Macroeconomic Impact On Stock Market Returns And Volatility
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Macroeconomic Impact On Stock Market Returns And Volatility
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Author : Antonette Fernando
language : en
Publisher:
Release Date : 2018
Macroeconomic Impact On Stock Market Returns And Volatility written by Antonette Fernando 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.
This paper examines the relationship between stock market returns and selected macroeconomic variables and examine the impact of macroeconomic uncertainty on stock market volatility in Sri Lankan stock market. Interest rate, inflation, money supply and exchange rate are selected as a set of exogenous variables to represent the macroeconomic factors that influence the stock market, returns and volatility. The sample includes monthly stock market index and macroeconomics data from 1998 to 2016 covering 228 data points. In achieving research objectives, Vector Error Correction Model (VECM) and Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models are specified and estimated.The results of Johansen Juselius cointegration test indicate a long run relationship between macroeconomic variables and stock returns. Particularly, the results of cointegration test suggest that there is a significant negative effect of Treasury bill Rate (TBR) and Exchange Rate (EXR) on stock returns while significant positive long run effect of Money Supply (MSI) / Inflation (INF) on stock returns. The Error Correction Term (ECM) in the VECM model indicates only 4.1 percent of the long run shock adjusted in the short run period and supports the argument of weak form of market efficiency in the Colombo Stock Exchange (CSE), Sri Lanka. Further, the results of the EGARCH model evidence the presence of asymmetric volatility in the monthly stock returns which suggest that the bad news in the CSE has larger effect on the volatility of the stock market than the good news. Similarly, the model establishes that interest rate and money supply create macroeconomic risk to the volatility of the stock market returns in Sri Lankan context. Accordingly, this paper, as a whole, conclusively establishes that the stock returns and market volatility are dependent on macroeconomic variables. These findings hold managerial and policy implication at least to the Sri Lankan policy makers, market regulators, investors and market analysts. The test results suggest the information inefficiency in the Colombo stock market. Further, Investors in the market should look at the systematic risks revealed by the money supply and short term interest rates when structuring portfolios and diversification strategies. Policymakers may need to take these macroeconomic variables into account when formulating economic and financial policies.
Impact Of Macroeconomic Variables On Stock Market In India
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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 Returns And Volatility
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Author : Mansour Alharaib
language : en
Publisher:
Release Date : 2018
Stock Market Returns And Volatility written by Mansour Alharaib and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Capital movements categories.
This study examines how stock market returns and volatility responses to macroeconomic news announcements in US and Europe, and oil prices. Moreover, the market risk associated with these stock markets based on selected countries and regions is also analyzed here. In all chapters, the data is in a weekly time horizon and it covers 21 countries from different contents. In particular, Data covers three different time periods, i.e. full sample from 1/1/2000 to 12/31/2015, before the financial crisis, i.e. from 1/1/2000 to 9/27/2008 and after the financial crisis, i.e. from 10/11/2008 to 12/31/2015. Chapter 2 studies the impact of macroeconomic news announcements on stock markets in 21 countries using US and European countries macroeconomic news announcements. The first part investigates the impact of macroeconomic news announcements surprises in US and European Countries on stock markets returns in these countries. The second part analyzes the impact of macroeconomic news announcements in US and European Countries on stock markets volatility in these countries. Our results show that stock markets in selected countries react differently to macroeconomic news announcement in US and Europe. Chapter 3 study the interaction and volatility spillover between oil prices and stock markets returns and volatility in selected countries and regions. Oil prices are based on West Texas Intermediate (WTI). The analysis use VAR(1)-GARCH(1,1) model to capture the interdependence between stocks market and oil prices. The findings show that there is interdependence between stock markets and oil price changes in most selected countries and regions. Chapter 4 study the market risk in stock markets returns in selected countries and regions using IGARCH(1,1) and GARCH(1,1) to obtain the value at risk (VaR) and the expected shortfall (ES). The findings of chapter 4 show that market risk was high for most selected countries before the financial crisis and low after the financial crisis.
Stock Market Volatility And Corporate Investment
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Author : Zuliu Hu
language : en
Publisher: International Monetary Fund
Release Date : 1995-10-01
Stock Market Volatility And Corporate Investment written by Zuliu Hu 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 1995-10-01 with Business & Economics categories.
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
The Effect Of Macro Economic Factors On Stock Return Volatility At Nse
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Author : Tobias Olweny
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2012-06
The Effect Of Macro Economic Factors On Stock Return Volatility At Nse written by Tobias Olweny 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 2012-06 with categories.
This book provides a wider scope on the effect of NSE index, Foreign exchange rate, and Interest rate and Inflation rate in determining macroeconomic environment affecting stock return volatility on Nairobi Stock Exchange. Secondary data from NSE, Central Bank of Kenya (CBK) and Kenya National Bureau of Statistics (KNBS) were employed in the study. The results of the study have been presented in five chapters each handling introduction, literature review, study design and summary of the study findings and conclusion. The major investigations presented in the study were mainly concentrated around the selected variables. The finding of this research provides robust understanding by policy makers, policy analysts, investors, and academics of the dynamics of the stock returns in Kenya particularly, with regard to leverage and impact of news. The study recommends the government and the regulator to come up with policies that will help stabilize Foreign exchange rate, Interest rate and Inflation rate fluctuation thus creating investor confidence in the securities market.
Impacts Of Macroeconomic Factors On Stock Returns And Volatility
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Author : Chibuzo Amaefula
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2014-10-13
Impacts Of Macroeconomic Factors On Stock Returns And Volatility written by Chibuzo Amaefula 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 2014-10-13 with categories.
The robustness of this research book is evident in its contribution to knowledge. It has shown that the variance equation can contain more than two exogenous variables without violating the non-negativity condition of the conditional variance under univariate GARCH specification and the use of univariate GARCH (p, q) model in examining volatility spillover effect. It has also studied time varying correlation using the diagonal BEKK model with OLS method to test the effect of the time trend on the correlation and the CCC-Model as a 'check model'. The research has empirically shown that the structure of correlation between stock returns and interest rate is time variant while relative to exchange rate and inflation is time invariant. The research empirical results have also shown that the correlation of stock returns volatility relative to the volatility of exchange rate and inflation rate vary over time and relative to interest rate volatility is time invariant. The dimensions of this book has made it be a reference book to many researchers and has also breached the gap between past research and future research.
Macroeconomic Volatility And Stock Market Volatility Worldwide
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Author : Francis X. Diebold
language : en
Publisher:
Release Date : 2008
Macroeconomic Volatility And Stock Market Volatility Worldwide written by Francis X. Diebold and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Macroeconomics categories.
Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.
Financial Volatility And Real Economic Activity
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Author : Kevin Daly
language : en
Publisher: Routledge
Release Date : 2019-01-15
Financial Volatility And Real Economic Activity written by Kevin Daly and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-15 with Business & Economics categories.
Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.
Stock Market Equilibrium And Macroeconomic Fundamentals
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Author : Lamin Leigh
language : en
Publisher: International Monetary Fund
Release Date : 1997
Stock Market Equilibrium And Macroeconomic Fundamentals written by 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 with Business & Economics categories.
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.
Discovering And Disentangling Effects Of Us Macro Announcements In European Stock Markets
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Author : Tobias R. Rühl
language : en
Publisher:
Release Date : 2014
Discovering And Disentangling Effects Of Us Macro Announcements In European Stock Markets written by Tobias R. Rühl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
