Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan

2019 ◽  
Vol 62 ◽  
pp. 154-164 ◽  
Author(s):  
Muhammad Akbar ◽  
Farhan Iqbal ◽  
Farzana Noor
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Bayesian Analysis ◽  
Stock Prices ◽  
Gold Price ◽  
Dynamic Linkages

scholarly journals Impact of Macro - Economic Factors on Indian Stock Market- A Research of BSE Sectoral Indices

2019 ◽  
Vol 8 (2S7) ◽  
pp. 597-602
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Stock Prices ◽  
Gold Price ◽  
Oil Price ◽  
Economic Factors ◽  
Crude Oil Price ◽  
The Impact

Macro-Economic factors plays a major role in decision making. Evaluation of macroeconomic environment is required to examine the behaviour of stock prices, which further influences the investor’s investment behaviour. Even though some macro-economic factors are not directly related to the company or industry, but those factors has an impact on stock prices, further economic activity in the domestic and global level has its own impact on stock market. When economy of the country grows hastily, it leads to faster growth in the industry and vice versa. Financial market plays a central role in the performance of financial system of an economy. Stock market is a market where securities of listed companies are exchanged between different investors, it is very responsive market which, gives a stage to investors to invest their money in various securities. Market indices are the tools to measure the performance of various securities of stock market and Investors make use of those market indices to analyse performance of those industries in which, they prefer to invest. This study takes into account six macro-economic factors (Crude oil Price, Gold Price, Silver Price, Exchange Rate, Inflation and Interest Rate) to study & analyse the impact of these variables on selected sectoral indices at BSE, SENSEX, S&P BSE BANKEX, S&P BSE Oil and Gas, S&P BSE Capital Goods, S&P BSE Consumer Durables, S&P BSE Reality, S&P BSE PSU and S&P BSE Power. The study shows that gold price, exchange rate, consumer price index and interest rate are positively correlated with four indices but crude oil price and silver price have positively correlated with 3 indices. So from the result it is clear that investor need to take of all the variables for their investment decision and the investment banker also take care of these indicators before giving suggestion to their clients

scholarly journals PENGARUH SUKU BUNGA, KURS, TINGKAT INFLASI, HARGA MINYAK DUNIA, DAN HARGA EMAS DUNIA TERHADAP HARGA SAHAM PADA INDEKS KOMPAS 100

2018 ◽  
Author(s):  
BAMBANG SUPENO ◽  
Dwiana Indah Lestari ◽  
Achmad Tavip Junaedi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Prices ◽  
Stock Price ◽  
Inflation Rate ◽  
Descriptive Analysis ◽  
Oil Prices ◽  
Gold Price ◽  
Coefficient Of Determination ◽  
The World

This research aims to influence of interest rate, exchange rate, inflation, oil world, and the world gold price on stock price at kompas100 index. The location of this study conducted in Indonesia. While a study conducted in 2013 to 2015.The data source of this research is Kompas100 index, interest rate Bank Indonesia, the rupiah against the US dollar and the inflation rate. With 36 observations as samples. Data analysis techniques in the form of descriptive analysis, classic assumption test (test for normality, autocorrelation test, multicoloniarity test, heteroskedasitas test), as well as test hypothesis namely t test (partially), F test (simultaneous test) and test the coefficient of determination).The results of this study partially; BI rate, exchange rate, inflation rate, and the price of gold has no influence on the stock price at Kompas100 index. Partially compass world oil prices influence the price of stock in the Kompas100 index. And simultaneously BI rate, exchange rates, inflation rates, oil prices world and the world gold price have a significantly influence on stock prices in the Kompas100 index

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals ANALYSIS OF THE INFLUENCE OF INTEREST RATE, EXCHANGE VALUE, WORLD GOLD PRICES, DOW JONES INDEX, AEX INDEX, DAX INDEX, AND SHANGHAI INDEX ON LQ45 INDEX IN INDONESIA STOCK EXCHANGE 2012 – 2018

2021 ◽  
Vol 7 (2) ◽  
pp. 135
Author(s):  
Andini Nurwulandari ◽  
Hasanudin Hasanudin ◽  
Ari Jatmiko Setiyo Budi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Exchange ◽  
Negative Influence ◽  
Positive Influence ◽  
Gold Price ◽  
Jones Index ◽  
Exchange Value ◽  
The Interest Rate ◽  
Significant Positive Influence

<p><em>This research aims to find out the influence of interest rate, exchange rate, world gold price, Dow Jones Index, AEX Index, DAX Index, and Shanghai Index on the LQ45 Index at the Indonesia Stock Exchange from 2012 through 2018 using the ARCH/GARCH model as the method of analysis.  The result of the test shows that the exchange rate had a significant negative influence, Dow Jones Index, AEX Index, and DAX Index had a significant positive influence on the LQ45 index, while the interest rate and world gold price had a non-significant negative influence and the Shanghai Index had a non-significant positive influence on the LQ45 index.</em></p>

Stock prices, exchange rate and interest rate: evidence beyond symmetry

2017 ◽  
Vol 9 (1) ◽  
pp. 2-19 ◽  
Author(s):  
Taufeeq Ajaz ◽  
Md Zulquar Nain ◽  
Bandi Kamaiah ◽  
Naresh Kumar Sharma
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Prices ◽  
Asset Price ◽  
Asymmetric Reaction ◽  
Monetary Policies ◽  
Content Type ◽  
Financial Variables ◽  
Distributed Lag ◽  
Indian Context

Purpose This paper aims to examine the dynamic interactions between monetary and financial variables in the Indian context. Design/methodology/approach In this paper, the authors have applied a recently developed asymmetric autoregressive distributed lag (ARDL) model by Shin et al. (2014), for detecting nonlinearities focusing on the long-run and short-run asymmetries among economic variables. Findings The results point toward the presence of asymmetric reaction of stock prices to changes in interest rate and exchange rate in full sample, as well as in pre-crisis. However, no asymmetry was found in the post-crisis period. The results further suggest that tight monetary policies appear to retard the stock prices, more than easy monetary policies that stimulate them. Practical implications The findings of the study can be helpful in understanding the policy transmission mechanism through asset price channel. Originality/value To the best of the authors’ knowledge, this is the first study that examines the interactions between monetary and financial variables in the Indian context in an asymmetric framework. The findings of this study are quite interesting and are different from several existing studies in the literature.

The Effect of Macroeconomic Conditions on the Performance of Vietnamese Stock Market

2021 ◽  
Vol 8 (12) ◽  
pp. 73-82
Author(s):  
Hien-Ly Pham ◽  
Ching-Chung Lin ◽  
Shih-Ju Chan
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Global Supply Chain ◽  
Gold Price ◽  
Monthly Data ◽  
Macroeconomic Conditions ◽  
The Impact

Vietnam plays an important role in the global supply chain. As one of important emerging markets, many studies have focused on Vietnam-related issues. Vietnam established two stock markets in 2000s. The market performance becomes one of interesting issues to explore. This study is to investigate the impact of macroeconomic variables, including inflation rate, exchange rate, interest rate, imports, exports, and gold price, on Ho Chi Minh stock market. The study period is from July 2000 to October 2014. Using the monthly data collected from Vietnam General Statistic Office, IMF International Financial Statistics, and Ho Chi Minh stock exchange, the empirical findings of our regression model show that there exists a positive relationship for imports and gold price, while the relationships for exchange rate and interest rate are negative. No significant relationship has been found for the variables of inflation rate and exports.

scholarly journals Pengaruh Kurs, Suku Bunga, dan Dividen Pershare Terhadap Harga Saham Pada Sektor Perbankan yang Terdaftar di Bursa Efek Indonesia Tahun 2013– 2017

2018 ◽  
Vol 10 (1) ◽  
pp. 21-33
Author(s):  
Atika Riziqyani ◽  
Gunistiyo ◽  
Niken Wahyu C
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Interest Rate ◽  
Linear Regression ◽  
Stock Prices ◽  
Stock Price ◽  
Banking Sector ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Share Price

The effect of exchange rate, interest rate and dividend of share price on banking sector which is listed in Indonesia Stock Exchange year 2013-2017. Essay. Tegal: Faculty of Economics and Business Universitas Pancasakti Tegal,2018. The purpose of this study is to determine the ability of investors in considering stock prices in the banking sector in 2013-2017. Hypothesis in this research is 1) exchange rate effect on stock price. 2) interest rates affect the stock price. 3) dividend pershare effect on stock price. 4) exchange rate, interest rate and dividend pershare simultaneously affect the stock price. The population used in this study is a banking company that publishes stock prices listed on the Indonesia Stock Exchange in 2013-2017. The sample in this research are 21 banking companies. With technique of sampling using purposive sampling. The data in this research is quantitative data. Sources of data in this study are secondary sources obtained from the share price of an annual banking company published in Indonesia Stock Exchange period 2013-2017. Data collection techniques using documentation techniques. Data analysis method using descriptive statistic, classical assumption test, simple linear regression analysis, multiple linear regression analysis and coefficient of determination, then obtained the result of research that the exchange rate does not have a significant effect on stock prices, the interest rate does not significantly influence the stock price, against stock price, exchange rate, interest rate and dividend pershare have significant effect to stock price.

scholarly journals Macroeconomic Influence on the Nepalese Stock Market

2019 ◽  
Vol 31 (1) ◽  
pp. 47-64
Author(s):  
Mukti Bahadur Khatri
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Prices ◽  
Economic Activity ◽  
Direct Investment ◽  
Negative Relationship ◽  
Short Run

This study examines the dynamic relationship among the stock market and macroeconomic factors such as nominal domestic variables (inflation, money supply, and interest rate), real economic activity (gross domestic product) and foreign variable (exchange rate and foreign direct investment) of Nepal. It has used Johansen and Juselius (1990) method of multivariate cointegration for the period Mid-July 1994 to Mid-July 2015. The finding of this study shows that the stock prices are positively and significantly related to money supply. Real economic activity and interest rate have insignificant and negative relationship with the stock prices. Similarly, foreign direct investment, inflation (CPI) and exchange rate with US dollar have a positive and insignificant relationship with the Nepalese stock market. Accordingly, the VEC estimates suggest that there is no significant effect of macroeconomic variables to the Nepalese stock price in the short run. In general, the presence of cointegration and causality suggest that Nepalese stock market is not efficient in both the short run and the long run.

Sign in / Sign up

Export Citation Format

Share Document