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Author : Mark Gertler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (596 download)
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:
Author : Eben Otuteye
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (27 download)
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:
Author : Dennis Sauert
Publisher : GRIN Verlag
ISBN 13 : 3640720652
Total Pages : 29 pages
Book Rating : 4.6/5 (47 download)
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.
Author : Dennis Sauert
Publisher : GRIN Verlag
ISBN 13 : 3640720210
Total Pages : 27 pages
Book Rating : 4.6/5 (47 download)
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.
Author : Cyril May
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (775 download)
Download or read book An Empirical Analysis of the Macroeconomic Variables that Affect Stock Market Returns written by Cyril May and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pooja Lakhanpal
Publisher : Springer Nature
ISBN 13 : 9813369736
Total Pages : 396 pages
Book Rating : 4.8/5 (133 download)
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.
Author : Bryan D. Fodor
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (27 download)
Download or read book The Effect of Macroeconomic Variables on the Pricing of Common Stock Under Trending Market Conditions written by Bryan D. Fodor and published by . This book was released on 2003 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nisha Nabila
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659812521
Total Pages : 88 pages
Book Rating : 4.8/5 (125 download)
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.
Author : Vanita Tripathi
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Mr.Lamin Leigh
Publisher : International Monetary Fund
ISBN 13 : 1451843224
Total Pages : 42 pages
Book Rating : 4.4/5 (518 download)
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.
Author : Chris Bilson
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)
Download or read book Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns written by Chris Bilson and published by . This book was released on 2008 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. This paper seeks to address the question of whether macroeconomic variables may proxy for local risk sources. We find moderate evidence to support this hypothesis. Further, we investigate the degree of commonality in exposures across emerging stock market returns using a principal components approach. We find little evidence of commonality when emerging markets are considered collectively, however at the regional level considerable commonality is found to exist.
Author : Arnav V
Publisher : Arnav
ISBN 13 : 9788115639391
Total Pages : 0 pages
Book Rating : 4.6/5 (393 download)
Download or read book STOCK MARKET PERFORMANCE & MACRO ECONOMIC VARIABLES AN EMPIRICAL STUDY OF STOCK MARKET written by Arnav V and published by Arnav. This book was released on 2022-12-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Owing to the ever-increasing importance of the financial markets, particularly the stock markets, in the economic development, especially of capital seeking developing nations, a plethora of studies have been conducted to examine the factors determining and influencing the stock market variables such as stock returns, market capitalisation, and turnover, amongst others. The present study examines the impact and role of macroeconomic variables on the stock market performance of an important developing country, viz., India. This relationship is examined from the framework of three main research objectives of investigating the relationship between macroeconomic variables and Indian stock market performance; modelling the crash of Indian stock market during the global financial crisis of 2007 - 2009 using the domestic and international macroeconomic variables, and predicting the movements in stock market variables using macroeconomic variables.
Author : Abdul Ghani Shafie
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (598 download)
Download or read book The Structural Relationship Between Stock Market Returns and Macroeconomic Variables in International Equity Markets written by Abdul Ghani Shafie and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hussein Salameh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Explaining the Stock Return Via a Macroeconomic Multi-Factor Model written by Hussein Salameh and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigated the relationship between economic variables and stock returns in the industrial sector in Jordan. The study is conducted at monthly intervals over the six-and-half years period from July 1997 to 2003 using a value weighted average returns. Four variables were examined; Industrial production, expected inflation, unanticipated inflation and term structure. The evidence suggested that only two variables do really affect the stock return when considering the returns without its dividends, which are the expected inflation and the unanticipated inflation; while only one variable affects the stock returns when taking the dividends into consideration; this is the unanticipated inflation.In addition, this study examined if there is a long-run relationship or a short-run relationship between the unanticipated inflation and stock returns. The results showed that there is a long-run relationship between the two variables but there is no short-run relationship between them.
Author : Paulo F. Maio
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (13 download)
Download or read book Macro Variables and the Components of Stock Returns written by Paulo F. Maio and published by . This book was released on 2015 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We conduct a decomposition for the stock market return by incorporating the information from 124 macro variables. Using factor analysis, we estimate six common factors and run a VAR containing these factors and financial variables such as the market dividend yield and the T-bill rate. Including the macro factors does not have a significant impact in the estimation of the components of aggregate (excess) stock returns -- cash-flow, discount-rate, and interest-rate news. Using the macro factors in the computation of cash-flow and discount-rate news does not significantly improve the fit of a two-factor ICAPM for the cross-section of stock returns.
Author : Kudzanai Chakona
Publisher : GRIN Verlag
ISBN 13 : 3346756874
Total Pages : 124 pages
Book Rating : 4.3/5 (467 download)
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.
Author : Ronald van Dijk
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (685 download)
Download or read book Forecasting Stock Returns Using Bilinearities in Fundamentals and Macroeconomic Variables written by Ronald van Dijk and published by . This book was released on 1996 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
