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Stock Market Performance And Macroeconomic Variables Theory And Critical Review Of Literature
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Book Synopsis Stock Market Performance and Macroeconomic Variables - Theory and Critical Review of Literature by : Arnav Kumar
Download or read book Stock Market Performance and Macroeconomic Variables - Theory and Critical Review of Literature written by Arnav Kumar and published by . This book was released on 2015 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and also provides an extensive critical analysis of existing literature on the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear. Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which affect stock market performance can be identified, an exhaustive list of macroeconomic variables cannot be drawn. There has been a shift in econometric methods applied from basic tools to more advanced second generation financial econometric techniques Future researches should focus on examining this relationship for emerging markets, consider a comprehensive set of macroeconomic and stock market performance variables, take a fairly long study period, apply modern financial econometric techniques, explore this relation at sectoral level and incorporate impact of recent global financial crisis in their study.
Book Synopsis Interactions Between Macro Economic Variables and Stock Markets in India by : Rupinder Katoch
Download or read book Interactions Between Macro Economic Variables and Stock Markets in India written by Rupinder Katoch and published by . This book was released on 2020 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the association of stock market performance with the variables which state the position of the economy as a whole has gained significant magnitude, given the quantum of efforts made by policy formulators, regulatory authorities, intellectuals, researchers and investors in this area. Present study explores and critically analyses the wide-ranging theoretical framework built by contributions of academic fraternity which has highlighted this rapport in their respective studies. Review of literature being conducted in two parts, the one focussing on conclusions drawn on the basis of variables used and the other on basis of models deployed. Variables based classified theory, clearly established that (Gross Domestic Product) GDP, Reserves of foreign currency, crude oil rates and gold prices have significant influence on stock behaviour, whereas other variables like inflation, level of interest, Money Supply, (Foreign Institutional Investors) FII and (Foreign Direct Investment) FDI inflows under divergent studies, do not show uniform impacts as varying form significant to non-significant association. Also, the study has recognised the change in trend in usage of models to predict relationship from traditional statistical models to technologically superior and less complicated econometrics tools used with fulfilment of less of preconditions. Need for a comprehensive and complete list of macroeconomic variables has also been realised.
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 Financial Markets Theory by : Emilio Barucci
Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer Science & Business Media. This book was released on 2002-12-11 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
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 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.
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 Sensitivity Analysis of Macroeconomic Variables and Stock Returns by : Nisha Nabila
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.
Book Synopsis The Effect of Macroeconomic Variables on Stock Prices by : Shivangi Singh
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.
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 The Impact of Rule of Law and Other Macro-Economic Variables on Performance of the Stock Markets by : Haris Ali Khan
Download or read book The Impact of Rule of Law and Other Macro-Economic Variables on Performance of the Stock Markets written by Haris Ali Khan and published by . This book was released on 2019 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research study investigated the impact of rule of law and other macro-economic variables on the performance of the stock markets. The independent variables for the study are rule of law, real interest rate, consumer price index inflation, gross capital formation, gdp per capita and trade. In the study, some of the advanced and emerging countries are selected. The data is examined annually from 2005 to 2015 in panel form. The measuring variable for the study which correlates the performance of stock markets with the economy is stock market return. To estimate the relationship Pearson correlation, regression analysis and descriptive statistics tests have been used. Regression analysis is performed in two models, one with rule of law and one without it. The results indicated that there is a significant relationship between real interest rate and the stock market return and a significant relationship between the stock market return and the inflation rate is also observed, this shows that whenever there is an increase in inflation and interest rates of an economy that will inevitably lead to the increase in the stock market performance of that economy. Rule of law makes an expressive impact on the research, a significance between rule of law and stock market return is seen which means that whenever the law and order is implemented the stock market performance tends to be increased. On the other hand, GDP, gross capital formation and trade shows insignificance with the stock market return. Most of the results are supporting the theories and literature.
Book Synopsis An Empirical Analysis of the Macroeconomic Variables that Affect Stock Market Returns by : Cyril May
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:
Book Synopsis STOCK MARKET PERFORMANCE & MACRO ECONOMIC VARIABLES AN EMPIRICAL STUDY OF STOCK MARKET by : Arnav V
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.
Book Synopsis MacRoeconomic Variables and Stock Return Volatility by : Shahzad Anjum
Download or read book MacRoeconomic Variables and Stock Return Volatility written by Shahzad Anjum and published by LAP Lambert Academic Publishing. This book was released on 2012-04 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing importance of Stock markets around the world has recently opened a new avenue of research into the relationships between Stock Market and Macroeconomic Variables. It is now a highly debatable area that stock market contributes to economic growth or the other way economic growth contributes to stock market. Researchers continuously make efforts on defining the relationship of stock market and macroeconomic variables. It has now become more difficult to define the relationships between them in the context of increased scarcity of resources, bilateral and multilateral free trade agreements, economic crises, rapidly changing political scenarios and high uncertainty and risks due to world wide terrorist activities. This book provides an insight into the stock market of Pakistan with special focus on macroeconomic variables like inflation, GDP etc effecting the Karachi Stock Exchange (KSE).
Book Synopsis The Effects of Macroeconomic Variables on Stock Prices: Conventional Versus News Models by : John Vaz
Download or read book The Effects of Macroeconomic Variables on Stock Prices: Conventional Versus News Models written by John Vaz and published by . This book was released on 2011 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock prices are usually analysed and explained in terms of underlying financial indicators, such as earnings per share or dividend payout ratios. Nevertheless, fluctuations in the conditions of the economy can result in changes in demand, which can impact on profits and dividends. Since macroeconomic variables affect financial indicators it follows that macroeconomic variables affect stock prices. If markets are rational and efficient, then stock prices will reflect all known information regarding macroeconomic factors that are perceived to affect stock prices. It follows that stock prices should not change significantly unless there is a surprise or news about the state of the economy (as reflected in unexpected changes in macroeconomic variables). Intuitively, this implies that models of stock price determination based on news ought to be superior to conventional models that use the levels or changes in variables. The utilisation of news in research on stock prices is very limited. Two approaches have been traditionally used to represent the news in the absence of surveys of expectations: either by assuming announcements are news such as those in event studies or by using an econometric time series approach to extract the news components from total changes in the variables, as is the case with the news model. The majority of studies involving news models have been in the foreign exchange market using news estimated econometrically-very little has been done in estimating and testing a macro news model of stock prices and certainly nothing has been done on stock prices in developed economies such as Australia. Thus this research is motivated by the significant gaps in the literature with respect to the development, estimation and testing of a news model of stock prices. Most of the studies that investigate the relations between macro variables and stock prices have been carried out using conventional approaches by estimating models that use the variables in their levels. Some of the multivariable models of stock prices arise as a result of anomalies found in implementing the capital asset pricing model. Other multivariable approaches such as the arbitrage pricing theory (APT), due to Ross (1976), suggest that macro variables are useful, but APT is silent on the appropriate macroeconomic explanatory variables. Furthermore, there have been limited attempts to examine macroeconomic variables collectively, but not with the aim of developing a macro model of stock prices. This thesis presents the results of research that uses comprehensive econometric procedures to investigate which macroeconomic variables have significant effects on Australian stock prices and whether news about such variables can enhance the performance of conventional stock price determination models. Seven macroeconomic variables are examined: interest rates, inflation, the money supply, economic activity, commodity prices, exchange rates and a foreign stock market index to account for spill-over effects. This provides a valuable contribution to the understanding of the individual effects of macroeconomic variables on stock prices and adds to the limited literature regarding the usefulness of news in models of stock price determination. The results from this research demonstrate that although news is a theoretically sound and intuitively plausible basis for improving macro models of stock prices, in practice there is no ex-ante exploitation possible by estimating news utilising econometric methods. Simply put, news cannot be predicted-this is established by using three comprehensive methods of estimating news, which is the residual of a model fitted to the time series data of a particular variable.
Book Synopsis Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach by : Vanita Tripathi
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.
Book Synopsis The Impact of Macroeconomic Variables on Stock Market Performance Over Different Economic Cycles with Application to S&P500 by : Kholoud Bajunaied
Download or read book The Impact of Macroeconomic Variables on Stock Market Performance Over Different Economic Cycles with Application to S&P500 written by Kholoud Bajunaied and published by . This book was released on 2011 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Variables and the Stock Market by : Andreas Humpe
Download or read book Macroeconomic Variables and the Stock Market written by Andreas Humpe and published by . This book was released on 2008 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt:
