The Impact Of Macro Economic Variables On Stock Market Performance Evidence From Sri Lanka
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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.
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.
Macroeconomic Variables And Stock Market Returns In Sri Lanka
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Author : Saseela Balagobei
language : en
Publisher:
Release Date : 2020
Macroeconomic Variables And Stock Market Returns In Sri Lanka written by Saseela Balagobei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
The stock market is one of the most energetic sectors that play an important role in contributing to the wealth of the economy. It plays a crucial role in the economic growth and development of an economy which would benefit industries, trade and commerce as a whole. The aim of this study is to investigate the impact of macroeconomic variables on stock market returns in Sri Lanka. Dependent variable of this study is stock market return measured by All Share Price Index (ASPI) and All Share Total Return Index (ASTRI) and independent variables are macroeconomic variables, such as Interest Rate (IR), Inflation Rate (INF), Exchange Rate (ER), Factory Industry Production Index (FIPI) and money supply (MS). The study targets all the companies listed and active in Colombo Stock Exchange (CSE) from 2006 to 2015. For analysis, secondary data was collected from annual reports of Central bank of Sri Lanka, Colombo Stock Exchange, Securities and Exchange Commission and Department of Census and Statistics. The results of the study reveal that the stock market returns is influenced by macroeconomic variables except money supply in Sri Lanka. Interest rate and factory industry production have negative influence on stock market return in Colombo Stock exchange while inflation rate and exchange rate have positive influence on stock market return. The findings of the study may be useful to public and economy especially stock market investors to focus the macroeconomic variables for making their effective decisions in order to enhance their stock market returns.
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.
Impact Of Macroeconomic Variables On Size And Book To Market Effects In Stock Returns
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Author : S.D.L. Kongahawatte
language : en
Publisher:
Release Date : 2015
Impact Of Macroeconomic Variables On Size And Book To Market Effects In Stock Returns written by S.D.L. Kongahawatte 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.
The main purpose of this study is to find out whether size and BM effects are subsumed by macroeconomic variables in explaining variation in stock returns in Sri Lanka using stocks listed in the CSE. The sample covers the listed stocks from 1998 to 2013 that have information on share price, market capitalization and book value of equity. The macroeconomic variables considered for the study consist of change in expected inflation, unanticipated inflation, unanticipated change in term structure, unanticipated change in risk premium and growth rate in industrial production. Nine Size-BM portfolios are constructed each year for the purpose of analysis and Fama-MacBeth cross sectional regressions designed for various models over four holding periods ranging from one month to one year constitute the main test method. The results indicate that apart from semiannual holding period macroeconomic variables subsume size and BM effects in explaining variation in stock returns.
Impact Of Macroeconomic Variables On Economic Performance
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Author : Gagan Deep Sharma
language : en
Publisher:
Release Date : 2014
Impact Of Macroeconomic Variables On Economic Performance written by Gagan Deep Sharma 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.
Macroeconomic variables (e.g. economic output, unemployment and employment, and inflation) play a vital role in the economic performance of any country. For the past three decades, evidence of key macroeconomic variables helping predict the time series of stock returns has accumulated in direct contradiction to the conclusions drawn by the Efficient Market Theory. The majority of research concentrates on the financial markets of the developed countries, which are efficient enough and do not suffer from the inefficiency problems found in less developed countries. Considering this matter, the subject of financial markets in developing countries still needs lengthy analysis and more research attention. This research studies the pattern of CPI, WPI, GDP, GNI and Rate of interest in India and Sri Lanka for the year 2002-2009 while also analyzing the impact of macro-economic variable on GDP growth in India vis-à-vis Sri Lanka. The econometrics tools (e.g. unit root test, Granger Causality Test, cointegration test, vector auto regression, Variance decomposition, and Variance Decomposition Analysis) have been used for the analysis purpose.
Macroeconomic Variables And Stock Prices
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Author : Elangkumaran Periyathampy
language : en
Publisher:
Release Date : 2016
Macroeconomic Variables And Stock Prices written by Elangkumaran Periyathampy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
One of the most enduring debates in economics is whether financial development causes economic growth or whether it is a consequence of increased economic activity. Financial markets play an important role in the process of economic growth and development by facilitating savings and channelizing funds from surplus unit to deficit unit. Stock market plays a significant role in the economic development of a country. A number of studies have been investigated on the causal relationship between economic indicators and stock exchange prices. Many studies have been made from time to time; however, after post-war to find out the causal relationship between the economic variables and stock prices is vital to the policy makers. There are many factors which influence the stock market and ASPI. This study is focused on that how macro economic variables influence the stock prices of CSE in Sri Lanka. For the reason, four macro independent variables i.e. Interest Rate (IR), Exchange Rate (ER), Balance of Payment(BOP) and Gross Domestic Product (GDP) were taken under consideration to measure influences of these factor on the dependent variable of All Share Price Index (ASPI). For analysis, secondary data was taken for 20 years from 1993 up to 2012. Yearly data was used considering all of the variables. Excel sheet was used to arrange the Data and SPSS was used to analyse the data. The findings revealed that GDP is significantly strong positive correlation with ASPI. Further, there is a significant positive correlation between ER and ASPI whenever negatively correlated with IR. Finally, multi-regression analysis indicates that macroeconomic variables significantly impact on stock prices.
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.
Impacts Of Macroeconomic Variables On The Stock Market Returns Of South Asian Region
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Author : Quazi Nur Alam
language : en
Publisher:
Release Date : 2021
Impacts Of Macroeconomic Variables On The Stock Market Returns Of South Asian Region written by Quazi Nur Alam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This paper is intended to find out whether macroeconomic variables may impact on stock market as well aswhether such impact has any country specific pattern. Stock market return was taken as dependent variable andreal interest rate, inflation rate, GDP growth rate, foreign currency reserve growth rate, fiscal deficit, FDI toGDP ratio, exchange rate were taken as independent variables. Data-set was covered from 1993 to 2019 for fiveSouth Asian countries which were Bangladesh, India, Pakistan, Sri Lanka, and Nepal. Pattern of stock marketas well as macro conditions of these countries was observed and it was found that some relationships existbetween the stock market returns and these chosen independent variables. Unit root test, Heteroscedasticty test,autocorrelation test, Hausman test is conducted to authenticate and clarified data to investigate relationshipnature. Granger Casualty test indicated that there exist cause and effect relationship between GDP growth rate,exchange rate, and stock market returns. Finally, regression test reveals that inflation rate and foreign currencyreserve growth rate have significant impact on the stock market returns. It was expected to have unique natureof different countries having versatile impact on dependent, so additionally fixed effects model and randomeffects model were run and it was found that random effects model is statistically appropriate throughconducting Hausman test. The test reveals that GDP growth rate, foreign currency reserve growth rate, andfiscal deficit positively impact on the stock market returns and these also support the literature review. Interestrates, inflation rate, FDI to GDP ratio and exchange rate have negatively impact the stock market return whereonly interest rate, inflation rate & exchange rate.
Effect On Macroeconomic Variables On Stock Market Performance In Malaysia
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Author : WONG YING LING (TP031027)
language : en
Publisher:
Release Date : 2016
Effect On Macroeconomic Variables On Stock Market Performance In Malaysia written by WONG YING LING (TP031027) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Consumer price indexes categories.
