The Impact of Rule of Law and Other Macro-Economic Variables on Performance of the Stock Markets PDF Download
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Author: Haris Ali Khan
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
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Book Description
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.
Author: Haris Ali Khan
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
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Book Description
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.
Author: Dennis Sauert
Publisher: GRIN Verlag
ISBN: 3640720210
Category : Business & Economics
Languages : en
Pages : 27
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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: Sarod Khandaker
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Using data from ten developed and seven emerging countries, we analyse stock market's volatility and the macroeconomic factors that influence stock market's volatility from January 2001 till December 2012. We use standard historical volatility model followed by Jones et al. (1998) and Andersen and Bollerslev (1998) to calculate the historical stock market's volatility for the sample countries. Our results show that stock markets of the sample countries are volatile during the Global Financial Crisis (GFC) and these effects are statistically significant for the emerging county group. Selected macroeconomic variables and corporate governance indicators, such as rule of law, regulatory control and GDP per capita are positively associate with the stock market volatility, and corruption perception index and budget deficits are negatively correlated. Other macroeconomic variables such as, Co2 emission, tax revenue, agricultural value added and tourism receipt also found significant in the analysis. This suggests our sample emerging markets were volatile during 2007-2009 not only because of the GFC but also for the other macroeconomic factors. The robustness tests also produce a similar result with little variation.
Author: Arnav V
Publisher: Arnav
ISBN: 9788115639391
Category :
Languages : en
Pages : 0
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Book Description
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: Yair Listokin
Publisher: Harvard University Press
ISBN: 0674976053
Category : Law
Languages : en
Pages : 281
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Book Description
After 2008, private-sector spending took a decade to recover. Yair Listokin thinks we can respond more quickly to the next meltdown by reviving and refashioning a policy approach, used in the New Deal, to harness law’s ability to function as a macroeconomic tool, stimulating or relieving demand as required under certain crisis conditions.
Author: John Vaz
Publisher:
ISBN:
Category :
Languages : en
Pages : 642
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Book Description
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.
Author: Lamin Leigh
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 48
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Book Description
Recently, there has been a resurgence of research interest in the role played by stock markets in developing countries. The International Finance Corporation (IFC) in Washington has set up the Emerging Markets Study Group particularly devoted to the understanding of the relationship between the development of stock markets and the functioning of financial intermediaries and its overall effect on growth. This paper examines the efficiency characteristics of the Stock Exchange of Singapore (SES) and its role in the economy.
Author: Kholoud Bajunaied
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 84
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Author: Shivangi Singh
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
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.
Author: Noor Azryani Auzairy
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages :
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