Economic analysis of Nepalese stock index

Chhabi lal Kandel

Diplomová práce

Abstract:

This paper examines the effect of macroeconomic variables on Nepalese Stock Index performance from 1994 to 2015. This research applied several empirical tests to examine the impact of selected macroeconomic variables on Stock Index performance. From the empirical test, Gross Domestic Product, Consumer Price Index, inflation has the positive relationship with Nepalese Stock Index while real exchange rate, dummy variable D1 and D2 has a negative relationship with Nepalese Stock Index performance. This suggests that in Nepal share investors seems to take equities as a hedge against inflation and consider stock as an alternative financial instrument. The Normality Jarque-Bera (JB) Test showed that the error terms are normally distributed and the model is significant at different significance level. The result from unit root test indicated that all variables found stationary at level and first difference. Lastly, Johansen Co-Integration Test and Granger Causality test has been carried out to discover the short and long-run relationship between the variables.

Keywords

Regression, Economic Growth, Exchange Rate, Stock Index, Nepal, Financial Sector, Stocks, Macroeconomic

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 31. 3. 2016

Obhajoba závěrečné práce

• Vedoucí: Ing. Petr Procházka, MSc Ph.D.

Česká zemědělská univerzita v Praze

Provozně ekonomická fakulta

Magisterský studijní program / obor:
Economics and Management / Economics and Management