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| Author | : Dennis Sauert |
| Publisher | : GRIN Verlag |
| Total Pages | : 29 |
| Release | : 2010-10 |
| Genre | : Business & Economics |
| ISBN | : 3640720652 |
Download Do MacRoeconomic Variables Have an Effect on the Us Stock Market? Book in PDF, ePub and Kindle
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.
| Author | : Mark Gertler |
| Publisher | : |
| Total Pages | : |
| Release | : 1980 |
| Genre | : |
| ISBN | : |
Download Macroeconomic Variables and Common Stock Returns Book in PDF, ePub and Kindle
| 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 | : Dennis Sauert |
| Publisher | : GRIN Verlag |
| Total Pages | : 27 |
| Release | : 2010-10-12 |
| Genre | : Business & Economics |
| ISBN | : 3640720210 |
Download Do Macroeconomic Variables have an Effect on the US Stock Market? Book in PDF, ePub and Kindle
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.
| Author | : Sophia Chen |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2016-12-23 |
| Genre | : Business & Economics |
| ISBN | : 1475563175 |
Download Financial Information and Macroeconomic Forecasts Book in PDF, ePub and Kindle
We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
| Author | : Pooja Lakhanpal |
| Publisher | : Springer Nature |
| Total Pages | : 396 |
| Release | : 2021-05-10 |
| Genre | : Business & Economics |
| ISBN | : 9813369736 |
Download Trade, Investment and Economic Growth Book in PDF, ePub and Kindle
The book contributes to the growing literature pertaining to empirical and policy issues in international trade, foreign capital flows and issues in finance, implications for India and emerging economies related to trade and development interface, and analysis of sector level growth and development in India. Further, the focus is on the policy aspects of these themes and their role in fostering economic development in the context of India and other emerging market economies. The discourse focuses mainly on empirical work and econometric details. The relevant issues are investigated using state of the art techniques such as gravity models, panel co-integration, generalized hyperbolic distributions, SEM, FMOLS and Probit models. In addition, detailed literature survey, discussions on data availability, issues related to statistical estimation techniques and a theoretical background, ensure that each chapter significantly contributes to the ever-growing literature on international trade and capital flows. The readers shall find an engaging dialogue on the crucial role played by policy and the trade-capital flows-growth experience of emerging economies. The book is relevant for those who are interested in contemporary issues in trade, growth and finance as well as for students of advanced econometrics who may benefit from the analytical and econometric exposition. The empirical evidences provided here could serve as ready reference for academicians, researchers and policy makers, particularly in emerging economies facing similar challenges.
| Author | : NADEEM. HUSSAIN SOHAIL (ZAKIR.) |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 0 |
| Release | : 2012-05-08 |
| Genre | : |
| ISBN | : 9783659113185 |
Download The Macroeconomic Variables and Stock Returns Book in PDF, ePub and Kindle
The study explores long run and short run effects of macroeconomic variables i.e. consumer price index, industrial production, real effective exchange rate, money supply, and three months treasury bills rate on four stock indices i.e. KSE100 index, General index, LSE25 index, and ISE10 index relating three stock exchanges namely Karachi Stock Exchange, Lahore Stock Exchange, and Islamabad Stock Exchange in Pakistan. In order to study the long run and short run relationships Johansen cointegation technique and VECM was applied. The results showed that industrial production has long run positive impact on stock returns in all three markets. Exchange rate was positively affecting all indices except ISE10 index. Inflation was positively related with stock returns at Karachi Stock market, while it was negatively related with rest of the two markets. The money supply affected stock returns negatively, while treasury bills rate had mixed effect. The VECM analysis depicted that it takes more than four months, nine months, five months, and two months for the adjustment of disequilibrium of the previous period in case of KSE100 index, General Index, LSE25 index and ISE10 index respectively.
| Author | : Eben Otuteye |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 1989 |
| Genre | : |
| ISBN | : |
Download Macroeconomic Variables and Common Stock Returns Book in PDF, ePub and Kindle
| Author | : Nisha Nabila |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 88 |
| Release | : 2015-12-03 |
| Genre | : |
| ISBN | : 9783659812521 |
Download Sensitivity Analysis of Macroeconomic Variables and Stock Returns Book in PDF, ePub and Kindle
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.
| 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.
