Download or read book Testing for Correlation and Causality Relationships Between Stock Prices and Macroeconomic Variables the Case of Palestine Securities Exchange written by Haneen Abu-Libdeh and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims at investigating the correlation and causality relationships between stock prices in Palestine and some macroeconomic variables. Two methodologies were used in order to determine the relationships, first we used a regression analysis for ten years' worth of quarterly data (40 observations in total) for the studied variables, five macroeconomic variables were used as independent variables (GDP, inflation, exchange rate, Libor rate and balance of trade), and the quarterly stock market index returns were used as the dependent variable. Second, a unit root test was conducted on the studied variables in order to perform a Granger causality test to assess the causality relationship. The results of the regression analysis as a whole indicate a significant relationship between the macroeconomic variables used and stock prices. Nevertheless, some macroeconomic variables' coefficients (although having a significant relationship with stock prices) weren't consistent with the results of other researches. Moreover, the causality analysis negated any kind of causal relationships between each particular macroeconomic variable and stock prices.
Download or read book The Relationship of Stock Prices and Macroeconomic Variables Revisited written by Muhammad Akbar and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study examines the relationships between the KSE100 index and a set of macroeconomic variables over sampling period in January 1999 to June 2008. Co-integration, Granger causality and error correction tests were used to analyze the relationship between stock prices (KSE100 index) and macroeconomic variables. The findings from the co-integrating tests suggested that stock prices and macroeconomic variables were co-integrated and that at least a uni-directional causality exists between the two sets of variables. The results further suggested that stock prices were positively related with money supply and short term interest rates and negatively related with inflation and foreign exchange reserves.
Download or read book An Empirical Investigation of Stock Markets written by Shigeyuki Hamori and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Download or read book Stock Market Performance and Economic Growth A Causality Test Approach written by Danson Kimani and published by LAP Lambert Academic Publishing. This book was released on 2012-07 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investigation of the causal relationship between stock market performance and economic growth was conducted using the popular Granger causality test based on the Vector Autoregressive (VAR) model. The statistical techniques used include the unit root Augmented Dickey Fuller test in order to fulfill the objective of stationarity for all the time series in their levels and first differences. The Johansen co-integration test was used to investigate whether the variables are cointegrated of the same order taking into account the trace statistics and the maximum eigen-value tests. The variables were found to be cointegrated with at least one co-integrating vectorThe findings imply that the causality between economic growth and stock market runs unilaterally or entirely in one direction from the NSE 20-share index to the GDP. From the results, it was inferred that the movement of stock prices in the Nairobi stock exchange reflect the macro-economic condition of the country and can therefore be used to predict the future path of economic growth. Therefore, policy makers should facilitate proper growth of the stock exchange market in order to foster a thriving economic climate.
Download or read book An Analysis of Interaction Among Macroeconomic Variables Through Cointegration and Causality Approach written by Khalid Ashraf Chisti and published by . This book was released on 2020 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims at examining the relationship between stock market prices (Nifty 50) India & macroeconomic variables (Exchange rate, Foreign Institutional Investment and Crude oil prices) for the period 2007-08 Q1 to 2017-18 Q3. In order to achieve the objectives of the study, the researchers employed Granger Causality, multiple regression and Johansen's Cointegration test. The results confirmed that there is a unidirectional relationship between crude oil prices and stock prices. Further the study confirms that FII and Oil prices are individually capable of influencing stock prices. Johansen's Cointegration test exhibits the absence of long run relationship between stock prices and macroeconomic variables (Exchange Rate and Oil prices). However, the findings put forth by the present study affirmed that Foreign Institutional Investment and Oil prices are capable of individually influencing Stock prices of Nifty 50. The null hypothesis of regression model, that is, macroeconomic variables have no impact on stock prices has been rejected because the f-statistic shows that the macroeconomic variables have statistically significant relationship with stock prices (Nifty 50).
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 Relationship Between Stock Market and Macroeconomic Policy Variables written by Sisangile Nduna and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Revisiting the Dynamic Relationship Between Macroeconomic Fundamentals and Stock Prices written by Deepa Mangala and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between stock prices and macroeconomic variables varies across countries, time periods, datasets used, and the frequency of data used. Thus, an in-depth study to reinvestigate the relationship between selected macroeconomic variables i.e. inflation rate, exchange rate, index of industrial production, gold price, money supply and yields on treasury bills, and Indian stock market for the period of April 2005 to March 2014 has been carried out. In this study Johansen's cointegration test, vector error correction model (VECM), impulse response functions (IRFs), and variance decomposition (VDCs) test have been applied. The results of Johansen cointegration test indicates a significant negative relationship between exchange rate, inflation rate, and index of industrial production with stock prices whereas there exists a significantly positive relationship of money supply and yield on treasury bills with stock prices. Vector error correction model helps to determine both short and long run causal relationship between macroeconomic variables and stock price. The results found short run causality runs from exchange rate to Nifty, Nifty to money supply, and inflation rate whereas long run causality found from Nifty to short term interest rate and money supply.
Download or read book A Study on Dynamic Relationship Between Macroeconomic Variables and Stock Markets in the United States Germany and Hong Kong written by Taibo Mu and published by . This book was released on 2016 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This empirical study investigates the relationship between selected macroeconomic variables and the stock markets in the US, Germany, and Hong Kong. The seven chosen macroeconomic variables are interest rate, inflation, oil price, unemployment rate, industrial production index, money supply, and exchange rate. In this study, Pearson's correlation, unit root tests, Granger causality test, Johansen cointegration test, and regression model are used to identify how these macroeconomic variables impact on S&P500 in the United States, DAX 30 in Germany, and Hang Seng Index in Hong Kong with the monthly series for a period of 18 years from July 1997 to July 2015. The empirical results show that there are short-term causal relationships and long-term equilibrium relationships between macroeconomic variables and the stock markets in these three countries.
Download or read book Linkage between Stock Market and Microeconomic Fundamentals written by Melina Dritsaki and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is interested in empirically testing the existence of a long-run relationship between the Greek Stock Market Index (GEN) and its fundamentals, namely industrial production, inflation and interest rates. This study also tests the existence of cointegration by Johansen's procedure and applies Granger causality tests analysing the causal relationship, which exists between these variables. The results indicate the existence of a cointegration vector, so as the variables tend to evolve together over time. As far as the causal relationship of our variables is concerned, we found a significant causal relationship between ASE and its macroeconomic fundamentals.
Download or read book Long Run Relationship Between Aggregate Stock Prices and Macroeconomic Factors in BRICS Stock Markets written by Vanita Tripathi and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper comprehensively examines the long run relationship between aggregate stock prices and select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate, Money Supply and International Oil Prices) in the emerging BRICS markets over the period 1995 to 2014 using quarterly data. To assess the impact of global financial crisis on this relationship, we consider two sub periods viz., a Pre Crisis period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error Correction Mechanism (VECM) are applied. Overall, we find that there is unidirectional long run causality from Stock prices to GDP, Inflation & Interest Rate. A bidirectional long run causal relationship of Stock prices is found with Money Supply and Oil Prices. Also, the long run granger causal relationship differs significantly between pre and post crisis periods for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium relationship between BRICS Stock prices and select Macroeconomic Factors (except Inflation and Oil Prices). There was no major difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global financial crisis has led to greater long run integration of stock market with the real economy. VECM results indicate that error correction to restore equilibrium is more in stock market than in macroeconomic factors. Thus, in times of any destabilisation or disequilibrium in long run the real economy leads the stock market to a new equilibrium. These findings, besides augmenting the empirical literature and knowledge domain on the topic, have significant implications for policy makers, regulators, academicians, researchers and investment community particularly in emerging markets.
Download or read book The Effects of Macroeconomic Variables on Stock Prices Conventional Versus News Models written by John Vaz and published by . This book was released on 2011 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock prices are usually analysed and explained in terms of underlying financial indicators, such as earnings per share or dividend payout ratios. Nevertheless, fluctuations in the conditions of the economy can result in changes in demand, which can impact on profits and dividends. Since macroeconomic variables affect financial indicators it follows that macroeconomic variables affect stock prices. If markets are rational and efficient, then stock prices will reflect all known information regarding macroeconomic factors that are perceived to affect stock prices. It follows that stock prices should not change significantly unless there is a surprise or news about the state of the economy (as reflected in unexpected changes in macroeconomic variables). Intuitively, this implies that models of stock price determination based on news ought to be superior to conventional models that use the levels or changes in variables. The utilisation of news in research on stock prices is very limited. Two approaches have been traditionally used to represent the news in the absence of surveys of expectations: either by assuming announcements are news such as those in event studies or by using an econometric time series approach to extract the news components from total changes in the variables, as is the case with the news model. The majority of studies involving news models have been in the foreign exchange market using news estimated econometrically-very little has been done in estimating and testing a macro news model of stock prices and certainly nothing has been done on stock prices in developed economies such as Australia. Thus this research is motivated by the significant gaps in the literature with respect to the development, estimation and testing of a news model of stock prices. Most of the studies that investigate the relations between macro variables and stock prices have been carried out using conventional approaches by estimating models that use the variables in their levels. Some of the multivariable models of stock prices arise as a result of anomalies found in implementing the capital asset pricing model. Other multivariable approaches such as the arbitrage pricing theory (APT), due to Ross (1976), suggest that macro variables are useful, but APT is silent on the appropriate macroeconomic explanatory variables. Furthermore, there have been limited attempts to examine macroeconomic variables collectively, but not with the aim of developing a macro model of stock prices. This thesis presents the results of research that uses comprehensive econometric procedures to investigate which macroeconomic variables have significant effects on Australian stock prices and whether news about such variables can enhance the performance of conventional stock price determination models. Seven macroeconomic variables are examined: interest rates, inflation, the money supply, economic activity, commodity prices, exchange rates and a foreign stock market index to account for spill-over effects. This provides a valuable contribution to the understanding of the individual effects of macroeconomic variables on stock prices and adds to the limited literature regarding the usefulness of news in models of stock price determination. The results from this research demonstrate that although news is a theoretically sound and intuitively plausible basis for improving macro models of stock prices, in practice there is no ex-ante exploitation possible by estimating news utilising econometric methods. Simply put, news cannot be predicted-this is established by using three comprehensive methods of estimating news, which is the residual of a model fitted to the time series data of a particular variable.
Download or read book Doing Business 2020 written by World Bank and published by World Bank Publications. This book was released on 2019-11-21 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seventeen in a series of annual reports comparing business regulation in 190 economies, Doing Business 2020 measures aspects of regulation affecting 10 areas of everyday business activity.
Download or read book Government Size and Economic Growth written by Richard K. Vedder and published by . This book was released on 1998 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The State of Food Security and Nutrition in the World 2018 written by Food and Agriculture Organization of the United Nations and published by Food & Agriculture Org.. This book was released on 2018-09-14 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: New evidence this year corroborates the rise in world hunger observed in this report last year, sending a warning that more action is needed if we aspire to end world hunger and malnutrition in all its forms by 2030. Updated estimates show the number of people who suffer from hunger has been growing over the past three years, returning to prevailing levels from almost a decade ago. Although progress continues to be made in reducing child stunting, over 22 percent of children under five years of age are still affected. Other forms of malnutrition are also growing: adult obesity continues to increase in countries irrespective of their income levels, and many countries are coping with multiple forms of malnutrition at the same time – overweight and obesity, as well as anaemia in women, and child stunting and wasting.
Download or read book Fractal Market Analysis written by Edgar E. Peters and published by John Wiley & Sons. This book was released on 1994-02-08 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
