scholarly journals Stock Prices and Economic Activity in the Time of Coronavirus

2021 ◽  
Author(s):  
Steven J. Davis ◽  
Dingqian Liu ◽  
Xuguang Simon Sheng
Keyword(s):  
Stock Prices ◽  
Economic Activity

scholarly journals Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Veli Yilanci ◽  
Onder Ozgur ◽  
Muhammed Sehid Gorus
Keyword(s):  
Frequency Domain ◽  
Granger Causality ◽  
Stock Prices ◽  
Economic Activity ◽  
Stock Price ◽  
Predictive Power ◽  
Oecd Countries ◽  
Causality Test ◽  
Asymmetric Shocks ◽  
Panel Granger Causality

AbstractThis study investigates the stock price–economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1–2018:3. For this purpose, the study uses Granger causality in the frequency domain in the panel setting by decomposing the symmetric and asymmetric fluctuations. This methodology determines whether the predictive power of interested variables is concentrated on quickly, moderately, or slowly fluctuating components. Our findings show that the stock prices have predictive power for future long-term economic activity in the panel setting. However, economic activity has more reliable information for stock prices for negative components. Additionally, empirical findings for asymmetric shocks are not fully consistent with those of symmetric ones. Besides, the country-specific results provide different causal linkages across members and frequencies. These findings may provide valuable information for policymakers to design proper and effective policies in OECD countries regarding the stock market and economic activity nexus.

scholarly journals The price of the lockdown: The effects of social distancing on the Indian economy and business during the COVID-19 pandemic

2021 ◽  
Vol 23 (1) ◽  
pp. 85-99
Author(s):  
Hasnan Baber ◽  
Rao Tripati
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Economic Activity ◽  
International Travel ◽  
Business Activity ◽  
Religious Activities ◽  
Social Distancing ◽  
The Exchange Rate ◽  
The Impact

The decision on immediate lockdown in India put economic, social and religious activities to a grinding halt. The paper examines the impact of the lockdown and social distancing policies on economic activities in India, using a multivariate econometric model for the data collected in the period from 1st January to 31st August 2020. While the social distancing policy is captured in terms of internal movement, domestic travel and international travel restrictions, its effect on the economic activity and the business activity is captured through stock prices, purchasing managers' index and the exchange rate. Confirmed COVID-19 cases and related deaths are also used as the independent variables. The results reveal a significant negative impact of social distancing policies on the economic activity and the business activity, the stock market and the exchange rate. Furthermore, the economic stimulus provided by the Government could not bring a positive influence on the stock market.

Growth and returns across countries

2021 ◽  
pp. 78-87
Author(s):  
Jesper Rangvid
Keyword(s):  
Economic Growth ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Economic Activity ◽  
Wide Margin ◽  
The Past ◽  
Long Run ◽  
The Us ◽  
Long Run Risk

This chapter examines the relation between long-run economic growth and returns across countries. Have countries that have experienced high GDP growth historically also experienced high stock returns? The chapter contains three main messages. First, there is no clear tendency that countries that have grown fast in the past are also countries that have delivered high stock returns in the past. Second, as in the US, stock prices have in many countries followed economic activity in the long run. Third, real interest rates relate to economic growth across countries in the long run.Another conclusion emerging from this chapter is that long-run stock returns exceed long-run rates of economic growth and long-run risk-free rates by a wide margin.

scholarly journals An Empirical Analysis of Macroeconomic Variability on the Ghanaian Stock Market: A Vector Autoregression Approach

2016 ◽  
Vol 3 (2) ◽  
pp. 49
Author(s):  
Beverly Acquah
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Prices ◽  
Economic Activity ◽  
Price Index ◽  
Vector Autoregression ◽  
Negative Relationship ◽  
Commodity Prices ◽  
Commodity Price ◽  
Macroeconomic Indicators

This study investigates the dynamic interrelationships among stock prices and selected macroeconomic indicators namely; economic activity, global commodity price index, inflation and interest rates in Ghana. By employing a Vector Autoregression (VAR) Model, the empirical results reveal that stock prices depreciate with an increase in global commodity prices and interest rates indicating a negative relationship. On the other hand, stock prices appreciate with an increase in inflation and economic activity indicating a positive relationship. Examining stock market variability on the selected macroeconomic variables also showed that inflation and interest rates respond negatively to changes in asset prices while the stock market itself is not found to be a leading indicator for economic activity. The evidence suggests that the listed equities on the GSE are a hedge against inflation in Ghana. Increasing economic activity over time is advantageous for the Ghanaian stock market.

Assessing the Macroeconomic Effects of Quantitative Easing: Empirical Evidence from the Federal Reserve’s Experience

2019 ◽  
Vol 67 (3-4) ◽  
pp. 233-245
Author(s):  
Achille Dargaud Fofack ◽  
Ahmet Aker ◽  
Husam Rjoub ◽  
Amin Sokhanvar
Keyword(s):  
Stock Prices ◽  
Economic Activity ◽  
The United States ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Monthly Data ◽  
Svar Model ◽  
The Us ◽  
Us Dollar ◽  
Structural Vector

This article aims at assessing the effects of the Federal Reserve’s quantitative easing (QE) programmes on both economic activity and prices in the United States. Using a structural vector autoregression (SVAR) model on monthly data from January 2007 to March 2017, it is assumed that a substantial fraction of the liquidity injected under the Federal Reserve’s quantitative easing programmes was used to artificially inflate stock prices. Furthermore, QE is assumed to be a competitive devaluation programme. The findings reveal that QE helps support economic activity, while its effect on inflation is rather small and insignificant. Besides, it is also found that QE boosts stock prices but does not have a significant effect on the US dollar.

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.

ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005

2006 ◽  
Vol 02 (01) ◽  
pp. 0650003 ◽  
Author(s):  
STEVEN COOK
Keyword(s):  
Economic Theory ◽  
Structural Change ◽  
Industrial Production ◽  
Stock Prices ◽  
Economic Activity ◽  
Long Span ◽  
Cointegration Tests ◽  
The Us ◽  
Asymmetric Cointegration

The potential cointegrating relationship between stock prices and economic activity suggested by financial and economic theory is examined. It is found that the commonly employed tests of Engle and Granger (1987) and Johansen (1988) fail to detect cointegration between stock prices and industrial production for a long span of US data. In recognition of factors which may result in a failure to detect a genuine cointegrating relationship, the analysis is extended to consider higher-powered cointegration tests, tests which allow for structural change in the cointegrating relationship and tests of asymmetric cointegration. However, despite considering a range of tests, no evidence of cointegration is detected. The results therefore do not support the predictions of financial and economic theory.

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