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 Business Economics Financial Sciences and Management written by Min Zhu and published by Springer Science & Business Media. This book was released on 2012-02-11 with total page 860 pages. Available in PDF, EPUB and Kindle. Book excerpt: A series of papers on business, economics, and financial sciences, management selected from International Conference on Business, Economics, and Financial Sciences, Management are included in this volume. Management in all business and organizational activities is the act of getting people together to accomplish desired goals and objectives using available resources efficiently and effectively. Management comprises planning, organizing, staffing, leading or directing, and controlling an organization (a group of one or more people or entities) or effort for the purpose of accomplishing a goal. Resourcing encompasses the deployment and manipulation of human resources, financial resources, technological resources and natural resources. The proceedings of BEFM2011 focuses on the various aspects of advances in Business, Economics, and Financial Sciences, Management and provides a chance for academic and industry professionals to discuss recent progress in the area of Business, Economics, and Financial Sciences, Management. It is hoped that the present book will be useful to experts and professors, both specialists and graduate students in the related fields.

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 Macroeconomic Variables and Common Stock Returns written by Mark Gertler and published by . This book was released on 1980 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Returns and Macroeconomic Variables written by Jeffrey A. Kluge and published by . This book was released on 1994 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Response to Unexpected Macroeconomic News written by Mahdi Sadeghi and published by International Monetary Fund. This book was released on 1992-08-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are positively correlated with any surprise news in the current account deficit, the exchange rate and growth rate of real GDP, and negatively correlated with surprise news about the inflation rate and interest rates. Stock returns are also positively correlated with the unexpected unemployment rate and negatively correlated to revisions in the expected unemployment rate. The results furthermore suggest that market portfolios can detect the impact of common economic shocks better than the portfolios of the two main subsectors of the market.

Download or read book Trade Investment and Economic Growth written by Pooja Lakhanpal and published by Springer Nature. This book was released on 2021-05-10 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book contributes to the growing literature pertaining to empirical and policy issues in international trade, foreign capital flows and issues in finance, implications for India and emerging economies related to trade and development interface, and analysis of sector level growth and development in India. Further, the focus is on the policy aspects of these themes and their role in fostering economic development in the context of India and other emerging market economies. The discourse focuses mainly on empirical work and econometric details. The relevant issues are investigated using state of the art techniques such as gravity models, panel co-integration, generalized hyperbolic distributions, SEM, FMOLS and Probit models. In addition, detailed literature survey, discussions on data availability, issues related to statistical estimation techniques and a theoretical background, ensure that each chapter significantly contributes to the ever-growing literature on international trade and capital flows. The readers shall find an engaging dialogue on the crucial role played by policy and the trade-capital flows-growth experience of emerging economies. The book is relevant for those who are interested in contemporary issues in trade, growth and finance as well as for students of advanced econometrics who may benefit from the analytical and econometric exposition. The empirical evidences provided here could serve as ready reference for academicians, researchers and policy makers, particularly in emerging economies facing similar challenges.

Download or read book Black Monday and the Future of Financial Markets written by Robert J. Barro and published by Irwin Professional Publishing. This book was released on 1989 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic Variables and Common Stock Returns written by Eben Otuteye and published by . This book was released on 1989 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bank Stock Returns and Economic Variables written by Wolfgang Bessler and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The large number of asset pricing models and empirical studies of stock returns are evidence of the desire to understand the return generating process of financial assets in general and for stocks in particular. One focus of the research in this area has been on multi-factor asset pricing models [Chen et al. (1986), Fama/French (1992)]. These models are based on the assumption that stock returns are generated by a limited number of economic variables such as company, industry or macroeconomic factors.The objective of this study is to analyze the importance of various economic factors in explaining the return structure for stocks in Germany and to investigate whether the impact of these factors is time varying. This is important, because in most studies of asset pricing models it is assumed that the parameters are non time varying. In particular, we investigate the time variability of the explanatory power and the beta coefficients in a multi-factor framework. For this we employ a rolling estimation procedure that allows us to analyze the time variability of the model coefficients.In the empirical analysis we use monthly data of four macroeconomic variables and the market index to explain the returns of four German industry indices for the period from 1974 to 2000. In contrast to most studies which exclude banks from their empirical analysis we use three industrial indices and a bank index. The economic factors included in our model are term spreads, interest rates, exchange rates and the ifo business index as well as the market index. The empirical results confirm that the factors used in our empirical analysis seem well suited to explain the stock returns especially for banks. Moreover, it is evident that the explanatory power and the beta coefficients are time varying.

Download or read book Indian Stock Returns and Macroeconomics written by Shivi Suhag and published by . This book was released on 2023-07-06 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indian stock returns refer to the performance or profitability of the Indian stock market over a certain period. It is a measure of the gains or losses an investor realizes from investing in Indian stocks. Stock returns can be calculated by comparing the current price of a stock with its purchase price, including any dividends received during the holding period.Macroeconomics, on the other hand, is a branch of economics that deals with the overall performance and behavior of the economy as a whole. It focuses on studying aggregates such as GDP (Gross Domestic Product), inflation, unemployment, interest rates, and other macroeconomic indicators to understand the functioning of the economy and make policy recommendations.The relationship between stock returns and macroeconomics is complex and intertwined. Macroeconomic factors play a significant role in influencing stock market performance. Here are some key macroeconomic variables that impact Indian stock returns: 1. GDP Growth: High GDP growth is generally associated with increased corporate profits and positive investor sentiment, leading to higher stock returns. Conversely, low or negative GDP growth can dampen investor confidence and result in lower stock returns.2. Inflation: Inflation refers to the general increase in prices of goods and services over time. Moderate inflation can be conducive to stock market performance as it indicates a growing economy. However, high inflation can erode purchasing power and negatively impact corporate profitability, leading to lower stock returns.3. Interest Rates: Changes in interest rates have a direct impact on the cost of borrowing and the attractiveness of different investment options. Lower interest rates generally favor stock market investments as they make equities more attractive relative to fixed-income securities. Conversely, higher interest rates may reduce stock market returns as investors shift towards safer fixed-income investments.4. Monetary Policy: The policies implemented by the Reserve Bank of India (RBI), such as adjustments to the repo rate or cash reserve ratio, can influence liquidity and credit conditions in the economy. Accommodative monetary policy measures can stimulate economic growth and boost stock returns, while tight monetary policy can have the opposite effect.5. Fiscal Policy: Government spending, taxation, and fiscal deficit also impact the stock market. Expansionary fiscal policies, such as increased government spending, can stimulate economic activity and have a positive effect on stock returns. Conversely, contractionary fiscal policies may dampen investor sentiment and lead to lower stock returns.It's important to note that stock market returns are also influenced by company-specific factors, market sentiment, investor behavior, and other variables apart from macroeconomic factors. Therefore, analyzing Indian stock returns requires considering a wide range of factors, including both macroeconomic indicators and specific market dynamics.

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 Financial Information and Macroeconomic Forecasts written by Sophia Chen and published by International Monetary Fund. This book was released on 2016-12-23 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.

Download or read book Do Macroeconomic Variables Affect Stock Returns in BRICS Markets An ARDL Approach written by Vanita Tripathi and published by . This book was released on 2015 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Arbitrage Pricing Theory (APT) propounded by Ross in 1976 argued for a variety of macro economic variables (sources of systematic risk) in explaining stock returns. In the same vein, this paper examines the relationship between macroeconomic variables (GDP, inflation, interest rate, exchange rate, money supply, and oil prices) and aggregate stock returns in BRICS markets over the period 1995-2014 using quarterly data. We have applied Auto Regressive Distributed Lag (ARDL) model to document such a relationship for individual countries as well as for panel data.Contrary to general belief, we find that GDP and inflation are not found to be significantly affecting stock returns in most of BRICS markets mainly because Stock returns generally tend to lead rather than follow GDP and inflation. In line with the theory and literature, we find significant negative impact of interest rate, exchange rate and oil prices on stock returns and a positive impact of money supply.This study would be a valuable addition to the growing body of empirical literature on the subject besides being useful to policy makers, regulators and investment community. Policy makers and regulator should watch out for impact of fluctuations in exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for arbitrage opportunities in BRICS markets on the basis of these variables but not the basis of GDP or inflation.

Download or read book The Interaction Between Stock Returns and Macroeconomic Variables Ireland as a Case Study written by Sulaiman Mouselli and published by . This book was released on 2003 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Relationship Between Stock Returns and Macroeconomic Variables an Analysis of Chinese Stock Market written by Jiayan Zhao and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: