Impact Of Macroeconomic Variables On Stock Market Capitalization
DOWNLOAD
Download Impact Of Macroeconomic Variables On Stock Market Capitalization PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Impact Of Macroeconomic Variables On Stock Market Capitalization book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Impact Of Macroeconomic Variables On Stock Market Capitalization
DOWNLOAD
Author : Umara Shahid
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2013
Impact Of Macroeconomic Variables On Stock Market Capitalization written by Umara Shahid and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.
Stock Market Performance And The Macroeconomic Factors
DOWNLOAD
Author : Garthika Sinnathamby
language : en
Publisher:
Release Date : 2018
Stock Market Performance And The Macroeconomic Factors written by Garthika Sinnathamby and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Stock market as a main component of the capital market of an economy plays a vital role in determining the development of the economy. Macroeconomic factors cause significant fluctuations in the performance of the stock market. This study is aimed at identifying the impact of macroeconomic variables on the performance of the stock market in Sri Lanka. The five macroeconomic variables: real gross domestic production (RGDP), inflation (wholesale price index), money supply (M2), exchange rate (LKR/USD) and interest rate (Average weighted prime lending rate) were selected as independent variables for the study. The dependent variables were All Share Price Index (ASPI) and the market capitalization (MC) of Colombo Stock Exchange (CSE), all data collected quarterly for the period 2004-2016. Johansen co-integration test, Vector Error Correction Model (VECM), and Granger causality models were utilized to derive conclusions. Co-integration was observed between the macroeconomic variables and the stock market performance. Long run causal relationship was noticed between the macroeconomic variables and the ASPI, and the long run equilibrium could be reached at a speed of 17.700%. Significant Short term causality was running from macroeconomic variables such as RGDP, inflation, money supply and interest rate to ASPI at 5% significance level, and inflation and exchange rate were the variables which had a positive influence on ASPI. Long term relationship was evidenced between the macroeconomic variables RGDP, inflation, money supply, exchange rate, interest rate and the market capitalization of CSE with the speed of adjustment of 19.500%. Significant short term causality was running from inflation and money supply to market capitalization of CSE at a significance level of 5%, and macroeconomic variables RGDP, money supply and interest rate had a negative influence on the market capitalization of CSE. Causality between, money supply and ASPI, inflation and ASPI, money supply and market capitalization, inflation and market capitalization were the observed bidirectional causalities. Unidirectional causalities were running from RGDP to ASPI and from interest rate to ASPI. The lower R-square values of 26.888% and 22.656% of the VECM models implied the performance of the stock market of Sri Lanka is affected by other macroeconomic factors in addition to the five selected macroeconomic variables taken for the study: firm specific factors and industry specific factors.
Impact Of Macroeconomic Variables On Size And Book To Market Effects In Stock Returns
DOWNLOAD
Author : S.D.L. Kongahawatte
language : en
Publisher:
Release Date : 2015
Impact Of Macroeconomic Variables On Size And Book To Market Effects In Stock Returns written by S.D.L. Kongahawatte 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 main purpose of this study is to find out whether size and BM effects are subsumed by macroeconomic variables in explaining variation in stock returns in Sri Lanka using stocks listed in the CSE. The sample covers the listed stocks from 1998 to 2013 that have information on share price, market capitalization and book value of equity. The macroeconomic variables considered for the study consist of change in expected inflation, unanticipated inflation, unanticipated change in term structure, unanticipated change in risk premium and growth rate in industrial production. Nine Size-BM portfolios are constructed each year for the purpose of analysis and Fama-MacBeth cross sectional regressions designed for various models over four holding periods ranging from one month to one year constitute the main test method. The results indicate that apart from semiannual holding period macroeconomic variables subsume size and BM effects in explaining variation in stock returns.
The Impact Of Macroeconomic Variables On Stock Market Development In Zimbabwe 1990 2018
DOWNLOAD
Author : Stanfford Dumisile Gobodi Dube
language : en
Publisher:
Release Date : 2020
The Impact Of Macroeconomic Variables On Stock Market Development In Zimbabwe 1990 2018 written by Stanfford Dumisile Gobodi Dube and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This paper examines the impact of macroeconomic variables on stock market development in Zimbabwe using Auto-regressive Distributed Lag (ARDL) model. The macroeconomic variables used are, exchange rates, interest rates, money supply, gross domestic product (GDP) and inflation rate while stock market capitalization is used as a proxy for stock market development. The diagnostic tests conducted revealed that the model is not suffering from any regression violations and all variables were stationary in levels at first difference. The ARDL bounds test revealed the presence of co-integration between stock market development and macroeconomic variables hence an error correction model was adopted. The ARDL error correction model reveled that in the long run only exchange rate has a significant positive relationship with stock market development and only inflation has a negative insignificant relation with stock market development. GDP, money supply and interest rates have a positive insignificant relationship with stock market development. The Granger causality results show that there is a bidirectional relationship between stock market capitalization and exchange rate in Zimbabwe, no causality between stock market development and real GDP, unidirectional causality between inflation and stock market capitalization, running from stock market capitalization to inflation. Results also show that there is no causality between stock market capitalization and money supply, unidirectional causality between interest rates and stock market capitalization which runs from stock market capitalization to interest rates. It is thus recommended that government should consider policies that can help stabilize the macroeconomic environment in Zimbabwe and also to come up with policies that can regulate the activities of the ZSE, to encourage transparency and accountability. This will help in building investor's confidence and attract domestic and foreign financial inflows.
Do Macroeconomic Variables Have An Effect On The Us Stock Market
DOWNLOAD
Author : Dennis Sauert
language : en
Publisher: GRIN Verlag
Release Date : 2010-10-12
Do Macroeconomic Variables Have An Effect On The Us Stock Market written by Dennis Sauert and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-12 with Business & Economics categories.
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.
The Impact Of Macro Economic Variables On Stock Market Performance Evidence From Sri Lanka
DOWNLOAD
Author : Habeeb Mohamed Nijam
language : en
Publisher:
Release Date : 2015
The Impact Of Macro Economic Variables On Stock Market Performance Evidence From Sri Lanka written by Habeeb Mohamed Nijam 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.
Investigations of relationship between macro-economic factors and performance of stock markets at many emerging economies including that of Sri Lanka are relatively limited on one hand and required to be repeated as the underlying economic settings of such economies have rapidly changed over the years. Post war economic context and subsequent macro-economic revitalizations in Sri Lanka influenced the performance of capital market of Sri Lanka and hence the investigations on 'how does and at what extent the Sri Lankan stock market responds to such macroeconomic developments?' is an important empirical question. This study thus investigates the relationships between the All share price index of Colombo stock exchange and five macroeconomic variables, namely, Gross domestic product (GDP), Inflation proxied by wholesale price index(WPI) , Interest rate (IR), Balance of payment (BP) and Exchange rate (ER) over the period from 1980 to 2012. Ordinary Least Square (OLS) is used to estimate the parameters of the regression model, with the application of linear, linear-log, log-log and log-linear data transformation for choosing the appropriate model fitting the data. The serial correlation problem was tested using Durbin-Watson statistics. In this study, Durbin-Watson statistics of the log-log model, which had the highest R2 of 82%, was 1.88 confirming that there was no serial correlation issue. The analysis reveals that macroeconomic variables and the stock market index (All share price index) in Sri Lanka are significantly related. It is observed that the stock market index significantly positively relates to GDP, ER and IR while it negatively relates to inflation proxied by wholesale price index of Sri Lanka. The Balance of payment is found to be insignificant in determining the stock market performance in Sri Lanka.
Stock Market Performance Macro Economic Variables An Empirical Study Of Stock Market
DOWNLOAD
Author : Arnav V
language : en
Publisher: Arnav
Release Date : 2022-12-23
Stock Market Performance Macro Economic Variables An Empirical Study Of Stock Market written by Arnav V and has been published by Arnav this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-23 with categories.
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.
Impact Of Macroeconomic Variables On Stock Market In India
DOWNLOAD
Author : Sanjay Kumar Das
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2021-01-25
Impact Of Macroeconomic Variables On Stock Market In India written by Sanjay Kumar Das and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-01-25 with categories.
Stock market returns depend on the changes in the stock market index. In India, S&P BSE Sensex is considered as the pulse of the stock market. S&P BSE Sensex is the sensitive index of Bombay Stock Exchange (BSE), which is a value- weighted index, composed of 30 largest and most actively traded stocks. There have been limited studies on the linkage between the macro economy and stock prices in India. The purpose of this study is to investigate this linkage between macroeconomic variables and stock market returns with reference to S&P BSE Sensex as well as the linkage between macroeconomic variables and S&P BSE sectoral indices. The study also investigates the linkage between exchange rate and volatility of S&P BSE Sensex Returns.
Stock Market Equilibrium And Macroeconomic Fundamentals
DOWNLOAD
Author : Mr.Lamin Leigh
language : en
Publisher: International Monetary Fund
Release Date : 1997-01-01
Stock Market Equilibrium And Macroeconomic Fundamentals written by Mr.Lamin Leigh 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 1997-01-01 with Business & Economics categories.
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.
Do Macroeconomic Variables Have An Effect On The Us Stock Market
DOWNLOAD
Author : Dennis Sauert
language : en
Publisher: GRIN Verlag
Release Date : 2010-10
Do Macroeconomic Variables Have An Effect On The Us Stock Market written by Dennis Sauert and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10 with Business & Economics categories.
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.
