Title: Monetary policy and stock market performance index in Egypt, a standard study using ARDL approach

Authors: Mohamed A. Saber

Addresses: Department of Economics, Higher Institute for Computer & Information Systems, Abu Qir, Alexandria, 21613, Egypt

Abstract: The examination is expected to dissect the effect of financial arrangement factors on Egypt's securities exchange execution list from January 2010 to December 2019 utilising the ARDL Approach. The examination found that the time arrangement of factors through the ADF test (augmented Dickey-Fuller) test was stationary when the main contrast. The limits test was performed ARDL approach to check the factors' trustworthiness over the long haul. The examination found a drawn outbalance connection between the financial exchange list in Egypt. What's more, the financial approach factors incorporate the unfamiliar swapping scale, cash supply, momentary loan cost, and swelling rate. The blunder remedy model (ECM) was utilised, and the estimation of its coefficient was negative and critical, which affirms the presence of a co-combination connection between the examination factors. The model's legitimacy was approved for assessment by utilising the Serial relationship LM test, the heteroscedasticity test, and the histogram - normality trial of residuals utilising the Jaque-Bera test.

Keywords: monetary policy; inflation; stock market; macroeconomics; historical data; the Egyptian Stock Exchange; Central Bank of Egypt ARDL model; ECM model; auto-regressive conditional heteroscedasticity (ARCH) model; generalised autoregressive conditional heteroscedasticity (GARCH) model.

DOI: 10.1504/IJKBD.2021.121711

International Journal of Knowledge-Based Development, 2021 Vol.12 No.2, pp.97 - 117

Received: 22 Dec 2020
Accepted: 17 Aug 2021
Published online: 24 Mar 2022 *

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