Download or read book The Effect of Macroeconomic Factors on Asset Returns written by Kuangsheng Li and published by . This book was released on 2009 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Effects of Macroeconomic Factors on International Stock Market Returns written by Abdul Ghani Shafie and published by . This book was released on 1992 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 The effect of macroeconomic variables on the size value and momentum factor in Germany written by Marwin Zimmermann and published by GRIN Verlag. This book was released on 2018-11-26 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2018 in the subject Business economics - Investment and Finance, grade: 1,0, University of Passau, language: English, abstract: Today there are dozens of papers existing which investigate the relationship between macroeconomic variables such as GDP growth, exchange rates, inflation, etc. and the 4 factors used in the Carhart 4-factor model. However, most of the papers select corresponding control variables a priori and might miss some macroeconomic variables which hold much information about one of the factors. Overcoming this problem constitutes the core of this paper. With a three tiered statistical procedure which comprises the use of clustering and LASSO regressions I am aiming at solving that challenge. I start with more than 300 macroeconomic control variables which proxy for all possible variables out there and select those with the highest explanatory power.
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 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 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 Macroeconomic Factors Affecting Asset Prices written by Joe Douglas Kelley and published by . This book was released on 1983 with total page 670 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomic Influences on Optimal Asset Allocation written by T. J. Flavin and published by . This book was released on 2002 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomic Factors Do Influence Aggregate Stock Returns written by Mark J. Flannery and published by . This book was released on 2004 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market returns are known to be significantly correlated with inflation and money growth. The impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps because their effects are neither linear nor time-invariant. We estimate a GARCH model of daily equity returns, in which realized returns and their conditional volatility depend on seventeen macro series' announcements. We find six candidates for priced factors: three nominal (CPI, PPI, and a Monetary Aggregate) and three real (the Balance of Trade, the Employment Report, and Housing Starts).Notably absent from this list are popular measures of overall economic activity, such as Industrial Production or GNP.
Download or read book The Effect of Macro Economic Factors on Stock Return Volatility at NSE written by Tobias Olweny and published by LAP Lambert Academic Publishing. This book was released on 2012-06 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a wider scope on the effect of NSE index, Foreign exchange rate, and Interest rate and Inflation rate in determining macroeconomic environment affecting stock return volatility on Nairobi Stock Exchange. Secondary data from NSE, Central Bank of Kenya (CBK) and Kenya National Bureau of Statistics (KNBS) were employed in the study. The results of the study have been presented in five chapters each handling introduction, literature review, study design and summary of the study findings and conclusion. The major investigations presented in the study were mainly concentrated around the selected variables. The finding of this research provides robust understanding by policy makers, policy analysts, investors, and academics of the dynamics of the stock returns in Kenya particularly, with regard to leverage and impact of news. The study recommends the government and the regulator to come up with policies that will help stabilize Foreign exchange rate, Interest rate and Inflation rate fluctuation thus creating investor confidence in the securities market.
Download or read book Impacts of Macroeconomic Factors on Stock Returns and Volatility written by Chibuzo Amaefula and published by LAP Lambert Academic Publishing. This book was released on 2014-10-13 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The robustness of this research book is evident in its contribution to knowledge. It has shown that the variance equation can contain more than two exogenous variables without violating the non-negativity condition of the conditional variance under univariate GARCH specification and the use of univariate GARCH (p, q) model in examining volatility spillover effect. It has also studied time varying correlation using the diagonal BEKK model with OLS method to test the effect of the time trend on the correlation and the CCC-Model as a 'check model'. The research has empirically shown that the structure of correlation between stock returns and interest rate is time variant while relative to exchange rate and inflation is time invariant. The research empirical results have also shown that the correlation of stock returns volatility relative to the volatility of exchange rate and inflation rate vary over time and relative to interest rate volatility is time invariant. The dimensions of this book has made it be a reference book to many researchers and has also breached the gap between past research and future research.
Download or read book Effect of Macroeconomic Variables on Stock Returns Under Changing Market Conditions written by Fabian Moodley and published by . This book was released on 2020 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomic Impact on Stock Market Returns and Volatility written by Antonette Fernando and published by . This book was released on 2018 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between stock market returns and selected macroeconomic variables and examine the impact of macroeconomic uncertainty on stock market volatility in Sri Lankan stock market. Interest rate, inflation, money supply and exchange rate are selected as a set of exogenous variables to represent the macroeconomic factors that influence the stock market, returns and volatility. The sample includes monthly stock market index and macroeconomics data from 1998 to 2016 covering 228 data points. In achieving research objectives, Vector Error Correction Model (VECM) and Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models are specified and estimated.The results of Johansen Juselius cointegration test indicate a long run relationship between macroeconomic variables and stock returns. Particularly, the results of cointegration test suggest that there is a significant negative effect of Treasury bill Rate (TBR) and Exchange Rate (EXR) on stock returns while significant positive long run effect of Money Supply (MSI) / Inflation (INF) on stock returns. The Error Correction Term (ECM) in the VECM model indicates only 4.1 percent of the long run shock adjusted in the short run period and supports the argument of weak form of market efficiency in the Colombo Stock Exchange (CSE), Sri Lanka. Further, the results of the EGARCH model evidence the presence of asymmetric volatility in the monthly stock returns which suggest that the bad news in the CSE has larger effect on the volatility of the stock market than the good news. Similarly, the model establishes that interest rate and money supply create macroeconomic risk to the volatility of the stock market returns in Sri Lankan context. Accordingly, this paper, as a whole, conclusively establishes that the stock returns and market volatility are dependent on macroeconomic variables. These findings hold managerial and policy implication at least to the Sri Lankan policy makers, market regulators, investors and market analysts. The test results suggest the information inefficiency in the Colombo stock market. Further, Investors in the market should look at the systematic risks revealed by the money supply and short term interest rates when structuring portfolios and diversification strategies. Policymakers may need to take these macroeconomic variables into account when formulating economic and financial policies.
Download or read book The Impact of Macroeconomic Factors on Stock Returns in China written by Nasha Li and published by . This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
