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Macroeconomic Determinants Of The Stock Market Movements
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Book Synopsis Macroeconomic Determinants of the Stock Market Movements by : Mofleh Ali Mofleh Alshogeathri
Download or read book Macroeconomic Determinants of the Stock Market Movements written by Mofleh Ali Mofleh Alshogeathri and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.
Book Synopsis Macroeconomic Determinants and Stock Market by :
Download or read book Macroeconomic Determinants and Stock Market written by and published by . This book was released on 2020 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Determinants of Long-term Stock Market Comovements Among Major EMS Countries by : Yin-Wong Cheung
Download or read book Macroeconomic Determinants of Long-term Stock Market Comovements Among Major EMS Countries written by Yin-Wong Cheung and published by . This book was released on 1998 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Determinants of Stock Market Behavior by : Aksinya Sorokina
Download or read book Macroeconomic Determinants of Stock Market Behavior written by Aksinya Sorokina and published by . This book was released on 2016 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stock market plays an important role in the national economies, stimulating savings and reallocating assets. The impact of economic activities on the stock market could be deterministic for investors behavior. The present study analyses the influence of macroeconomic variables such as Industrial Production Index, Consumer Price Index, Commodities Price Index, Producer Price Index, Money Supply, Interest Rate, Exchange Rate, Net Export on the stock markets of four countries forming BRIC block: Brazil, Russia, India, China.
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 Macroeconomic determinants of United States stock prices by : Michael R. DeStefano
Download or read book Macroeconomic determinants of United States stock prices written by Michael R. DeStefano and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Determinants of Stock-market Returns, Volatility and Volatility Risk-premia by : Valentina Corradi
Download or read book Macroeconomic Determinants of Stock-market Returns, Volatility and Volatility Risk-premia written by Valentina Corradi and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Determinants of Stock Market Development by : Valeriano F. Garcia
Download or read book Macroeconomic Determinants of Stock Market Development written by Valeriano F. Garcia and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using pooled data from fifteen industrial and developing countries from 1980 to 1995, this paper examines the macroeconomic determinants of stock market development, particularly market capitalization. The paper finds that: (1) real income, saving rate, financial intermediary development, and stock market liquidity are important determinants of stock market capitalization; (2) macroeconomic volatility does not prove significant; and (3) stock market development and financial intermediary development are complements instead of substitutes.
Book Synopsis Trade, Investment and Economic Growth by : Pooja Lakhanpal
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.
Book Synopsis Macroeconomic Determinants of U.S. Stock Prices: are the Business Cycle and the Level of Economic Activity Moderating Factors? by : Michael R. DeStefano
Download or read book Macroeconomic Determinants of U.S. Stock Prices: are the Business Cycle and the Level of Economic Activity Moderating Factors? written by Michael R. DeStefano and published by . This book was released on 2000 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Determinants of Stock Market Development in Emerging Economies by : Evgeniya E. Petrova
Download or read book Macroeconomic Determinants of Stock Market Development in Emerging Economies written by Evgeniya E. Petrova and published by . This book was released on 2006 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
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.
Book Synopsis Cointegration, Causality, and Forecasting by : Halbert White
Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Book Synopsis Macroeconomic Determinants of Stock Market Liquidity by : Ijaz Ur Rehman
Download or read book Macroeconomic Determinants of Stock Market Liquidity written by Ijaz Ur Rehman and published by . This book was released on 2016 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Macroeconomic Determinants and Volatility of Stock Market Returns by :
Download or read book The Macroeconomic Determinants and Volatility of Stock Market Returns written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Market Response to Unexpected Macroeconomic News by : Mahdi Sadeghi
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.
Book Synopsis Applied Financial Macroeconomics and Investment Strategy by : Robert T. McGee
Download or read book Applied Financial Macroeconomics and Investment Strategy written by Robert T. McGee and published by Springer. This book was released on 2016-01-12 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: The absolute and relative performance of various asset classes is systematically related to macroeconomic trends. In this new book, Robert McGee provides a thorough guide to each stage of the business cycle and analyzes the investment implications using real-world examples linking economic dynamics to investment results.
