Macroeconomic Variables And The Stock Market
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Macroeconomic Variables And The Stock Market
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Author : Andreas Humpe
language : en
Publisher:
Release Date : 2008
Macroeconomic Variables And The Stock Market written by Andreas Humpe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Economic indicators categories.
Do Macroeconomic Variables Have An Effect On The Us Stock Market
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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.
Do Macroeconomic Variables Have An Effect On The Us Stock Market
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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.
Stock Market Performance Macro Economic Variables An Empirical Study Of Stock Market
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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.
Causal Relationship Between Macroeconomic Variables And The Stock Market Returns In Asean
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Author : Mohd Zabidi Mohd Yatim
language : en
Publisher:
Release Date : 2002
Causal Relationship Between Macroeconomic Variables And The Stock Market Returns In Asean written by Mohd Zabidi Mohd Yatim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Macroeconomics categories.
The Stock Market Index And Macroeconomic Variables
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Author : Shadee Sircar
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2012-05
The Stock Market Index And Macroeconomic Variables written by Shadee Sircar 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 2012-05 with categories.
Stock market performance and macroeconomic variables are two very important set of indicators regarding a country s economy. Thus, finding and understanding the relationships present between these indicators may prove to be quite vital. Unfortunately most literature available on this subject matter is based on developed countries and these cases may not apply to developing countries. In order to shed light on the matter this paper investigates the causal relationships between the stock market index of developing countries and their macroeconomic variables based on the VECM framework. The countries Malaysia and Singapore are chosen for the purpose of this paper, where FTSE KLCI index and the FTSE STI index are used to represent the stock market performances respectively for each country. The four macroeconomic variables analyzed are Consumer Price Index (CPI), Industrial Production Index (IPI), 3 month T-bill rate (IR) and exchange rate against the US Dollar (ER). The findings and empirical work in this paper will be especially enlightening for academics or inspiring academics researching in this area. Also stock market practitioners may find this paper quite informative as well.
Impact Of Macroeconomic Variables On Stock Market Capitalization
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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 Equilibrium And Macroeconomic Fundamentals
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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.
Responses Of The Stock Market To Macroeconomic Announcements Across Economic States
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Author : Zuliu Hu
language : en
Publisher: International Monetary Fund
Release Date : 1998-05-01
Responses Of The Stock Market To Macroeconomic Announcements Across Economic States 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 1998-05-01 with Business & Economics categories.
Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc. Several announcements concerning real economic activity that have received little attention in previous research are shown to have a significant impact on stock prices. The paper also presents preliminary evidence for the different reaction to macroeconomic news by small cap stocks and large cap stocks.
Business Economics Financial Sciences And Management
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Author : Min Zhu
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-02-11
Business Economics Financial Sciences And Management written by Min Zhu and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-02-11 with Technology & Engineering categories.
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.
