Download or read book Sensitivity Analysis of Macroeconomic Variables and Stock Returns written by Nisha Nabila and published by LAP Lambert Academic Publishing. This book was released on 2015-12-03 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: The impact of macroeconomic variables on stock returns has been the subject of increased theoretical and empirical investigation in literature. This book aims to complement the literature by extending this presumed relationship between stock returns and a set of pre-determined domestic and global macroeconomic variables to the emerging stock markets of Bangladesh and India. Evidence for this relationship is drawn in this study through the research methods of Vector Autoregression and by applying empirical tests like Johansen cointegration and Vector Error Correction Models. Empirical findings of this research will provide further insights into understanding the underlying macroeconomic factors that can significantly impact the stock returns of selected stock markets of both Bangladesh and India. This study can also assist various academicians, researchers, policy makers and particularly the governments of these two developing countries to consider the influence of macroeconomic factors when regulating their stock markets, its returns and its policies.

Download or read book Sensitivity Analysis of Stock Market with Respect to Monetary Policy written by Rifat Afrin and published by LAP Lambert Academic Publishing. This book was released on 2015-12-24 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary policy is that part of the macroeconomics, which attempts to achieve a set of objectives that are expressed in terms of several macroeconomic variables such as inflation, real output, money supply, exchange rate or employment. As a result, any change in the monetary policy will have an effect on these variables. For instance, monetary policy actions such as changes in the central bank discount rate may have an indirect effect on these variables. Therefore, it has been said that as broader financial markets are quick to incorporate new information, a more direct and contiguous effect of changes in the monetary policy instruments may be identified using financial data. Hence, in order to identify the monetary policy mechanism transmission into the stock market, understanding the sensitivity of stock market with respect to monetary policy is very important. This book examines whether current economic activities or more specifically the monetary policy tools of Bangladesh and India can explain stock market returns in short run and long-run horizon by using a number of multivariate tests.

Download or read book Do MacRoeconomic Variables Have an Effect on the Us Stock Market written by Dennis Sauert and published by GRIN Verlag. This book was released on 2010-10 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.

Download or read book Do Macroeconomic Variables have an Effect on the US Stock Market written by Dennis Sauert and published by GRIN Verlag. This book was released on 2010-10-12 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.

Download or read book An Empirical Analysis of the Macroeconomic Variables that Affect Stock Market Returns written by Cyril May and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book MacRoeconomic Variables and Stock Return Volatility written by Shahzad Anjum and published by LAP Lambert Academic Publishing. This book was released on 2012-04 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing importance of Stock markets around the world has recently opened a new avenue of research into the relationships between Stock Market and Macroeconomic Variables. It is now a highly debatable area that stock market contributes to economic growth or the other way economic growth contributes to stock market. Researchers continuously make efforts on defining the relationship of stock market and macroeconomic variables. It has now become more difficult to define the relationships between them in the context of increased scarcity of resources, bilateral and multilateral free trade agreements, economic crises, rapidly changing political scenarios and high uncertainty and risks due to world wide terrorist activities. This book provides an insight into the stock market of Pakistan with special focus on macroeconomic variables like inflation, GDP etc effecting the Karachi Stock Exchange (KSE).

Download or read book Regional Aspects of Monetary Policy in Europe written by Jürgen von Hagen and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary union has dawned in Europe. Now that the common currency is a reality, questions concerning the practical conduct of monetary policy in the European Monetary Union (EMU) are moving to the forefront of the policy debate. Among these, one of the most critical is how the new monetary union will cope with the large heterogeneity of its member economies. Given the large differences in economic and financial structures among the EMU member states, monetary policy is likely to affect different member economies in different ways. Regional Aspects of Monetary Policy in Europe collects the proceedings of an international conference held at the Center for European Integration Studies of the University of Bonn, dedicated to this issue. The contributions to this conference fall into two parts. The first part consists of empirical and theoretical studies of the regional effects of monetary policy in heterogeneous monetary unions. The second part consists of papers analyzing the political economy of monetary policy in a monetary union of heterogeneous regions or member states. The papers all support the conclusion that regional differences in the responses to a common monetary policy will make European monetary policy especially difficult in the years to come. Such differences arise from a variety of sources, and they cannot be expected to be mere teething troubles that will disappear after a while. Even if they were ignored in the run-up to the EMU, Europe's central bankers and economic policy makers will have to learn how to cope with such differences in the future.

Download or read book How Well Do Financial and Macroeconomic Variables Predict Stock Returns written by Anne-Sofie Reng Rasmussen and published by . This book was released on 2006 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent evidence of mean reversion in stock returns has led to an explosion in the development of forecasting variables. This paper evaluates the relative performance of these many variables in both time-series and cross-sectional setups. We collect the different measures and compare their forecasting ability for stock returns, and we examine the forecasting variables' ability to reduce pricing errors in the conditional C-CAPM. A key result of the analysis is that the traditional pricedividend ratio performs surprisingly well compared to the many new forecasting variables. We also find that at short and mid-range horizons Lettau and Ludvigson's (2001a) consumption-aggregate wealth variable offers the strongest forecasting ability, although this variable's predictive ability is sensitive to the sample period chosen. At longer horizons, price-normalized variables such as the traditional price-dividend ratio, the price-consumption ratio of Menzly et al. (2004), and the price-output variable of Rangvid (2006) outperform the other variables. These variables also turn out to be superior in reducing pricing errors in the conditional C-CAPM. Thus, the same set of variables dominate in both time-series and cross-sectional settings.

Download or read book Revisiting Macroeconomic Factors and Share Returns written by Patrick B. Baghdasarian and published by . This book was released on 2012 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effects of macroeconomic variables on the returns of a broad cross-section of emerging stock markets (ESMs) for a relatively recent time period. Specifically, the paper examines the quarterly data of select local and global macroeconomic variables for 9 ESMs over the period 2002-09 using the same methodology that was applied in Fifield et al. (2002) on similar sets of data. Applying the methodology used in Fifield et al. (2002) we find that the local economic variables included in the study can be summarized by net exports, interest rates, and currency, while global variables can be summarized by world-market returns and US interest rates. The paper uses principal component analyses (PCA) to reduce the number of the variables. The principal components (PCs) are then selected by way of ad hoc rules-of-thumbs. A scree test is then applied in conjunction with an analysis of the acceleration factors of each scree plot to provide robustness. Essentially, a minimum of 0.5173 to a maximum of 0.7775 of the variation can be explained by the first PC, while approximately 0.76 to 0.95 of the cumulative variance can be explained by both the first and second PC. We retain the first and second PCs; thus, we can reduce the dimensionality of the variables from six to two variables. The retained PCs are used as inputs into two regression analyses in order to explain the variation of index returns within each of the 9 ESMs over the period 2002-09. The first regression analysis only includes PCs retained that contain global macroeconomic variables, while the second includes both the PCs that contain global macroeconomic variables as well as PCs that contain information at the local level or local macroeconomic information. The R2 and adj. R2 of each regression analysis was compared for robustness. The regression analysis indicates that while global factors are consistently significant with a high degree across the cross-section of ESMs when both the first and second recession analysis is investigated, local factors, do not show consistent significance across the cross-section of ESMs when the second regression analysis is investigated. Additionally, we use the retained global and local PCs as inputs for a third regression analysis in which the residuals of the first model are used as an input for the dependent variable in order to make sure the improvement in the R2 and adj. R2 between the first and second regression analysis are attributed to a robustness versus general improvements of R2 and adj. R2 due to adding additional variables. After examining the R2 and adj. R2 we find that although the first regression analysis has a relatively higher R2 and adj. R2 compared to the second linear mode the first linear model does not provide a high enough R2 or adj. R2. Essentially, both linear models lack predictive prowess because Additionally, the second linear model does not show much improvement to the first when we add additional explanatory variables. This was validated when we examined the R2 and adj. R2 of the third linear model as both variables were significantly lower than the R2 and adj. R2 of the first model. Furthermore, for certain ESM the variance among local variable show a degree of significance, but they do not show the same high degree of significance as compared to the level of significance indicated by the global macroeconomic variables. Finally, cross-validation (CV) was applied to both models. We find that for the ESM that had significant local variables for some & alpha; the second model had a lower mean squared error (MSE) compared to the MSE of the first model.

Download or read book STOCK MARKET PERFORMANCE MACRO ECONOMIC VARIABLES AN EMPIRICAL STUDY OF STOCK MARKET written by Arnav V and published by Arnav. This book was released on 2022-12-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Owing to the ever-increasing importance of the financial markets, particularly the stock markets, in the economic development, especially of capital seeking developing nations, a plethora of studies have been conducted to examine the factors determining and influencing the stock market variables such as stock returns, market capitalisation, and turnover, amongst others. The present study examines the impact and role of macroeconomic variables on the stock market performance of an important developing country, viz., India. This relationship is examined from the framework of three main research objectives of investigating the relationship between macroeconomic variables and Indian stock market performance; modelling the crash of Indian stock market during the global financial crisis of 2007 - 2009 using the domestic and international macroeconomic variables, and predicting the movements in stock market variables using macroeconomic variables.

Download or read book Operations Research Proceedings 2006 written by Karl-Heinz Waldmann and published by Springer Science & Business Media. This book was released on 2007-08-11 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a selection of papers referring to lectures presented at the symposium Operations Research 2006 held at the University of Karlsruhe. The symposium presented the state of the art in Operations Research and related areas in Economics, Mathematics, and Computer Science and demonstrated the broad applicability of its core themes, placing particular emphasis on Basel II, one of the most topical challenges of Operations Research.

Download or read book Geopolitical Risk on Stock Returns Evidence from Inter Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Download or read book The Effect of Macroeconomic Factors on Asset Returns written by Erdinç Altay and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Economics of Adjustment and Growth written by Pierre-Richard Agénor and published by La Editorial, UPR. This book was released on 2004-09-30 with total page 794 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic and coherent framework for understanding the interactions between the micro and macro dimensions of economic adjustment policies; that is, it explores short-run macroeconomic management and structural adjustment policies aimed at promoting economic growth. It emphasizes the importance of structural microeconomic characteristics in the transmission of policy shocks and the response of the economy to adjustment policies. It has particular relevance to the economics of developing countries. The book is directed to economists interested in an overview of the economics of reform; economists in international organizations, such as the UN, the IMF, and the World Bank, dealing with development; and economists in developing countries. It is also a text for advanced undergraduate students pursuing a degree in economic policy and management and students in political science and public policy.

Download or read book Keynes s Impact on Monetary Economics written by John Cannon Gilbert and published by London ; Boston : Butterworth Scientific. This book was released on 1982 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book World Economic Outlook October 2018 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2018-10-09 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global growth for 2018–19 is projected to remain steady at its 2017 level, but its pace is less vigorous than projected in April and it has become less balanced. Downside risks to global growth have risen in the past six months and the potential for upside surprises has receded. Global growth is projected at 3.7 percent for 2018–19—0.2 percentage point lower for both years than forecast in April. The downward revision reflects surprises that suppressed activity in early 2018 in some major advanced economies, the negative effects of the trade measures implemented or approved between April and mid-September, as well as a weaker outlook for some key emerging market and developing economies arising from country-specific factors, tighter financial conditions, geopolitical tensions, and higher oil import bills. The balance of risks to the global growth forecast has shifted to the downside in a context of elevated policy uncertainty. Several of the downside risks highlighted in the April 2018 World Economic Outlook (WEO)—such as rising trade barriers and a reversal of capital flows to emerging market economies with weaker fundamentals and higher political risk—have become more pronounced or have partially materialized. Meanwhile, the potential for upside surprises has receded, given the tightening of financial conditions in some parts of the world, higher trade costs, slow implementation of reforms recommended in the past, and waning growth momentum.