تحليل الارتباط الديناميكي الشرطي في الأسواق المالية الناشئة : دراسة حالة بورصة عمان و بورصة السعودية خلال الفترة 1998-2009

Abstract EN

The study aimed to examine the relationship between each of the exchange rate and interest rate on the one hand, return on the other hand in each of the Amman Stock Exchange and Saudi Stock Exchange.

It also aimed to examine symmetry relationship, using monthly data for period (1998- 2009).

The hypotheses was formulated to state dynamic links and correlation between those stock markets, by examining the relationship between exchange rates, interest rates and return, using dynamic conditional correlation(DCC) to achieve the objective of the study.

The results revealed that there is cointegration between the variables of the study, and there is negative relationship between both of stock returns and interest rate on the one hand, stock return and exchange rate on other hand, also there are links between the two stock markets, these links are subject to fluctuations across time, especially during financial crises.