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The Impact Of Macroeconomic Variables On Stock Market Performance Over Different Economic Cycles With Application To Sp500
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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 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 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 Responses of the Stock Market to Macroeconomic Announcements Across Economic States by : Zuliu Hu
Download or read book Responses of the Stock Market to Macroeconomic Announcements Across Economic States written by Zuliu Hu and published by International Monetary Fund. This book was released on 1998-05-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc. Several announcements concerning real economic activity that have received little attention in previous research are shown to have a significant impact on stock prices. The paper also presents preliminary evidence for the different reaction to macroeconomic news by small cap stocks and large cap stocks.
Book Synopsis The Impact of Macroeconomic Variables on S&P 500 Stock Return by : Niraj Poudel
Download or read book The Impact of Macroeconomic Variables on S&P 500 Stock Return written by Niraj Poudel and published by . This book was released on 2013 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 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 The Era of Uncertainty by : Francois Trahan
Download or read book The Era of Uncertainty written by Francois Trahan and published by Wiley. This book was released on 2011-08-09 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomic Investment Strategies for an Era of Economic Uncertainty “Over the years, François’ insightful analyses of the business cycle has led to market calls that have both benefitted investors on the upside and (more important to many) protected them from losses on the downside. François’ incredible track record in successfully interpreting the trends that can be found in leading indicators and other macroeconomic data have also led to his well deserved reputation as an expert in sector rotation - providing investors on both the long and short side of the market opportunities to profit from his ideas. In my opinion, his most important and influential macro prediction to date was his call in the middle of the last decade when he predicted that the worst housing crisis in American history would soon be upon us, and that it would have far-ranging implications for both the global economy and world financial markets.” From the foreword by Robert Doll, Vice Chairman & CIO of Global Equities, Blackrock Advisors, LLC “François Trahan is an insightful observer and student of market forces. His research has identified key drivers of stock market performance over decades in various cycles of inflation, credit growth, and economic developments. In his new book, François tries to sort out and explain for market participants the dynamics that brought us to this point and what he sees as the future path of economic and market developments. It is an essential read for anyone participating in or interested in the stock market.” Robert Soros, Chairman, Soros Fund Management “The Era of Uncertainty is terrific. It challenges conventional Wall Street wisdom, gives investors the necessary tools to successfully navigate the new world order and has policy prescriptions to get the U.S. economy on the right track.” Consuelo Mack, Anchor & Managing Editor, Consuelo Mack WealthTrack “Valuation is not everything. An important lesson from the global financial crisis is that macro matters. In The Era of Uncertainty, François Trahan and Katharine Krantz show how macroeconomic analysis can be incorporated into the investment process and provide a road map for investing in the difficult times ahead.” Edward Chancellor, Author of Devil Take the Hindmost: A History of Financial Speculation and member of GMO's Asset Allocation team “François consistently sets a high bar for strategist and thought leaders in the markets, and I can safely say he’s done it yet again with this book. Always insightful, and willing to challenge the ‘stale’ thinking of the establishment on The Street, François' thoughts and analysis are appropriate for anyone who cares not only about markets, but the future of our world.” Jeff deGraaf, Chairman, Renaissance Macro Research, LLC With macro forces governing the post-credit crisis world, and most likely to remain dominant for some time to come, the power of the business cycle is once again in the spotlight. In this type of environment, stock picking will have far less impact on portfolio returns than getting the "big picture" right. And using the last twenty years as a playbook will prove costly to investors. The Era of Uncertainty provides a new way of thinking about investing in a dynamic, macro-driven world. In it, François Trahan and Katherine Krantz discuss the importance of macroeconomic perspectives in an unstable global economy. They go on to cover three possible future scenarios: inflation, deflation, or the middle ground. With each scenario the authors discusses the likely causes and consequences as well as the best strategies for investing profitably. Draws on the experiences of prior credit-driven deleveraging cycles to develop a dynamic framework for investing in an era of economic uncertainty Contains insights on the future of the financial industry Provides fascinating anecdotes from Trahan's time at Bear Stearns prior to its collapse and sale Includes interactive digital tool for users to determine investment strategies based on personal predictions If you intend on succeeding in today's economic environment you can't follow yesterday's investment strategies. The Era of Uncertainty reveals what it will take to make it in such a different market and how you can incorporate new strategies into your everyday investment endeavors. The book comes with an interactive digital tool allowing users to make their own predictions about the economic future and receive asset allocation and sector allocation advice.
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 Impact Of Macroeconomic Variables On Stock Market Capitalization by : Umara Shahid
Download or read book Impact Of Macroeconomic Variables On Stock Market Capitalization written by Umara Shahid and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market is an important part of financial system of any country and development of stock market is one of the major financial goals of any economy. Pakistan is a developing country which has relatively small stock market but this stock market has performed quite well during last decade. This research aims at determining the role of macroeconomic in stock market development by identifying and empirically analyzing macroeconomic factors that exert some impact over the stock market in Pakistani scenario.
Book Synopsis Can Macroeconomic Variables Explain Long Term Movements of Stock Market Sector Indices? by : Erfan Mahmood Bhuiyan
Download or read book Can Macroeconomic Variables Explain Long Term Movements of Stock Market Sector Indices? written by Erfan Mahmood Bhuiyan and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: While the relationship between stock market returns and macro-economic variables has been amply examined, a gap exists in the literature regarding the relationship between different sector indices and various macroeconomic variables. This study intends to examine how certain macroeconomic variables influence different sectors of the stock market differently in the US and Canada. Using monthly data over the period 2000 – 2018, cointegration analysis is applied to model the relationship between real economic activity, money supply, long-term interest rate and different sector indices. Sectors that have been examined in this study include energy, financials, real estate, industrial, healthcare, consumer discretionary, consumer staples, materials, utilities and technology. Results suggest that there is a stable long-term relationship between the macroeconomic variables used in the study and different sector indices for the US but not for Canada. However, US money supply and interest rate can explain the Canadian Stock Market.
Book Synopsis Global Stock Markets by : Wolfgang Drobetz
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
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:
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 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 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.
