Download or read book The Relationship Between Stock Prices and Macroeconomic Variables in Selected Asian Markets written by Hsien Hui Sim and published by . This book was released on 2000 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effect of Macroeconomic Variables on Stock Prices written by Shivangi Singh and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between fundamental macroeconomic variables of the economy and stock markets is an essential one. It affects the perspective of monetary and fiscal policy decisions, portfolio management and economic development. It has been studied that macroeconomic variables can influence investors' investment decisions. Over the world, many researchers have investigated the relationships between stock market prices and various macroeconomic variables. The focus of the current paper is to investigate whether the share price index can be considered as a reflection of economic activities in India. This study investigates the impact of five selected macroeconomic variables on Stock Market Liquidity of S&P CNX Nifty. As a result of this analysis, a simple model of the influence of macroeconomic fundamentals on the stock market index has been suggested. For better stock market performance, policy makers should put in place measures that will ensure a stable macroeconomic environment.
Download or read book Stock Returns and Macroeconomic Influences written by Wan Mansor Mahmood and published by . This book was released on 2007 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the dynamics relationship between stock prices and economic variables in six Asian-Pacific selected countries of Malaysia, Korea, Thailand, Hong Kong, Japan, and Australia. The monthly data on stock price indices, foreign exchange rates, consumer price index and industrial production index that spans from January 1993 to December 2002 are used. In particular, we focus our analysis on the long run equilibrium and short run multivariate causality between these variables. The results indicate the existing of a long run equilibrium relationship between and among variables in only four countries, i.e., Japan, Korea, Hong Kong and Australia. As for short run relationship, all countries except for Hong Kong and Thailand show some interactions. The Hong Kong shows relationship only between exchange rate and stock price while the Thailand reports significant interaction only between output and stock prices. An accurate estimation of the relationship between the economic variables and stock market behaviour enables the investors - both local and foreign to make effective investment decisions. At the same time, for the policy makers, a precise prediction of this type of relationship may help government agencies in designing policies to encourage more capital inflows into the respective countries' capital market.
Download or read book A Study on the Factors Affecting the Stock Market Returns in Malaysia written by Dercio Chauque and published by Grin Publishing. This book was released on 2017-10-24 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2017 in the subject Economics - Finance, grade: 2, Asia Pacific University of Technology and Innovation, language: English, abstract: This research paper investigates the dynamic relationship between Kuala Lumpur Composite Index (KLCI) and four selected macroeconomic variables namely exchange rate, inflation rate, crude oil price and foreign direct investment. The research consists of 108 monthly observations from the period of January 2007 to December 2015. In this research, the Augmented Dickey-Fuller test (ADF) showed that at 5% significance level, all the variables are stationary at first difference. For the diagnostic tests, there is no multicollinearity, heteroscedasticity, autocorrelation, and model specification problems. However, normality problem was detected in the model. Moreover, Granger causality test and OLS regression model were carried out to determine the short-run and long-run relationships between the KLCI and the selected macroeconomic variables respectively. Results suggest that in the short-run there is no relationship between the KLCI and the four selected macroeconomic variables. However, in the long-run exchange rate, inflation rate, and crude oil prices are found to significantly affect the performance of KLCI, whereas foreign direct investment is found not to influence the movements of KLCI. The exchange rate and inflation negatively affect the KLCI, and the crude oil price has a positive impact in the KLCI movements.
Download or read book Impacts of Macroeconomic Variables on the Stock Market Returns of South Asian Region written by Quazi Nur Alam and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is intended to find out whether macroeconomic variables may impact on stock market as well aswhether such impact has any country specific pattern. Stock market return was taken as dependent variable andreal interest rate, inflation rate, GDP growth rate, foreign currency reserve growth rate, fiscal deficit, FDI toGDP ratio, exchange rate were taken as independent variables. Data-set was covered from 1993 to 2019 for fiveSouth Asian countries which were Bangladesh, India, Pakistan, Sri Lanka, and Nepal. Pattern of stock marketas well as macro conditions of these countries was observed and it was found that some relationships existbetween the stock market returns and these chosen independent variables. Unit root test, Heteroscedasticty test,autocorrelation test, Hausman test is conducted to authenticate and clarified data to investigate relationshipnature. Granger Casualty test indicated that there exist cause and effect relationship between GDP growth rate,exchange rate, and stock market returns. Finally, regression test reveals that inflation rate and foreign currencyreserve growth rate have significant impact on the stock market returns. It was expected to have unique natureof different countries having versatile impact on dependent, so additionally fixed effects model and randomeffects model were run and it was found that random effects model is statistically appropriate throughconducting Hausman test. The test reveals that GDP growth rate, foreign currency reserve growth rate, andfiscal deficit positively impact on the stock market returns and these also support the literature review. Interestrates, inflation rate, FDI to GDP ratio and exchange rate have negatively impact the stock market return whereonly interest rate, inflation rate & exchange rate.
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 The Relationship Between Stock Market and Macroeconomic Variables written by Shaoying Chang and published by . This book was released on 2008 with total page 228 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 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.
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 Causal Relationship Between Macroeconomic Variables and the Stock Market Returns in ASEAN written by Mohd Zabidi Mohd Yatim and published by . This book was released on 2002 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Behavior of Stock Prices and Time varying Risk Premium written by Kanokwan Chancharoenchai and published by . This book was released on 2002 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long run Equilibrium Relationship Between Macroeconomic Variables and Stock Returns written by Wan-sing Hung (Bill) and published by . This book was released on 1993 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomic Variables and Security Prices in India during the Liberalized Period written by Tarak Nath Sahu and published by Springer. This book was released on 2016-01-01 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: The liberalization and globalization of the Indian economy has made India more vulnerable to macro issues. This book provides a comprehensive analysis of the dynamic relationship between macroeconomic variables and stock prices in India. The research findings and policy implications discussed here may also be relevant for other emerging economies.
Download or read book The Information Content of Macroeconomic Variables and Industry Specific Financial Ratios on Stock Prices written by Wai Shan Christine Au and published by . This book was released on 2000 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Download or read book Macroeconomic Variables and Security Prices in India during the Liberalized Period written by Tarak Nath Sahu and published by Springer. This book was released on 2016-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: The liberalization and globalization of the Indian economy has made India more vulnerable to macro issues. This book provides a comprehensive analysis of the dynamic relationship between macroeconomic variables and stock prices in India. The research findings and policy implications discussed here may also be relevant for other emerging economies.
