Causality Among Stock Market And Macroeconomic Factors PDF Download
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| Author | : Muhammad Hanif |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Causality Among Stock Market and Macroeconomic Factors Book in PDF, ePub and Kindle
A recent development in financial markets is the creation of Shari'ah compliant stock universes. Shari'ah compliant stock universe is featured as socially responsible investments, less levered, and more reflective of the real sector. This study is conducted to understand and document the short-run equilibrium among important macroeconomic indicators and Equity indexes--Islamic and conventional--in the post-Shari'ah-screening era in Pakistan. Comparative study of linkages among stock indexes and macroeconomic variables is of great interest to i) identify the important macroeconomic factors; and ii) document whether Shari'ah screening of stocks has created any difference (in macro risk factors). We have included eight macroeconomic variables to study integration with stocks for 64 Months' period (07/2011-10/2016). Evidence has been obtained by application of correlation, unit root, OLS-regression and Granger causality tests. Findings suggest that both markets--Islamic & conventional--are integrated with selected macroeconomic indicators. However, evidence lacks the integration of markets themselves. We identify a set of two variables from real economy--exports and workers' remittances--linked with both markets, while the third variable is different for Islamic (industrial production) and conventional (money supply) markets. Important monetary variables--interest rate and inflation--have shown an insignificant association. Movements of Islamic index are in-line with the theory i.e. disassociation from interest and reflection of the real economy. Movements of conventional index cover both real and monetary sectors.KAUJIE Classification: L4.
| Author | : Abdul Rafay |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Causal Relationship Between Macroeconomic Variables Book in PDF, ePub and Kindle
Importance of stock market in the economic development of a country cannot be denied, and macroeconomic variables are important indicators that affect stock market of a country. Present study provides a great contribution to understand the association of these variables with stock market. This paper deals with the causal relationship among KSE 100 index and interest rate, exchange rate, consumer price index, imports and exports. For this purpose data of nineteen years has been collected from 1992 to 2010. Techniques of Augmented Dickey-Fuller test, regression analysis and Granger Causality test have been applied to examine the causal relationship of selected macroeconomic variables with KSE 100 index. Results of regression analysis indicate the presence of strong positive relation between IMP and KSEI. Furthermore, interest rate, exchange rate, consumer price index and exports have no relationship with KSE 100 index. Results of Granger Causality test demonstrate that bi-directional relationship exists between interest rate and KSE 100 index. Exchange rate and imports have uni-directional relationship with KSE 100 index and no causal relationship exists between consumer price index, exports and KSE 100 index. Present study provides valuable contribution in knowledge. It is important and attractive not only for investors but also for policy makers.
| Author | : Mr.Lamin Leigh |
| Publisher | : International Monetary Fund |
| Total Pages | : 42 |
| Release | : 1997-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1451843224 |
Download Stock Market Equilibrium and Macroeconomic Fundamentals Book in PDF, ePub and Kindle
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.
| Author | : Garthika Sinnathamby |
| Publisher | : |
| Total Pages | : 27 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Stock Market Performance and the Macroeconomic Factors Book in PDF, ePub and Kindle
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.
| Author | : Min Zhu |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 860 |
| Release | : 2012-02-11 |
| Genre | : Technology & Engineering |
| ISBN | : 364227966X |
Download Business, Economics, Financial Sciences, and Management Book in PDF, ePub and Kindle
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.
| Author | : Samuel Karlin |
| Publisher | : Academic Press |
| Total Pages | : 591 |
| Release | : 2014-05-10 |
| Genre | : Business & Economics |
| ISBN | : 1483268039 |
Download Studies in Econometrics, Time Series, and Multivariate Statistics Book in PDF, ePub and Kindle
Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson’s probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
| Author | : Haneen Abu-Libdeh |
| Publisher | : |
| Total Pages | : 14 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Testing for Correlation and Causality Relationships Between Stock Prices and Macroeconomic Variables the Case of Palestine Securities Exchange Book in PDF, ePub and Kindle
This study aims at investigating the correlation and causality relationships between stock prices in Palestine and some macroeconomic variables. Two methodologies were used in order to determine the relationships, first we used a regression analysis for ten years' worth of quarterly data (40 observations in total) for the studied variables, five macroeconomic variables were used as independent variables (GDP, inflation, exchange rate, Libor rate and balance of trade), and the quarterly stock market index returns were used as the dependent variable. Second, a unit root test was conducted on the studied variables in order to perform a Granger causality test to assess the causality relationship. The results of the regression analysis as a whole indicate a significant relationship between the macroeconomic variables used and stock prices. Nevertheless, some macroeconomic variables' coefficients (although having a significant relationship with stock prices) weren't consistent with the results of other researches. Moreover, the causality analysis negated any kind of causal relationships between each particular macroeconomic variable and stock prices.
| Author | : Vanita Tripathi |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Long Run Relationship Between Aggregate Stock Prices and Macroeconomic Factors in BRICS Stock Markets Book in PDF, ePub and Kindle
This paper comprehensively examines the long run relationship between aggregate stock prices and select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate, Money Supply and International Oil Prices) in the emerging BRICS markets over the period 1995 to 2014 using quarterly data. To assess the impact of global financial crisis on this relationship, we consider two sub periods viz., a Pre Crisis period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error Correction Mechanism (VECM) are applied. Overall, we find that there is unidirectional long run causality from Stock prices to GDP, Inflation & Interest Rate. A bidirectional long run causal relationship of Stock prices is found with Money Supply and Oil Prices. Also, the long run granger causal relationship differs significantly between pre and post crisis periods for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium relationship between BRICS Stock prices and select Macroeconomic Factors (except Inflation and Oil Prices). There was no major difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global financial crisis has led to greater long run integration of stock market with the real economy. VECM results indicate that error correction to restore equilibrium is more in stock market than in macroeconomic factors. Thus, in times of any destabilisation or disequilibrium in long run the real economy leads the stock market to a new equilibrium. These findings, besides augmenting the empirical literature and knowledge domain on the topic, have significant implications for policy makers, regulators, academicians, researchers and investment community particularly in emerging markets.
| Author | : Khalid Ashraf Chisti |
| Publisher | : |
| Total Pages | : 15 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download An Analysis of Interaction Among Macroeconomic Variables Through Cointegration and Causality Approach Book in PDF, ePub and Kindle
This paper aims at examining the relationship between stock market prices (Nifty 50) India & macroeconomic variables (Exchange rate, Foreign Institutional Investment and Crude oil prices) for the period 2007-08 Q1 to 2017-18 Q3. In order to achieve the objectives of the study, the researchers employed Granger Causality, multiple regression and Johansen's Cointegration test. The results confirmed that there is a unidirectional relationship between crude oil prices and stock prices. Further the study confirms that FII and Oil prices are individually capable of influencing stock prices. Johansen's Cointegration test exhibits the absence of long run relationship between stock prices and macroeconomic variables (Exchange Rate and Oil prices). However, the findings put forth by the present study affirmed that Foreign Institutional Investment and Oil prices are capable of individually influencing Stock prices of Nifty 50. The null hypothesis of regression model, that is, macroeconomic variables have no impact on stock prices has been rejected because the f-statistic shows that the macroeconomic variables have statistically significant relationship with stock prices (Nifty 50).
| Author | : Taibo Mu |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download A Study on Dynamic Relationship Between Macroeconomic Variables and Stock Markets in the United States, Germany, and Hong Kong Book in PDF, ePub and Kindle
This empirical study investigates the relationship between selected macroeconomic variables and the stock markets in the US, Germany, and Hong Kong. The seven chosen macroeconomic variables are interest rate, inflation, oil price, unemployment rate, industrial production index, money supply, and exchange rate. In this study, Pearson's correlation, unit root tests, Granger causality test, Johansen cointegration test, and regression model are used to identify how these macroeconomic variables impact on S&P500 in the United States, DAX 30 in Germany, and Hang Seng Index in Hong Kong with the monthly series for a period of 18 years from July 1997 to July 2015. The empirical results show that there are short-term causal relationships and long-term equilibrium relationships between macroeconomic variables and the stock markets in these three countries.
