The Effects Of Macroeconomic Variables On Share Prices
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The Effects Of Macroeconomic Variables On Stock Prices Conventional Versus News Models
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Author : John Vaz
language : en
Publisher:
Release Date : 2011
The Effects Of Macroeconomic Variables On Stock Prices Conventional Versus News Models written by John Vaz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Stock prices are usually analysed and explained in terms of underlying financial indicators, such as earnings per share or dividend payout ratios. Nevertheless, fluctuations in the conditions of the economy can result in changes in demand, which can impact on profits and dividends. Since macroeconomic variables affect financial indicators it follows that macroeconomic variables affect stock prices. If markets are rational and efficient, then stock prices will reflect all known information regarding macroeconomic factors that are perceived to affect stock prices. It follows that stock prices should not change significantly unless there is a surprise or news about the state of the economy (as reflected in unexpected changes in macroeconomic variables). Intuitively, this implies that models of stock price determination based on news ought to be superior to conventional models that use the levels or changes in variables. The utilisation of news in research on stock prices is very limited. Two approaches have been traditionally used to represent the news in the absence of surveys of expectations: either by assuming announcements are news such as those in event studies or by using an econometric time series approach to extract the news components from total changes in the variables, as is the case with the news model. The majority of studies involving news models have been in the foreign exchange market using news estimated econometrically-very little has been done in estimating and testing a macro news model of stock prices and certainly nothing has been done on stock prices in developed economies such as Australia. Thus this research is motivated by the significant gaps in the literature with respect to the development, estimation and testing of a news model of stock prices. Most of the studies that investigate the relations between macro variables and stock prices have been carried out using conventional approaches by estimating models that use the variables in their levels. Some of the multivariable models of stock prices arise as a result of anomalies found in implementing the capital asset pricing model. Other multivariable approaches such as the arbitrage pricing theory (APT), due to Ross (1976), suggest that macro variables are useful, but APT is silent on the appropriate macroeconomic explanatory variables. Furthermore, there have been limited attempts to examine macroeconomic variables collectively, but not with the aim of developing a macro model of stock prices. This thesis presents the results of research that uses comprehensive econometric procedures to investigate which macroeconomic variables have significant effects on Australian stock prices and whether news about such variables can enhance the performance of conventional stock price determination models. Seven macroeconomic variables are examined: interest rates, inflation, the money supply, economic activity, commodity prices, exchange rates and a foreign stock market index to account for spill-over effects. This provides a valuable contribution to the understanding of the individual effects of macroeconomic variables on stock prices and adds to the limited literature regarding the usefulness of news in models of stock price determination. The results from this research demonstrate that although news is a theoretically sound and intuitively plausible basis for improving macro models of stock prices, in practice there is no ex-ante exploitation possible by estimating news utilising econometric methods. Simply put, news cannot be predicted-this is established by using three comprehensive methods of estimating news, which is the residual of a model fitted to the time series data of a particular variable.
The Effects Of Macroeconomic Variables On Share Prices
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Author : Tfe Hui Tiang
language : en
Publisher:
Release Date : 1994
The Effects Of Macroeconomic Variables On Share Prices written by Tfe Hui Tiang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Stocks categories.
Changes In Macroeconomic Variables And Their Impact On Stock Price Indices A Case Study Of The Financial Times Stock Exchange Ftse And Johannesburg Stock Exchange Jse Indices
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Author : Kudzanai Chakona
language : en
Publisher: GRIN Verlag
Release Date : 2022-11-07
Changes In Macroeconomic Variables And Their Impact On Stock Price Indices A Case Study Of The Financial Times Stock Exchange Ftse And Johannesburg Stock Exchange Jse Indices written by Kudzanai Chakona and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-07 with Business & Economics categories.
Research Paper (undergraduate) from the year 2017 in the subject Business economics - Investment and Finance, Birmingham City University, course: MSc Accountancy and Finance (ACCA), language: English, abstract: The purpose of this study is to analyse the changes in macroeconomic variables and evaluate the impact on a company’s stock prices, by examining the impact of changes macroeconomic variables, determining which macro-economic variables that have the least and most impact on stock prices and also suggest ways in which the impact on the macroeconomic variables on stock prices can be hedged against using agricultural futures, metal futures or a risk-free asset. The study will use five econometric models to test this impact, these include the Granger Causality test, Johansen Co-Integration test, Vector Error Model, Walt Test statistic, Multiple Regression Model. A review of a number of academic literature by notable analysis for both developed and developing markets will be provided. The FTSE share price index will be used in the study to represent the developed markets and the JSE share price index will be used in the study to represent the developing markets.
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.
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.
The Effect Of Macroeconomic Variables On Stock Prices
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Author : Shivangi Singh
language : en
Publisher:
Release Date : 2014
The Effect Of Macroeconomic Variables On Stock Prices written by Shivangi Singh 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.
The relationship between fundamental macroeconomic variables of the economy and stock markets is an essential one. It affects the perspective of monetary and fiscal policy decisions, portfolio management and economic development. It has been studied that macroeconomic variables can influence investors' investment decisions. Over the world, many researchers have investigated the relationships between stock market prices and various macroeconomic variables. The focus of the current paper is to investigate whether the share price index can be considered as a reflection of economic activities in India. This study investigates the impact of five selected macroeconomic variables on Stock Market Liquidity of S&P CNX Nifty. As a result of this analysis, a simple model of the influence of macroeconomic fundamentals on the stock market index has been suggested. For better stock market performance, policy makers should put in place measures that will ensure a stable macroeconomic environment.
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.
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 Effect Of Macroeconomic Variables On The Pricing Of Common Stock Under Trending Market Conditions
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Author : Bryan D. Fodor
language : en
Publisher:
Release Date : 2003
The Effect Of Macroeconomic Variables On The Pricing Of Common Stock Under Trending Market Conditions written by Bryan D. Fodor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Stocks categories.
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.
