Do Macroeconomic Variables Affect Stock Returns In Brics Markets An Ardl Approach
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Do Macroeconomic Variables Affect Stock Returns In Brics Markets An Ardl Approach
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Author : Vanita Tripathi
language : en
Publisher:
Release Date : 2015
Do Macroeconomic Variables Affect Stock Returns In Brics Markets An Ardl Approach written by Vanita Tripathi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
Relationship Between Macroeconomic Factors And Aggregate Stock Returns In Brics Stock Markets A Panel Data Analysis
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Author : Vanita Tripathi
language : en
Publisher:
Release Date : 2016
Relationship Between Macroeconomic Factors And Aggregate Stock Returns In Brics Stock Markets A Panel Data Analysis written by Vanita Tripathi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper examines the relationship between select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate and Money Supply) and aggregate stock returns in emerging markets constituting the BRICS block over the period 1995 to 2014 using quarterly panel data. This relationship is also examined during two sub periods viz., a Pre Crisis period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Robust econometric tests like Panel Granger Causality Test, Pedroni's Panel Cointegration Test and Panel Auto Regressive Distributed Lag (ARDL) Model has been used. We find that primarily in short run there is unidirectional causality running from stock returns to GDP growth rate, inflation rate, rate of change in exchange rate and money supply. The results are almost similar in pre and post crisis periods, except that in the pre crisis period, there is bidirectional causality between stock returns and inflation, while in the post crisis period it disappears. Long run panel causality results reveals unidirectional causality from stock returns to GDP growth rate in total and post crisis periods. However in pre crisis period, there was no long run causal relationship. Pedroni's panel cointegration test shows that stock indices are cointegrated with GDP in total period and with GDP, inflation and money supply in post crisis period. Panel ARDL models have explanatory power ranging from 28% in total period to 62% in post crisis period. We find that while current stock returns are negatively linked to rate of change in exchange rate and money supply; they are positively linked to their own lagged values. In pre crisis period, rate of change in money supply significantly explains stock returns while in post crisis period, inflation rate, interest rate and rate of change in exchange rate and money supply negatively affects BRICS panel stock returns. These findings, besides augmenting the empirical literature and knowledge domain on the topic, have significant implications for policy makers, regulators, researchers and investing community in emerging markets. The regulators need to ensure that financial sector reforms agenda consciously considers interlinkages between stock markets and real economy. The investment community can devise investment strategy, using the results of this study to earn arbitrage profits in emerging stock markets.
Long Run Relationship Between Aggregate Stock Prices And Macroeconomic Factors In Brics Stock Markets
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Author : Vanita Tripathi
language : en
Publisher:
Release Date : 2016
Long Run Relationship Between Aggregate Stock Prices And Macroeconomic Factors In Brics Stock Markets written by Vanita Tripathi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper comprehensively examines the long run relationship between aggregate stock prices and select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate, Money Supply and International Oil Prices) in the emerging BRICS markets over the period 1995 to 2014 using quarterly data. To assess the impact of global financial crisis on this relationship, we consider two sub periods viz., a Pre Crisis period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error Correction Mechanism (VECM) are applied. Overall, we find that there is unidirectional long run causality from Stock prices to GDP, Inflation & Interest Rate. A bidirectional long run causal relationship of Stock prices is found with Money Supply and Oil Prices. Also, the long run granger causal relationship differs significantly between pre and post crisis periods for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium relationship between BRICS Stock prices and select Macroeconomic Factors (except Inflation and Oil Prices). There was no major difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global financial crisis has led to greater long run integration of stock market with the real economy. VECM results indicate that error correction to restore equilibrium is more in stock market than in macroeconomic factors. Thus, in times of any destabilisation or disequilibrium in long run the real economy leads the stock market to a new equilibrium. These findings, besides augmenting the empirical literature and knowledge domain on the topic, have significant implications for policy makers, regulators, academicians, researchers and investment community particularly in emerging markets.
Current Issues In The Economy And Finance Of India
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Author : Aswini Kumar Mishra
language : en
Publisher: Springer
Release Date : 2018-09-13
Current Issues In The Economy And Finance Of India written by Aswini Kumar Mishra and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-13 with Business & Economics categories.
This proceedings volume highlights important points of achieving a balanced and sustained growth path from diverse economics and finance perspectives, touching on a wide array of economic and social analyses in India. Featuring contributions presented at the 2018 International Conference on Economics and Finance (ICEF-2018) held at the Birla Institute of Technology and Science, Pilani, Goa, India, the enclosed papers explore topics such as inflation dynamics, information transmission in post-recession era, leverage effect and volatility asymmetry, structural change and economic growth and reforming tax systems, among others. The Indian economy today is remarkable and, not surprisingly, it is growing very rapidly. It has emerged as the fastest growing major economy in the world as per the Central Statistical Organization (CSO) and International Monetary Fund (IMF) and it is expected to be one of the top three economic powers of the world over the next 10 to15 years, backed by its strong democracy and partnership. At the backdrop of impressive progress of the Indian economy during the last two decades, the question that remains to be answered is does India still have a long way to go before it is functioning well as a market economy? This book critically examines the performance of the Indian economy at the national, state and sectorial levels. Featuring contributions from leading academicians, scholars and practitioners from Asia and the rest of the world, this book is an asset to students, professors, scholars, practitioners and policy makers in the areas of India economics, finance and sustainable development.
Rethinking Financial Deepening
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Author : Ms.Ratna Sahay
language : en
Publisher: International Monetary Fund
Release Date : 2015-05-04
Rethinking Financial Deepening written by Ms.Ratna Sahay and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-04 with Business & Economics categories.
The global financial crisis experience shone a spotlight on the dangers of financial systems that have grown too big too fast. This note reexamines financial deepening, focusing on what emerging markets can learn from the advanced economy experience. It finds that gains for growth and stability from financial deepening remain large for most emerging markets, but there are limits on size and speed. When financial deepening outpaces the strength of the supervisory framework, it leads to excessive risk taking and instability. Encouragingly, the set of regulatory reforms that promote financial depth is essentially the same as those that contribute to greater stability. Better regulation—not necessarily more regulation—thus leads to greater possibilities both for development and stability.
The Effect Of Macroeconomic Factors On Asset Returns
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Author : Erdinç Altay
language : en
Publisher:
Release Date : 2003
The Effect Of Macroeconomic Factors On Asset Returns written by Erdinç Altay and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Linear And Non Linear Financial Econometrics
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Author : Mehmet Terzioğlu
language : en
Publisher: BoD – Books on Demand
Release Date : 2021-03-17
Linear And Non Linear Financial Econometrics written by Mehmet Terzioğlu and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-17 with Business & Economics categories.
The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.
Handbook Of The Fundamentals Of Financial Decision Making
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Author : Leonard C. MacLean
language : en
Publisher: World Scientific
Release Date : 2013
Handbook Of The Fundamentals Of Financial Decision Making written by Leonard C. MacLean and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Current Issues In Finance Economy And Politics
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Author : Çagatay Basarir
language : en
Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
Release Date : 2019
Current Issues In Finance Economy And Politics written by Çagatay Basarir and has been published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Banks and banking categories.
This book provides studies from different perspectives and disciplines upon finance, economy and politics by expert researchers in their field.
Contemporary Issues In Business And Economics
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Author : Chia-Lin Chang
language : en
Publisher: MDPI
Release Date : 2020-07-01
Contemporary Issues In Business And Economics written by Chia-Lin Chang and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-01 with Business & Economics categories.
This book is a collection of high-impact papers accepted and presented at the 2019 Vietnam’s Business and Economics Research Conference (VBER2019) organised by Ho Chi Minh City Open University held on 18th–20th July 2019. The Special Issue is associated with a broad coverage of the contemporary issues in Business and Economics in Vietnam and other emerging markets reflecting a key theme of VBER2019: Vietnam’s Place in the Asia Pacific Region. A total of 14 papers were published from more than the 120 submissions to the VBER2019 Conference. Published papers had been undergone a rigorous reviewing process conducted by the Journal of Risk and Financial Management. The papers incorporated in this book address contemporary issues in business and economics from Vietnam and other emerging markets in the Asian region from various angles such as economics, finance, and statistics to management science. At the time of writing this note, some of the papers have attracted more than 1000 downloads in 3 months. In particular, a paper on “Foreign Direct Investment and Economic Growth from Developing Countries in the Short Run and Long Run” by Trang Thi-Huyen Dinh and her team has attracted almost 6000 downloads in 3 months. These statistics indicate that the papers published in this Special Issue have attracted the wide interest of readers. Among these 14 published papers, three main areas of important contemporary issues in Business and Economics in the Asian region can be identified. First, a block of papers deals with various important and fundamental issues in the emerging markets the Asian region, from exchange rate regime, financial inclusion, and financial development to energy consumption and environmental degradation. On the issue of CO2 emissions, energy consumption and economic growth in the ASEAN, Vo, Vo, and Le utilized various time series econometrics approaches. Key findings from this paper indicate that there are no long-run relationships among carbon dioxide (CO2) emissions, energy consumption, renewable energy, population growth, and economic growth in the Philippines and Thailand, but a relationship does exist in Indonesia, Myanmar, and Malaysia. Loo, in his paper on financial inclusion for the ASEAN, concluded that advancing internet capability and availability present investors an opportunity to offer financial technology or Fintech to meet the need for financial services in this digital era. Second, a challenge in quantitative studies for a single country, such as Vietnam, with limited data is generally noted. However, various empirical studies on Vietnam’s business and economics issues have been conducted. Nguyen, Quan, and Pham examined the cultural distance and entry mode of foreign direct investment in Vietnam. A key finding from their paper is that when there is a great cultural difference between Vietnam and their home country, foreign-invested firms prefer wholly owned subsidiaries over equity joint ventures. Within the Vietnamese market, Pham, Vo, Ho, and McAleer conducted a study on the issue of corporate financial distress. The authors conclude that the corporate financial distress prediction model, which includes accounting factors with macroeconomic indicators, performs much better than alternative models. In addition, the evidence confirms that the global financial crisis (GFC) had a damaging impact on each sector, with the Health & Education sector demonstrating the most impressive recovery post-GFC, and the utilities sector recording a dramatic increase in bankruptcies post-GFC. At another extreme of the spectrum, Van and Nguyen considered that competitive context, social influences, the understanding of managers about corporate social responsibility (CSR), and the internal environment of companies are the four drivers of CSR. The authors also argued that in the four drivers, competitive context has the strongest impact on adopting CSR. Third, last but not least, various papers focus on an important aspect of public finance. For an example, Pham, Pham, and Ly documented the effect of double taxation treaties on the bilateral trade of Vietnam with ASEAN member states, thereby making an extensive comparison with its EU partner countries. Their findings indicate the significant contributions of the tax treaties to Vietnam’s trade performance, not exclusively with ASEAN but also with EU partner countries. In addition, regarding public finance for Vietnam, Nguyen, Vo, Ho, and Vo investigated the contribution of fiscal decentralisation to economic growth across provinces in Vietnam. For the first time in Vietnam, the fiscal decentralisation index together its two subcomponents, including fiscal importance and fiscal autonomy, are developed. Findings from this paper indicate that while fiscal importance and an overall level of fiscal decentralisation have provided negative impact on provincial economic growth, fiscal autonomy has a positive impact on economic growth across provinces in Vietnam.
