Macrofactors And Stock Returns

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Effect Of Macro Economic Factors On Stock Returns At The Nairobi Stock Exchange Mba Thesis A Ccompanied By A Cd Rom

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Author :
language : en
Publisher:
Release Date : 2014

Effect Of Macro Economic Factors On Stock Returns At The Nairobi Stock Exchange Mba Thesis A Ccompanied By A Cd Rom written by 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.

This study evaluates the effect of macro-economic factors on stock returns at the Nairobi stock exchange. According to the stock market efficiency (SME) hypothesis, all past information on fiscal and monetary policy actions is reflected in current stock returns and so changes in money supply or budget deficit should not have any significant impact on stock returns. The main aim of this study was therefore to test if stocks returns at the Nairobi Stock Exchange (NSE) follow the efficiency hypothesis. The objectives of the study was to determine the relationship between stock returns at the NSE on one hand and public deficit, interest rates and inflation on the other hand. The study uses regression analysis to establish the relationship between stock returns at the NSE and public deficits, interest rate, and inflation rate. Sixty data points are taken for the period beginning January 2008 to December 2012. The findings of the study indicate that budget deficits do not have any significant relationship with stock returns at the Nairobi stock exchange. This is true across all the five years that were analyzed. This finding is in line with stock market efficiency theory but it?s in contrast to some of the previous studies done on the subject. The study also found an inverse relationship between interest rates and stock returns in four out of the five years that were analyzed. A unit increase in interest rates led to a significant decrease in stock returns. Inflation was also found to have an inverse relationship with stock returns in four out of the five years that were analyzed. A unit increase in inflation led to a significant decrease in stock returns but the relationship was not as strong as that observed with interest rates. The major recommendation of this study is that more research is needed to establish whether indeed the lack of a significant relationship between stock returns and fiscal deficits in Kenya is because the Kenya stock market is efficient in terms of information on fiscal policy actions or there are other reasons why fiscal deficits do not seem to matter. Interest rates and Inflation on the other hand have been found to adversely impact stock returns at the Nairobi stock exchange. This indicates that high interest rates and inflation do harm to the economy and the major recommendation for improvement is that the government should pursue policies aimed at bringing interest rates down and containing inflation.

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.

Macro Variables And The Components Of Stock Returns

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Author : Paulo F. Maio
language : en
Publisher:
Release Date : 2015

Macro Variables And The Components Of Stock Returns written by Paulo F. Maio 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.

We conduct a decomposition for the stock market return by incorporating the information from 124 macro variables. Using factor analysis, we estimate six common factors and run a VAR containing these factors and financial variables such as the market dividend yield and the T-bill rate. Including the macro factors does not have a significant impact in the estimation of the components of aggregate (excess) stock returns -- cash-flow, discount-rate, and interest-rate news. Using the macro factors in the computation of cash-flow and discount-rate news does not significantly improve the fit of a two-factor ICAPM for the cross-section of stock returns.

The Impact Of Macroeconomic Factors On Stock Returns In China

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Author : Nasha Li
language : en
Publisher:
Release Date : 2010

The Impact Of Macroeconomic Factors On Stock Returns In China written by Nasha Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Rate of return categories.

Macroeconomic Factors And Stock Return

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Author : Husam Rjoub
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2012

Macroeconomic Factors And Stock Return written by Husam Rjoub 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 with categories.

The Arbitrage Pricing Theory (APT), Does it Works? The empirical applicability of the APT in pricing the Istanbul Stock Exchange (ISE) been analysed, to identify the set of macroeconomic variables which correspond most closely with the stock market factors. Six macroeconomic variables were developed to price the stock of (ISE) Turkey which are the term structure of interest rate, unanticipated inflation, risk premium, exchange rate, money supply (M1), and unemployment rate. Monthly data for total 193 stocks from all sectors of (ISE) were classified to 13 portfolios. The period analysed spans from January 2001 to September 2005 and the effects of the chosen macroeconomic variable were investigated.

Macroeconomic Factors And International Shipping Stock Returns

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Author : Filippos Alexiou
language : en
Publisher:
Release Date : 2007

Macroeconomic Factors And International Shipping Stock Returns written by Filippos Alexiou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Sensitivity Analysis Of Macroeconomic Variables And Stock Returns

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Author : Nisha Nabila
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2015-12-03

Sensitivity Analysis Of Macroeconomic Variables And Stock Returns written by Nisha Nabila 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 2015-12-03 with categories.

The impact of macroeconomic variables on stock returns has been the subject of increased theoretical and empirical investigation in literature. This book aims to complement the literature by extending this presumed relationship between stock returns and a set of pre-determined domestic and global macroeconomic variables to the emerging stock markets of Bangladesh and India. Evidence for this relationship is drawn in this study through the research methods of Vector Autoregression and by applying empirical tests like Johansen cointegration and Vector Error Correction Models. Empirical findings of this research will provide further insights into understanding the underlying macroeconomic factors that can significantly impact the stock returns of selected stock markets of both Bangladesh and India. This study can also assist various academicians, researchers, policy makers and particularly the governments of these two developing countries to consider the influence of macroeconomic factors when regulating their stock markets, its returns and its policies.

Ambiguity Macro Factors And Stock Return Volatility

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Author : Le (Lexi) Kang
language : en
Publisher:
Release Date : 2018

Ambiguity Macro Factors And Stock Return Volatility written by Le (Lexi) Kang 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.

Recent studies find stock returns are negatively related to idiosyncratic volatility (IVOL). We find that aggregate variables known to explain stock market volatility affect the IVOL and portfolio returns sorted by IVOL. Macroeconomic volatilities, yield spreads, dividend yield, trading volume and common factors of earnings forecast dispersions are important drivers of IVOL. Macro factors produce the negative pattern, consistent with theories of intertemporal hedging demand. Teasing out the common IVOL part, the residual IVOL is positively and significantly related to stock returns and the idiosyncratic portions of earnings forecast dispersions. This is consistent with ambiguity aversion and incomplete market hypotheses.

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.