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Causality Among Stock Market And Macroeconomic Factors
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Book Synopsis Causality Among Stock Market and Macroeconomic Factors by : Muhammad Hanif
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.
Book Synopsis Stock Market Equilibrium and Macroeconomic Fundamentals by : Mr.Lamin Leigh
Download or read book Stock Market Equilibrium and Macroeconomic Fundamentals written by Mr.Lamin Leigh and published by International Monetary Fund. This book was released on 1997-01-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and “semi-strongly” efficient in asset-pricing terms but not “strongly” efficient. Granger causality tests based on the efficiency test results indicate that developments in the stock market appear to be systematically related to the overall economy in Singapore and can thus serve as a leading indicator of its intertemporal behavior.
Book Synopsis Stock Market Performance and the Macroeconomic Factors by : Garthika Sinnathamby
Download or read book Stock Market Performance and the Macroeconomic Factors written by Garthika Sinnathamby and published by . This book was released on 2018 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market as a main component of the capital market of an economy plays a vital role in determining the development of the economy. Macroeconomic factors cause significant fluctuations in the performance of the stock market. This study is aimed at identifying the impact of macroeconomic variables on the performance of the stock market in Sri Lanka. The five macroeconomic variables: real gross domestic production (RGDP), inflation (wholesale price index), money supply (M2), exchange rate (LKR/USD) and interest rate (Average weighted prime lending rate) were selected as independent variables for the study. The dependent variables were All Share Price Index (ASPI) and the market capitalization (MC) of Colombo Stock Exchange (CSE), all data collected quarterly for the period 2004-2016. Johansen co-integration test, Vector Error Correction Model (VECM), and Granger causality models were utilized to derive conclusions. Co-integration was observed between the macroeconomic variables and the stock market performance. Long run causal relationship was noticed between the macroeconomic variables and the ASPI, and the long run equilibrium could be reached at a speed of 17.700%. Significant Short term causality was running from macroeconomic variables such as RGDP, inflation, money supply and interest rate to ASPI at 5% significance level, and inflation and exchange rate were the variables which had a positive influence on ASPI. Long term relationship was evidenced between the macroeconomic variables RGDP, inflation, money supply, exchange rate, interest rate and the market capitalization of CSE with the speed of adjustment of 19.500%. Significant short term causality was running from inflation and money supply to market capitalization of CSE at a significance level of 5%, and macroeconomic variables RGDP, money supply and interest rate had a negative influence on the market capitalization of CSE. Causality between, money supply and ASPI, inflation and ASPI, money supply and market capitalization, inflation and market capitalization were the observed bidirectional causalities. Unidirectional causalities were running from RGDP to ASPI and from interest rate to ASPI. The lower R-square values of 26.888% and 22.656% of the VECM models implied the performance of the stock market of Sri Lanka is affected by other macroeconomic factors in addition to the five selected macroeconomic variables taken for the study: firm specific factors and industry specific factors.
Book Synopsis Testing for Correlation and Causality Relationships Between Stock Prices and Macroeconomic Variables the Case of Palestine Securities Exchange by : Haneen Abu-Libdeh
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.
Book Synopsis Studies in Econometrics, Time Series, and Multivariate Statistics by : Samuel Karlin
Download or read book Studies in Econometrics, Time Series, and Multivariate Statistics written by Samuel Karlin and published by Academic Press. This book was released on 2014-05-10 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson's probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Book Synopsis Long Run Relationship Between Aggregate Stock Prices and Macroeconomic Factors in BRICS Stock Markets by : Vanita Tripathi
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.
Book Synopsis An Empirical Investigation of Stock Markets by : Shigeyuki Hamori
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.
Book Synopsis An Analysis of Interaction Among Macroeconomic Variables Through Cointegration and Causality Approach by : Khalid Ashraf Chisti
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).
Book Synopsis Business, Economics, Financial Sciences, and Management by : Min Zhu
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.
Book Synopsis Do Macroeconomic Variables have an Effect on the US Stock Market? by : Dennis Sauert
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.
Book Synopsis Stock Market Performance and Economic Growth-A Causality Test Approach by : Danson Kimani
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.
Book Synopsis The Stock Market Index and MacRoeconomic Variables by : Shadee Sircar
Download or read book The Stock Market Index and MacRoeconomic Variables written by Shadee Sircar and published by LAP Lambert Academic Publishing. This book was released on 2012-05 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market performance and macroeconomic variables are two very important set of indicators regarding a country s economy. Thus, finding and understanding the relationships present between these indicators may prove to be quite vital. Unfortunately most literature available on this subject matter is based on developed countries and these cases may not apply to developing countries. In order to shed light on the matter this paper investigates the causal relationships between the stock market index of developing countries and their macroeconomic variables based on the VECM framework. The countries Malaysia and Singapore are chosen for the purpose of this paper, where FTSE KLCI index and the FTSE STI index are used to represent the stock market performances respectively for each country. The four macroeconomic variables analyzed are Consumer Price Index (CPI), Industrial Production Index (IPI), 3 month T-bill rate (IR) and exchange rate against the US Dollar (ER). The findings and empirical work in this paper will be especially enlightening for academics or inspiring academics researching in this area. Also stock market practitioners may find this paper quite informative as well.
Book Synopsis Macroeconomics and Anomalies as Determinants of Stock Returns by : Samridha Jung Rana
Download or read book Macroeconomics and Anomalies as Determinants of Stock Returns written by Samridha Jung Rana and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is no general support to explain the strong correlation between the macroeconomic variables and the Standard & Poor 500 index fund returns. This thesis sheds some light on how the macroeconomic variables have impacted the monthly returns on the Standard & Poor 500 over the last decade. Firstly, we introduce the Standard & Poor 500 index and various macroeconomic factors influencing the U.S. economy over the years. Subsequently, investigating the casualty relationship between the monthly rate of returns, the consumer-producer index, the industrial producer index, Money Supply, Unemployment, inflation rate, and the exchange rate. The methodology used in this study includes a stepwise multiple regression model, Johansen cointegration test, Dickey-fuller augmented test, Phillip perron test, and the Granger Causality test. Furthermore, investigating stock market anomalies that have been verified immensely, such as the day-of-the-week Effect and month-of-the-year Effect, has also been explored to see whether those anomalies still exist in recent times.
Book Synopsis Causal Relationship of Stock Market Volatility by : Monika Singh
Download or read book Causal Relationship of Stock Market Volatility written by Monika Singh and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is focused on identifying the causal relationship of stock market volatility and various economic variables. This may help to those scholars who are interested to do their research in the same area, as well as to enhance their knowledge in the related field. For this study Indian Stock Exchanges i.e. BSE Sensex and NSE Nifty has been choosen, as well as from the macroeconomic variables Gross Domestic Product (GDP), Gross Domestic Capital Formation (GDCF), Foreign Exchange Reserves (FER), and Money Supply (MS) has selected to identify their relationship with each other. The data has been analysed through statistical tools as per the requirement of the study.
Book Synopsis Nonlinearity and Endogeneity in Macro-Asset Pricing by : Mr.Charles Frederick Kramer
Download or read book Nonlinearity and Endogeneity in Macro-Asset Pricing written by Mr.Charles Frederick Kramer and published by International Monetary Fund. This book was released on 1995-03-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given by the simple relationship in Chen, Roll and Ross (1986). It also suggests that the univariate evidence for nonlinear dynamics in the stock market may be due to the complicated relationship between the macroeconomy and the stock market.
Book Synopsis Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices by : Kudzanai Chakona
Download or read book Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices written by Kudzanai Chakona and published by GRIN Verlag. This book was released on 2022-11-07 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2017 in the subject Business economics - Investment and Finance, Birmingham City University, course: MSc Accountancy and Finance (ACCA), language: English, abstract: The purpose of this study is to analyse the changes in macroeconomic variables and evaluate the impact on a company’s stock prices, by examining the impact of changes macroeconomic variables, determining which macro-economic variables that have the least and most impact on stock prices and also suggest ways in which the impact on the macroeconomic variables on stock prices can be hedged against using agricultural futures, metal futures or a risk-free asset. The study will use five econometric models to test this impact, these include the Granger Causality test, Johansen Co-Integration test, Vector Error Model, Walt Test statistic, Multiple Regression Model. A review of a number of academic literature by notable analysis for both developed and developing markets will be provided. The FTSE share price index will be used in the study to represent the developed markets and the JSE share price index will be used in the study to represent the developing markets.
Book Synopsis Stock Markets, Banks, and Growth by : Thorsten Beck
Download or read book Stock Markets, Banks, and Growth written by Thorsten Beck and published by . This book was released on 2001 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of a panel data set for 1976-98 shows that on balance stock markets and banks positively influence economic growth; findings that do not result from biases induced by simultaneity, omitted variables, or unobserved country-specific effects.
