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| Macroeconomic determinants of index return volatility ABSTRACT The main objective of the study is to shed light on the relationship between macroeconomicvariables like Export, Import, Industrial Production Index,Consumer Production Index and Muscat Securities Market MSM30 Index volatility of the period from January 2001 to September 2020 by using Unit Root test, Johansen Cointegration test and Vector Error Correction Model. The results of Johansen Cointegration test suggest there exist along run relationship between the variable for the study period. The result of the study suggests that Industrial Production Index and MSM 30 Indices goodness of measure look sound in nature. But the other variables associated to the study does not have any important impact in the long run for Consumer Price Index and MSM 30 Indices. Keyword: Export, Import, Volatility, IIP and CPI Table of Contents ABSTRACT 4 Chapter One: Introduction 5 Chapter Two: Overview of Oman Economy 10 2.1 Oman Economy: An Introduction 10 Chapter Three: Literature Review 13 3.1 Introduction 13 3.2 Related Literature 13 3.3 Conclusion 24 Chapter Four: Methodology 25 4.1 Unit Root test 25 Chapter Five: Results and Discussion 30 5.1 Descriptive Statistics 30 5.2 Unit Root test 31 Chapter Six: Conclusion and Recommendation 35 5.1Conclusion 30 5.2 Recommendation 31 Reference 36 Acknowledgements 38 |
