Saadet Kasman

Bio: Saadet Kasman is an academic researcher. The author has contributed to research in topics: Stock market bubble & Volatility swap. The author has an hindex of 1, co-authored 1 publications receiving 3 citations.

Relationships Between Stock Markets and Macroeconomic Variables: an Empirical Analysis of the Istanbul Stock Exchange

Abstract: The purpose of this study is to investigate the relationships between returns in Istanbul Stock Exchange (ISE) and macroeconomic variables of Turkish economy. Employing cointegration tests and vector error correction model (VECM) on a quarterly data set, we find long-term stable relationships between ISE and four macroeconomic variables, GDP, exchange rate, interest rate, and current account balance. As a result of causality tests, we found unidirectional relationships between macro indicators and ISE index. That is, consistent with the existing literature, changes in GDP, foreign exchange rate and current account balance have an effect on ISE index. However, on the contrary to expectations, changes in the stock market index do affect interest rates.

The Impact of Futures Contracts On Risk and Returns of the VN30 Index in Vietnam

Abstract: In this paper, we analyze the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets. We use the data taken from daily transactions in the market so that the research results will be more objective and more accurate. Specifically, we apply the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model to analyze the data. The results illustrate that the occurrence of leverage effects in the profitability of VN30 and VN stock indexes and the liquidity of futures contract transactions have increased over time. The main contribution of this paper is that it is possible to predict the growth trend of derivative securities to make appropriate recommendations for investors. However, the evidence still has some limitations since it only assesses the impact of futures contracts during the specific time, which is the period of instruments that have just appeared.

The Dynamic Relationship Between Stock Market Returns and Macroeconomic Variables: An Empirical Study from Bangladesh

Abstract: In this research paper, attempt has been made to explore the dynamic relationship between stock market and macroeconomic variables i.e. DSE index and three key macro-economic variables (Exchange rate, Industrial production in and Reserve), by using unit root stationary tests and Johansen co-integration test. Monthly data has been used from June, 2003 to June, 2015 for all the variables, like, DSE index, Exchange rate, Industrial production in and Reserve. Results showed that the variables contained a unit root and were integrated of order one. The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on stock market. Empirical results show that the stock market and macroeconomics variables have no long-term equilibrium relationship.