Download or read book Long Run and Short Run Relationship Between Macroeconomic Factors and Returns on Sectoral Indices in Saudi Arabia written by Lakshmi Kalyanaraman and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study analyses the relationship between the select macroeconomic variables, inflation, industrial production, money supply, exchange rate, oil prices and global stock prices on the returns of the 15 sectors listed on Saudi stock market. The study applies cointegration technique and finds that there exists at least one cointegration vector between the chosen macroeconomic variables and the sector indices. Error correction model and Wald test to check the long-run and short-run causality relationship between the macroeconomic variables and sectoral stock indices. Results show that the effect of the macroeconomic variables on the returns of the various sectors is varied. The speed of adjustment of the system in case of short run deviations from the long run equilibrium is also found to be different for the various sectors. This study offers important inputs for investment decision making for the investors in the specific sectors of the Saudi stock market.

Download or read book Can Macroeconomic Variables Explain Long Term Movements of Stock Market Sector Indices written by Erfan Mahmood Bhuiyan and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: While the relationship between stock market returns and macro-economic variables has been amply examined, a gap exists in the literature regarding the relationship between different sector indices and various macroeconomic variables. This study intends to examine how certain macroeconomic variables influence different sectors of the stock market differently in the US and Canada. Using monthly data over the period 2000 – 2018, cointegration analysis is applied to model the relationship between real economic activity, money supply, long-term interest rate and different sector indices. Sectors that have been examined in this study include energy, financials, real estate, industrial, healthcare, consumer discretionary, consumer staples, materials, utilities and technology. Results suggest that there is a stable long-term relationship between the macroeconomic variables used in the study and different sector indices for the US but not for Canada. However, US money supply and interest rate can explain the Canadian Stock Market.

Download or read book Macroeconomic Forces and Stock Prices written by Lakshmi Kalyanaraman and published by . This book was released on 2014 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines if there exists a long run relationship among five macroeconomic variables, consumer price index, industrial output, money supply, exchange rate, oil prices along with the global stock prices proxy Standard and Poor 500 index and Saudi all share stock index. Time series analysis is applied using monthly data from January 1994 to June 2013. Application of Johansen cointegration test finds the existence of a long run relationship among the chosen variables. All macroeconomic variables are found to impact stock prices. Standard and Poor 500 index does not affect Saudi stock prices. Vector error correction model shows the presence of long run causality from the explanatory variables to the stock prices. Short run causality test finds a two-way causality between stock prices and oil prices. Impulse response function shows that industrial production shocks pushes up stock prices while consumer price index shocks pulls it down. Variance decompositions show that historical stock prices are the major driver of Saudi stock prices. This implies that Saudi stock market follows weak form of market efficiency. The results of this paper have important implications for the investors in Saudi stock market.

Download or read book Macroeconomic Determinants of the Stock Market Movements written by Mofleh Ali Mofleh Alshogeathri and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.

Download or read book Macroeconomic Environment Effects on Demand for Insurance in Saudi Arabia written by Dr. Jumah Ahmad Alzyadat and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study aimed to measure and analyze the most important macroeconomic factors determining the demand for insurance in Saudi Arabia. The study used VAR (Vector Autoregression), Impulse Response Function, Granger Causality test, and Variance Decomposition. The results showed that demand for insurance in KSA responds to changes in macroeconomic variables in the long run and short run, Granger Causality test results indicate a unidirectional causal relationship between (GDP, per capita income, and government expenditures on social security) and the demand for insurance in KSA. The results showed that there is a bidirectional causal relationship between financial development and the demand for insurance. Moreover, there is no causal relationship between inflation and the demand for insurance. GDP as an indicator of economic activities has a positive and strong impact on the demand for insurance in KSA. Per capita income as a measure of income, money supply, and government expenditures on social security, all these variables had a positive effect on the demand for insurance. And there is no evidence that inflation rate has a significant effect on demand for insurance in long run.

Download or read book A Macroeconometric Model for Saudi Arabia written by Fakhri J. Hasanov and published by Springer Nature. This book was released on 2023-01-01 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Open Access Brief presents the KAPSARC Global Energy Macroeconometric Model (KGEMM). KGEMM is a policy analysis tool for examining the impacts of domestic policy measures and global economic and energy shocks on the Kingdom of Saudi Arabia. The model has eight blocks (real sector, fiscal, monetary, external sector, price, labor and wages, energy, population, and age cohorts) that interact with each other to represent the Kingdom’s macroeconomy and energy linkages. It captures New Keynesian demand-side features anchored to medium-run equilibrium and long-run aggregate supply. It applies a cointegration and equilibrium correction modeling (ECM) methodology to time series data to estimate the model’s behavioral equations in the framework of Autometrics, a general-to-specific econometric modeling strategy. Hence, the model combines ‘theory-driven’ approach with ‘data-driven’ approach. The Brief begins with an introduction to the theoretical framework of the model and the KGEMM methodology and then walks the reader through the structure of the model and its behavioral equations. The book closes with simulations showing the application of the model. Providing a detailed introduction to a cutting-edge, robust predictive model, this Brief will be of great use to researchers and policymakers interested in macroeconomics, energy economics, econometrics, and more specifically, the economy of Saudi Arabia.

Download or read book The Macroeconomic Variables and Stock Returns written by NADEEM. HUSSAIN SOHAIL (ZAKIR.) and published by LAP Lambert Academic Publishing. This book was released on 2012-05-08 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study explores long run and short run effects of macroeconomic variables i.e. consumer price index, industrial production, real effective exchange rate, money supply, and three months treasury bills rate on four stock indices i.e. KSE100 index, General index, LSE25 index, and ISE10 index relating three stock exchanges namely Karachi Stock Exchange, Lahore Stock Exchange, and Islamabad Stock Exchange in Pakistan. In order to study the long run and short run relationships Johansen cointegation technique and VECM was applied. The results showed that industrial production has long run positive impact on stock returns in all three markets. Exchange rate was positively affecting all indices except ISE10 index. Inflation was positively related with stock returns at Karachi Stock market, while it was negatively related with rest of the two markets. The money supply affected stock returns negatively, while treasury bills rate had mixed effect. The VECM analysis depicted that it takes more than four months, nine months, five months, and two months for the adjustment of disequilibrium of the previous period in case of KSE100 index, General Index, LSE25 index and ISE10 index respectively.

Download or read book Explaining the Stock Return Via a Macroeconomic Multi Factor Model written by Hussein Salameh and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigated the relationship between economic variables and stock returns in the industrial sector in Jordan. The study is conducted at monthly intervals over the six-and-half years period from July 1997 to 2003 using a value weighted average returns. Four variables were examined; Industrial production, expected inflation, unanticipated inflation and term structure. The evidence suggested that only two variables do really affect the stock return when considering the returns without its dividends, which are the expected inflation and the unanticipated inflation; while only one variable affects the stock returns when taking the dividends into consideration; this is the unanticipated inflation.In addition, this study examined if there is a long-run relationship or a short-run relationship between the unanticipated inflation and stock returns. The results showed that there is a long-run relationship between the two variables but there is no short-run relationship between them.

Download or read book Impact of Macroeconomic Variables on Stock Market in India written by Sanjay Kumar Das and published by LAP Lambert Academic Publishing. This book was released on 2021-01-25 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market returns depend on the changes in the stock market index. In India, S&P BSE Sensex is considered as the pulse of the stock market. S&P BSE Sensex is the sensitive index of Bombay Stock Exchange (BSE), which is a value- weighted index, composed of 30 largest and most actively traded stocks. There have been limited studies on the linkage between the macro economy and stock prices in India. The purpose of this study is to investigate this linkage between macroeconomic variables and stock market returns with reference to S&P BSE Sensex as well as the linkage between macroeconomic variables and S&P BSE sectoral indices. The study also investigates the linkage between exchange rate and volatility of S&P BSE Sensex Returns.

Download or read book Causality Among Stock Market and Macroeconomic Factors written by Muhammad Hanif and published by . This book was released on 2019 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: A recent development in financial markets is the creation of Shari'ah compliant stock universes. Shari'ah compliant stock universe is featured as socially responsible investments, less levered, and more reflective of the real sector. This study is conducted to understand and document the short-run equilibrium among important macroeconomic indicators and Equity indexes--Islamic and conventional--in the post-Shari'ah-screening era in Pakistan. Comparative study of linkages among stock indexes and macroeconomic variables is of great interest to i) identify the important macroeconomic factors; and ii) document whether Shari'ah screening of stocks has created any difference (in macro risk factors). We have included eight macroeconomic variables to study integration with stocks for 64 Months' period (07/2011-10/2016). Evidence has been obtained by application of correlation, unit root, OLS-regression and Granger causality tests. Findings suggest that both markets--Islamic & conventional--are integrated with selected macroeconomic indicators. However, evidence lacks the integration of markets themselves. We identify a set of two variables from real economy--exports and workers' remittances--linked with both markets, while the third variable is different for Islamic (industrial production) and conventional (money supply) markets. Important monetary variables--interest rate and inflation--have shown an insignificant association. Movements of Islamic index are in-line with the theory i.e. disassociation from interest and reflection of the real economy. Movements of conventional index cover both real and monetary sectors.KAUJIE Classification: L4.

Download or read book The Effect of Exchange Rate Fluctuation on Trade Balance written by Najia Saqib and published by . This book was released on 2018 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuation of the exchange rate has a different unwanted implication towards the economic growth. The right choice of exchange rate regime will bring an economy back to the equilibrium and many economists claim that it is one of the factors for the positive economic development. In contrast, a long term fluctuation of the real exchange rate from the nominal rate can lead to severe macroeconomic imbalances, lead to speculation attack and against the orthodoxy of macroeconomic parities. However the empirical findings of previous studies with regards to the relationship of exchange rate and trade balance are not inclusive and are inconsistent for different countries. The main objective of this paper is to analyse the long run relationship between fluctuation of exchange rate and trade balance in Saudi Arab. The economy of the Saudi Arab has developed tremendously in which the average gross domestic production (GDP) for the period of 1980 - 2008 is more than 300 percentages. Using the Purchasing Power Parity (PPP) model, we empirically identify that the currency of Saudi Arabia at most of the time are overvalued. The study also shows Saudi Arab is enjoying positive trade balance. Utilising two-step Engel-Granger co-integration technique we find a significant long run relationship between the exchange rate fluctuation and trade balance for Saudi Arab in the long run but not in the short-run.

Download or read book Integration of Macroeconomic Variables and Stock Market A Comparison of Conventional and Islamic Indexes written by Muhammad Hanif and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is conducted to understand and document the long as well as short-run equilibrium among important macroeconomic indicators and Equity markets (including Islamic and conventional) in post Shari'ah-screening era in Pakistan. We have included seven macroeconomic variables--inflation, exchange rate, interest rate, exports, gold prices, workers' remittances and industrial production index--for 101 Months (07/09-11/17). Evidence obtained by application of Johansen cointegration and Granger causality tests. Findings suggest that both markets--Islamic & conventional--are integrated with macroeconomic indicators in the long as well as short run. However, evidence lacks on the integration of markets themselves, in the long-run. We identified a set of four variables--exports, industrial production index, workers' remittances, and inflation--in the long-run integrated with both markets. In the short run a set of two variables--exports and workers' remittances--is linked with both markets, while Islamic market transmits volatility to an additional variable (industrial production). Moreover, both markets are interlinked in the short-run. Important monetary variables--exchange rate, and interest rate--are not integrated with stock markets, during the period under review, in Pakistani institutional settings. The behavior of Islamic market is in-line with the theory-- a reflection of real sector and lack of integration with interest rate.

Download or read book Festschrift in Honor of Peter Schmidt written by Robin C. Sickles and published by Springer Science & Business Media. This book was released on 2014-03-15 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the Introduction: This volume is dedicated to the remarkable career of Professor Peter Schmidt and the role he has played in mentoring us, his PhD students. Peter’s accomplishments are legendary among his students and the profession. Each of the papers in this Festschrift is a research work executed by a former PhD student of Peter’s, from his days at the University of North Carolina at Chapel Hill to his time at Michigan State University. Most of the papers were presented at The Conference in Honor of Peter Schmidt, June 30 - July 2, 2011. The conference was largely attended by his former students and one current student, who traveled from as far as Europe and Asia to honor Peter. This was a conference to celebrate Peter’s contribution to our contributions. By “our contributions” we mean the research papers that make up this Festschrift and the countless other publications by his students represented and not represented in this volume. Peter’s students may have their families to thank for much that is positive in their lives. However, if we think about it, our professional lives would not be the same without the lessons and the approaches to decision making that we learned from Peter. We spent our days together at Peter’s conference and the months since reminded of these aspects of our personalities and life goals that were enhanced, fostered, and nurtured by the very singular experiences we have had as Peter’s students. We recognized in 2011 that it was unlikely we would all be together again to celebrate such a wonderful moment in ours and Peter’s lives and pledged then to take full advantage of it. We did then, and we are now in the form of this volume.

Download or read book Relationship Between Macroeconomic Factors and Aggregate Stock Returns in BRICS Stock Markets A Panel Data Analysis written by Vanita Tripathi and published by . This book was released on 2016 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate and Money Supply) and aggregate stock returns in emerging markets constituting the BRICS block over the period 1995 to 2014 using quarterly panel data. This relationship is also examined during two sub periods viz., a Pre Crisis period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Robust econometric tests like Panel Granger Causality Test, Pedroni's Panel Cointegration Test and Panel Auto Regressive Distributed Lag (ARDL) Model has been used. We find that primarily in short run there is unidirectional causality running from stock returns to GDP growth rate, inflation rate, rate of change in exchange rate and money supply. The results are almost similar in pre and post crisis periods, except that in the pre crisis period, there is bidirectional causality between stock returns and inflation, while in the post crisis period it disappears. Long run panel causality results reveals unidirectional causality from stock returns to GDP growth rate in total and post crisis periods. However in pre crisis period, there was no long run causal relationship. Pedroni's panel cointegration test shows that stock indices are cointegrated with GDP in total period and with GDP, inflation and money supply in post crisis period. Panel ARDL models have explanatory power ranging from 28% in total period to 62% in post crisis period. We find that while current stock returns are negatively linked to rate of change in exchange rate and money supply; they are positively linked to their own lagged values. In pre crisis period, rate of change in money supply significantly explains stock returns while in post crisis period, inflation rate, interest rate and rate of change in exchange rate and money supply negatively affects BRICS panel stock returns. These findings, besides augmenting the empirical literature and knowledge domain on the topic, have significant implications for policy makers, regulators, researchers and investing community in emerging markets. The regulators need to ensure that financial sector reforms agenda consciously considers interlinkages between stock markets and real economy. The investment community can devise investment strategy, using the results of this study to earn arbitrage profits in emerging stock markets.

Download or read book Economic Interdependence Between Oil Producing and Labor Exporting Countries written by Khalid Alkhathlan and published by VDM Publishing. This book was released on 2008 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Oil and workers' remittances play an important role in the international economy. Only a few articles have been trying to investigate the effects of oil price fluctuations on both oil producing and labor exporting countries. For oil producing countries, the concentration in production might be the main reason for the fluctuation in export earnings that lead to large changes in export revenues. Because of the lack of skilled labor in oil producing countries, they are heavily dependant on the skilled workers from labor exporting countries such as Pakistan, India, Bangladesh, Egypt, the Philippines, and other countries. So, any oil shock is expected to harm labor exporting countries by influencing the workers' remittances. This book is expected to enrich the international library with the importance of workers' remittances to labor exporting countries. I hope that this book will help the international community to realize how negatively the oil price fluctuations would influence poor countries (labor exporting countries) through affecting workers' remittances which are important to macroeconomic variables such as investment, consumption and thus gross domestic product (GDP).

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2009 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impact of Macroeconomic Fundamentals on Stock Prices Revised written by Gurmeet Singh and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigates the relationships between the Indian stock market index (BSE Sensex) and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period January 2007 to March 2014. Johansen's co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the stock prices positively relate to the wholesale price index, money supply and interest rate but negatively relate to index of industrial production and exchange rate. The index of industrial production and the exchange rate are found to be insignificant in determining stock prices. In the Granger causality sense, there is bi-directional causality between exchange rate and stock market index and interest rate and stock market index. Interest rate causes stock market index in both long run and short-run. The findings show the evidence of causality from stock price index to wholesale price index in both long-run and short run but not other way around. Furthermore, it is observed from the findings that money supply causes stock prices only in the long-run but not in short run.