Stock Market Performance And The Macroeconomic Factors
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Stock Market Performance And The Macroeconomic Factors
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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.
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.
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.
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 Response To Unexpected Macroeconomic News
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Author : Mahdi Sadeghi
language : en
Publisher: International Monetary Fund
Release Date : 1992-08-01
Stock Market Response To Unexpected Macroeconomic News written by Mahdi Sadeghi 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 1992-08-01 with Business & Economics categories.
This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are positively correlated with any surprise news in the current account deficit, the exchange rate and growth rate of real GDP, and negatively correlated with surprise news about the inflation rate and interest rates. Stock returns are also positively correlated with the unexpected unemployment rate and negatively correlated to revisions in the expected unemployment rate. The results furthermore suggest that market portfolios can detect the impact of common economic shocks better than the portfolios of the two main subsectors of the market.
The Impact Of Macro Economic Variables On Stock Market Performance Evidence From Sri Lanka
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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.
The Effects Of Macroeconomic Factors On International Stock Market Returns
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Author : Abdul Ghani Shafie
language : en
Publisher:
Release Date : 1992
The Effects Of Macroeconomic Factors On International Stock Market Returns written by Abdul Ghani Shafie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Capital market 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.
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.
Stock Market Performance And Macroeconomic Variables Theory And Critical Review Of Literature
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Author : Arnav Kumar
language : en
Publisher:
Release Date : 2015
Stock Market Performance And Macroeconomic Variables Theory And Critical Review Of Literature written by Arnav Kumar 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.
Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and also provides an extensive critical analysis of existing literature on the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear. Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which affect stock market performance can be identified, an exhaustive list of macroeconomic variables cannot be drawn. There has been a shift in econometric methods applied from basic tools to more advanced second generation financial econometric techniques Future researches should focus on examining this relationship for emerging markets, consider a comprehensive set of macroeconomic and stock market performance variables, take a fairly long study period, apply modern financial econometric techniques, explore this relation at sectoral level and incorporate impact of recent global financial crisis in their study.
