Sciences, 2023, 10(02), 141–149.
Article DOI: 10.30574/wjaets.2023.10.2.0124
Publication history:
Received on 13 April 2023; revised on 08 December 2023; accepted on 11 December 2023
Abstract:
The study aimed to estimate the effect of exchange rate fluctuations on the general index of stock prices in the Khartoum Stock Exchange using the general conditional variance models. The study problem was formulated in the following main question: What is the effect of exchange rate fluctuations on the general index of stock prices in the Khartoum Stock Exchange? The study was built on the following main hypothesis: There is a statistically significant relationship between exchange rate fluctuations and the general index of stock prices in the Khartoum Stock Exchange. The study followed the quantitative standard approach using the general conditional variance models and the ordinary least squares. The study found a direct relationship between exchange rate fluctuations and the general index of stock prices in the Khartoum Stock Exchange. The study recommended the adoption of effective macroeconomic policies to reduce the exchange rate and support it with production to reflect positively on the general performance of the Khartoum Stock Exchange Index, which increases opportunities and potentials for local and foreign investment.
Keywords:
Index; Stock prices; GARCH models; Exchange Rate; Volatility; Sudan
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