Detecting macroeconomic determinants of stock prices are extremely important for investors (indiv... more Detecting macroeconomic determinants of stock prices are extremely important for investors (individual/corporate) and countries. In this way, stock market players can easily make decisions and develop appropriate strategies. This study investigates the relationship between macroeconomic variables and stock index in the period including the start of the global financial crisis in 2007-2008 in Turkey. In this study, using current data related to mentioned variables and including the years of the global financial crisis are important for determining whether there are significant differences between variables. We have used monthly data for the period from 2005:01 to 2015:09 for Turkish economy. Within the scope of the study, the relationship between BIST (Istanbul Stock Exchange Index) and the interest rate, exchange rate, the exports and imports, industrial production index and gold price has been examined through causality test and impulse response function. The results of the study support the presence of one-way causality from BIST to Industrial production index (IPI), export and import. In addition, they support the presence of one-way causality from exchange rate (DK) to BIST.
This paper investigates the dynamic relationship between stock prices and exchange rates for nine... more This paper investigates the dynamic relationship between stock prices and exchange rates for nine emerging markets using Autoregressive Distributed Lag (ARDL) and causality models from January 1998 to May 2014. The sample period subdivided in to two episodes to take in to account the interaction of these series during the tranquil and crisis periods. The findings indicates that the comovement between exchange rates and stock prices become stronger during the crises time, and the direction of causality originates from stock prices to exchange rates during the tranquil period; and from exchange rates to stock prices during crisis once. The result shows certain sensitivity to the level of stability in financial markets. JEL classification numbers: C22, F31, G15
The purpose of this study is to identify the determinants of capital structure of large taxpayer ... more The purpose of this study is to identify the determinants of capital structure of large taxpayer share companies in Ethiopia. In this paper, econometric analysis were performed for a panel of 37 listed companies in Ethiopian Revenue and Customs Authority (ERCA) large taxpayers' branch office in Addis Ababa for the study period of 2006–2010. Nine conventional explanatory variables were adopted in this study, including profitability, size, age, tangibility, liquidity, non-debt tax shield, growth, dividend payout ratio and earnings volatility. As a result of the improvement in the existing estimation methods that enables to employ cross-sectional and time-series data concurrently, random-effect panel data regression was applied to study the effect of selected independent variables on capital structure. The result shows that size, age, tangibility, liquidity position and non-debt tax shield of a company are positively correlated with leverage, whereas profitability, earnings volatility and dividend payout ratio are negatively associated with leverage. Growth variable was found to be statistically insignificant in affecting leverage of large taxpayer share companies in Ethiopia. The sign of these relations suggest that, Agency cost theory provide more convincing evidence than other capital structure theories in elucidating the capital structure of large taxpayer share companies in Ethiopia.
Detecting macroeconomic determinants of stock prices are extremely important for investors (indiv... more Detecting macroeconomic determinants of stock prices are extremely important for investors (individual/corporate) and countries. In this way, stock market players can easily make decisions and develop appropriate strategies. This study investigates the relationship between macroeconomic variables and stock index in the period including the start of the global financial crisis in 2007-2008 in Turkey. In this study, using current data related to mentioned variables and including the years of the global financial crisis are important for determining whether there are significant differences between variables. We have used monthly data for the period from 2005:01 to 2015:09 for Turkish economy. Within the scope of the study, the relationship between BIST (Istanbul Stock Exchange Index) and the interest rate, exchange rate, the exports and imports, industrial production index and gold price has been examined through causality test and impulse response function. The results of the study support the presence of one-way causality from BIST to Industrial production index (IPI), export and import. In addition, they support the presence of one-way causality from exchange rate (DK) to BIST.
This paper investigates the dynamic relationship between stock prices and exchange rates for nine... more This paper investigates the dynamic relationship between stock prices and exchange rates for nine emerging markets using Autoregressive Distributed Lag (ARDL) and causality models from January 1998 to May 2014. The sample period subdivided in to two episodes to take in to account the interaction of these series during the tranquil and crisis periods. The findings indicates that the comovement between exchange rates and stock prices become stronger during the crises time, and the direction of causality originates from stock prices to exchange rates during the tranquil period; and from exchange rates to stock prices during crisis once. The result shows certain sensitivity to the level of stability in financial markets. JEL classification numbers: C22, F31, G15
The purpose of this study is to identify the determinants of capital structure of large taxpayer ... more The purpose of this study is to identify the determinants of capital structure of large taxpayer share companies in Ethiopia. In this paper, econometric analysis were performed for a panel of 37 listed companies in Ethiopian Revenue and Customs Authority (ERCA) large taxpayers' branch office in Addis Ababa for the study period of 2006–2010. Nine conventional explanatory variables were adopted in this study, including profitability, size, age, tangibility, liquidity, non-debt tax shield, growth, dividend payout ratio and earnings volatility. As a result of the improvement in the existing estimation methods that enables to employ cross-sectional and time-series data concurrently, random-effect panel data regression was applied to study the effect of selected independent variables on capital structure. The result shows that size, age, tangibility, liquidity position and non-debt tax shield of a company are positively correlated with leverage, whereas profitability, earnings volatility and dividend payout ratio are negatively associated with leverage. Growth variable was found to be statistically insignificant in affecting leverage of large taxpayer share companies in Ethiopia. The sign of these relations suggest that, Agency cost theory provide more convincing evidence than other capital structure theories in elucidating the capital structure of large taxpayer share companies in Ethiopia.
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Papers by Usman Muhammed
are significant differences between variables. We have used monthly data for the period from 2005:01 to 2015:09 for Turkish economy. Within the scope of the study, the relationship between BIST (Istanbul Stock Exchange Index) and the interest rate, exchange rate, the exports and imports, industrial production index and gold price has been examined through causality test and impulse response function. The results of the study support the presence of one-way causality from BIST to Industrial production index (IPI), export and import. In addition, they support
the presence of one-way causality from exchange rate (DK) to BIST.
are significant differences between variables. We have used monthly data for the period from 2005:01 to 2015:09 for Turkish economy. Within the scope of the study, the relationship between BIST (Istanbul Stock Exchange Index) and the interest rate, exchange rate, the exports and imports, industrial production index and gold price has been examined through causality test and impulse response function. The results of the study support the presence of one-way causality from BIST to Industrial production index (IPI), export and import. In addition, they support
the presence of one-way causality from exchange rate (DK) to BIST.