Effect of Macroeconomic Variables on Stock Market Returns for Four Emerging Economies PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Effect of Macroeconomic Variables on Stock Market Returns for Four Emerging Economies PDF full book. Access full book title Effect of Macroeconomic Variables on Stock Market Returns for Four Emerging Economies by Robert D. Gay. Download full books in PDF and EPUB format.
Author: Robert D. Gay
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 240
Get Book Here
Book Description
Author: Robert D. Gay
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 240
Get Book Here
Book Description
Author: Min Zhu
Publisher: Springer Science & Business Media
ISBN: 364227966X
Category : Technology & Engineering
Languages : en
Pages : 860
Get Book Here
Book Description
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.
Author: Dennis Sauert
Publisher: GRIN Verlag
ISBN: 3640720652
Category : Business & Economics
Languages : en
Pages : 29
Get Book Here
Book Description
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: 3640720210
Category : Business & Economics
Languages : en
Pages : 27
Get Book Here
Book Description
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: Patrick B. Baghdasarian
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Get Book Here
Book Description
This paper examines the effects of macroeconomic variables on the returns of a broad cross-section of emerging stock markets (ESMs) for a relatively recent time period. Specifically, the paper examines the quarterly data of select local and global macroeconomic variables for 9 ESMs over the period 2002-09 using the same methodology that was applied in Fifield et al. (2002) on similar sets of data. Applying the methodology used in Fifield et al. (2002) we find that the local economic variables included in the study can be summarized by net exports, interest rates, and currency, while global variables can be summarized by world-market returns and US interest rates. The paper uses principal component analyses (PCA) to reduce the number of the variables. The principal components (PCs) are then selected by way of ad hoc rules-of-thumbs. A scree test is then applied in conjunction with an analysis of the acceleration factors of each scree plot to provide robustness. Essentially, a minimum of 0.5173 to a maximum of 0.7775 of the variation can be explained by the first PC, while approximately 0.76 to 0.95 of the cumulative variance can be explained by both the first and second PC. We retain the first and second PCs; thus, we can reduce the dimensionality of the variables from six to two variables. The retained PCs are used as inputs into two regression analyses in order to explain the variation of index returns within each of the 9 ESMs over the period 2002-09. The first regression analysis only includes PCs retained that contain global macroeconomic variables, while the second includes both the PCs that contain global macroeconomic variables as well as PCs that contain information at the local level or local macroeconomic information. The R2 and adj. R2 of each regression analysis was compared for robustness. The regression analysis indicates that while global factors are consistently significant with a high degree across the cross-section of ESMs when both the first and second recession analysis is investigated, local factors, do not show consistent significance across the cross-section of ESMs when the second regression analysis is investigated. Additionally, we use the retained global and local PCs as inputs for a third regression analysis in which the residuals of the first model are used as an input for the dependent variable in order to make sure the improvement in the R2 and adj. R2 between the first and second regression analysis are attributed to a robustness versus general improvements of R2 and adj. R2 due to adding additional variables. After examining the R2 and adj. R2 we find that although the first regression analysis has a relatively higher R2 and adj. R2 compared to the second linear mode the first linear model does not provide a high enough R2 or adj. R2. Essentially, both linear models lack predictive prowess because Additionally, the second linear model does not show much improvement to the first when we add additional explanatory variables. This was validated when we examined the R2 and adj. R2 of the third linear model as both variables were significantly lower than the R2 and adj. R2 of the first model. Furthermore, for certain ESM the variance among local variable show a degree of significance, but they do not show the same high degree of significance as compared to the level of significance indicated by the global macroeconomic variables. Finally, cross-validation (CV) was applied to both models. We find that for the ESM that had significant local variables for some & alpha; the second model had a lower mean squared error (MSE) compared to the MSE of the first model.
Author: Aristeidis Samitas
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
Get Book Here
Book Description
This paper investigates whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in four quot;newquot; European countries (Poland, Czech Republic, Slovakia and Hungary). quot;Oldquot; western European countries (U.K., France, Italy and Germany) are included in the empirical analysis, whilst USA is considered as a quot;foreign global influencequot;. Using the present value model of stock prices and a complete range of cointegration and causality tests, it is found that quot;newquot; European stock markets are not perfectly integrated with foreign financial markets, while domestic economic activity and the German factor are more influential on these stock markets than the American global factor.
Author: Swee Sum Lam
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
With increasing globalization, to what extent do stock market returns reflect global or domestic risk factors? We find a significant relationship between stock market returns and the global market risk factor and macroeconomic factors respectively. In particular, global factors offer four times more explanatory power than domestic factors for developed market stock returns. Yet domestic factors are as important as global ones in emerging economies. Our method allows for the proxies of the state variables to be endogenously determined. The relationship between macroeconomy and stock market returns is robust after accounting for the market factor, firm size and book-to-market characteristics.
Author: Laurent Ferrara
Publisher: Springer
ISBN: 3319790757
Category : Business & Economics
Languages : en
Pages : 300
Get Book Here
Book Description
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Author: Dinara Apiyeva
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
A phenomenal growth of emerging markets has not only attracted an enormous interest from international instinational and individual investors, but it has also proved that these markets cannot be treated in the same way as developed markets. This research is intended to identify the main determinants of the stock market performance in emerging economies of Latin America and Asia Pacific. The study has been motivated by the increasing importance of these equity markets on the international financial arena. The capital markets of emerging economies have not only become an important asset class for international investors, but also they have become a new and increasingly important source of foreign capital for these countries. This research examines a set of macroeconomic variables, including inflation, foreign exchange rates, market integration, the Institutional Investor's country ratings, the U.S interest rates and financial risk premiums, and their role in explaining the fluctuations in the total returns on the stock markets in six Latin American and four Asia Pacific countries. The results show that the Institutional Investor's country ratings and financial risk premium are the best determinants of the stock market performance in Latin American and Asian Pacific countries. The attempt to separate the financial and country risks has also been undertaken with the successful results in four out of ten countries. The further findings show that financial risk premiums are an important risk factor, which explains the stock market returns in seven out of ten countries and, moreover, financial risk premiums appear to be an aggregate risk factor, which can successfiilly replace five macroeconomic variables, and above that they contain incremental information, which successfully explain the variance in the stock market retums. The findings may have significant implications for international investors and national policymakers in the emerging markets. The findings highlight the significance of the country default risk in explaining the stock market performance in the Latin American and Asia Pacific economies.
Author: Quazi Nur Alam
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
This paper is intended to find out whether macroeconomic variables may impact on stock market as well aswhether such impact has any country specific pattern. Stock market return was taken as dependent variable andreal interest rate, inflation rate, GDP growth rate, foreign currency reserve growth rate, fiscal deficit, FDI toGDP ratio, exchange rate were taken as independent variables. Data-set was covered from 1993 to 2019 for fiveSouth Asian countries which were Bangladesh, India, Pakistan, Sri Lanka, and Nepal. Pattern of stock marketas well as macro conditions of these countries was observed and it was found that some relationships existbetween the stock market returns and these chosen independent variables. Unit root test, Heteroscedasticty test,autocorrelation test, Hausman test is conducted to authenticate and clarified data to investigate relationshipnature. Granger Casualty test indicated that there exist cause and effect relationship between GDP growth rate,exchange rate, and stock market returns. Finally, regression test reveals that inflation rate and foreign currencyreserve growth rate have significant impact on the stock market returns. It was expected to have unique natureof different countries having versatile impact on dependent, so additionally fixed effects model and randomeffects model were run and it was found that random effects model is statistically appropriate throughconducting Hausman test. The test reveals that GDP growth rate, foreign currency reserve growth rate, andfiscal deficit positively impact on the stock market returns and these also support the literature review. Interestrates, inflation rate, FDI to GDP ratio and exchange rate have negatively impact the stock market return whereonly interest rate, inflation rate & exchange rate.
