scholarly journals The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

2016 ◽  
Vol 64 (6) ◽  
pp. 2015-2024 ◽  
Author(s):  
Marie Ligocká ◽  
Tomáš Pražák ◽  
Daniel Stavárek
Keyword(s):  
Interest Rate ◽  
Real Estate ◽  
Stock Prices ◽  
Causality Test ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Macroeconomic Fundamentals ◽  
Short Run ◽  
Long Run Equilibrium

Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 – 2014 we revealed a long‑run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short‑run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.

scholarly journals Macroeconomic Variables and Stock Returns Revisited

2020 ◽  
Vol 03 (10) ◽  
Author(s):  
Feifei Wang ◽  
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Explanatory Power ◽  
Macroeconomic Factors ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
The Real ◽  
Vector Error ◽  
Long Run ◽  
Short Run

I revisit the relation between macroeconomic activities and stock prices by selecting the most important macroeconomic variables that are appropriate for analyzing their impact on stock returns. Using vector autogressive models (VAR), combined with co integration analysis and the vector error correction model (VECM) I estimate the explanatory power of each macroeconomic variable on the variations of the stock prices and distinguish the short-run from long-run movements among all key macroeconomic variables. I find that (1) in the short-run macroeconomic variables do not appear help explain changes in stock returns, (2) in the long-run the real interest rate and industrial production are the most important macroeconomic factors, and (3) in the long-term the real economic activity and stock returns Granger-cause each other.

scholarly journals The Impact of Macroeconomic Variables on Stock Prices in Kuwait

2019 ◽  
Vol 14 (6) ◽  
pp. 99 ◽  
Author(s):  
Ahmad M. Al-Kandari ◽  
Sadeq J. Abul
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Oil Prices ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run ◽  
Johansen Cointegration Test ◽  
The Impact

The Kuwaiti Stock Exchange was established in April 1977 and is among the oldest stock exchanges in the GCC countries. This study aims to add new evidence about the impact of macroeconomic factors on the Kuwaiti Stock Exchange. It examines empirically the dynamic relationship between the Kuwaiti Stock Exchange Index and the main macroeconomic variables. These variables included M2, the three-month deposit interest rate, oil prices, the US Dollar vs Kuwaiti Dinar exchange rate and the inflation rate. By applying the Johansen cointegration test, together with the Var Error Correction Model (VECM), the study found that there a long-run unidirectional relationship exists between the Kuwaiti Stock Exchange Index and the aforementioned macroeconomic variables. This study also confirmed the existence of a short-run relationship between oil prices and stock prices in Kuwait.

scholarly journals The Relationship Between Stock Market Development and Macroeconomic Fundamentals in the Visegrad Group

2017 ◽  
Vol 20 (3) ◽  
pp. 5-23 ◽  
Author(s):  
Tomáš Pražák ◽  
Daniel Stavárek
Keyword(s):  
Stock Prices ◽  
Negative Impact ◽  
Stock Exchange ◽  
Macroeconomic Factors ◽  
Stock Market Development ◽  
Long Run ◽  
Macroeconomic Fundamentals ◽  
Warsaw Stock Exchange ◽  
Short Run

This study examines the effect of specific macroeconomic factors on the stock prices of selected financial sector companies listed on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange). We investigate the nature of the causal relationships between macroeconomic factors and stock prices. The long‑term causality, tested using the Johansen cointegration test, and the short‑run dynamics between the variables, examined using the VECM model, are explored using quarterly data from the 2005–2014 period. The short‑term causality shows the possibility of time series fluctuations; however a steady state should be achieved in the long‑term. In general, we confirmed that macroeconomic fundamentals had a negative impact on stock prices. The interest rate, which also has a negative im­pact, is the most prominent predictor of the long‑run developments. We also found very rare examples of macroeconomic variables that explain changes in stock prices within the VECM framework.

A Sectoral Analysis of the Role of Stock Market Development on Economic Growth: Empirical Evidence from Indian Economy

2017 ◽  
Vol 18 (4) ◽  
pp. 911-923 ◽  
Author(s):  
Madhu Sehrawat ◽  
A.K. Giri
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Trade Openness ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run

The present study examines the relationship between Indian stock market and economic growth from a sectoral perspective using quarterly time-series data from 2003:Q4 to 2014:Q4. The results of the autoregressive distributed lag (ARDL) approach bounds test confirm the existence of a cointegrating relationship between sector-specific gross domestic product (GDP) and sector-specific stock indices. The empirical results reveal that sector-specific economic growth are significantly influenced by changes in the respective sector-specific stock price indices in the long run as well as in the short run. Apart from that, the control variables, such as trade openness and inflation, act as the instrument variables in explaining the variations in the sector-specific GDP of the economy. The results of Granger causality test demonstrate unidirectional long-run as well as short-run causality running from sector specific stock prices to respective sector GDP. The findings suggest that economic growth of the country is sensitive to respective sub-sector stock market investments. The findings highlight the reasons for cyclical and counter-cyclical business phase for the overall economy.

Rupee-Dollar Exchange Rate and Macroeconomic Fundamentals: An Empirical Analysis Using Flexible-Price Monetary Model

2011 ◽  
Vol 12 (2) ◽  
pp. 88-105
Author(s):  
C S Shylajan ◽  
Sreejesh S ◽  
Suresh K G
Keyword(s):  
Exchange Rate ◽  
Monetary Model ◽  
Macroeconomic Variables ◽  
Indian Context ◽  
Long Run ◽  
Macroeconomic Fundamentals ◽  
Short Run ◽  
Us Dollar ◽  
Casual Relationship ◽  
Test Result

This paper empirically investigates the link between Indian rupee-US dollar exchange rates and a set of macroeconomic fundamentals using flexible-price monetary model (FPMM) for the period 1996 M1 to 2010 M12. The Johanson-Juselius cointegration test result indicates the existence of long run relationship between exchange rate and the macroeconomic variables, implying the validity of FPMM model in Indian context even though there is no short run casual relationship exist in the VECM analysis.

scholarly journals The Impact of Macroeconomic Factors on US Islamic and Conventional Equity

2019 ◽  
Vol 32 (2) ◽  
pp. 43-58
Author(s):  
Mazhar Hallak Kantakji Mazhar Hallak Kantakji
Keyword(s):  
Interest Rate ◽  
Industrial Production ◽  
Stock Index ◽  
Screening Process ◽  
Macroeconomic Factors ◽  
Long Run ◽  
The Us ◽  
Endogenous Variables ◽  
Short Run ◽  
The Impact

This study explores the influence of economic fundamentals on both Islamic and conventional equity in the US stock market by applying various methods of time series techniques focusing on the period from January 1996 to September 2013. The empirical results show that the exogenous variables are industrial production (IP), interest rate (T3), and consumer production index (CPI); whereas Islamic stock index (IS), conventional stock index (CS), and money supply (M2) are endogenous variables. When IP, T3, or CPI receives a shock, it will deviate from the equilibrium and will transmit the shock to other variables whereas if IS, CS, or M2 undergoes a shock, the long-run combination will correct it through the short-run adjustment to the equilibrium. The empirical findings also reveal a higher impact of industrial production and lower impact of interest rate on Islamic equity, as compared to conventional equity. Our results are consistent with the theory that Islamic finance, due to its effective Sharīʿah screening process, is more prevalent in the real economic sector and less associated with interest-based activities.

scholarly journals The impact of Indonesian oil price (CPI) and macroeconomics on investments in the manufacturing sector in Indonesia

F1000Research ◽  
2021 ◽  
Vol 10 ◽  
pp. 338
Author(s):  
Handri Handri ◽  
Hendrati Dwi Mulyaningsih ◽  
Achmad Kemal Hidayat ◽  
Rudi Kurniawan ◽  
Ani Wahyu Rachmawati
Keyword(s):  
Energy Source ◽  
Stock Prices ◽  
Manufacturing Sector ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Impact

Background: Indonesia consumes oil as the main energy source in the production process and as a result of the development of the manufacturing industry. Thus, investment in manufacturing stocks will be affected by oil price fluctuations and macroeconomic conditions. Changes in oil prices will affect the performance of the manufacturing sector which in turn affects manufacturing stock prices. This paper aims to examine the impact of Indonesia's oil price shocks and macroeconomic factors on stock price movements in the manufacturing sector. Methods: This study uses monthly data for the 2009-2016 period in the manufacturing sector, and 67 stocks were selected on the basis consistently available in the period of the research. The cointegration and causality technique was used in this paper; firstly we applied a unit-panel root test, Secondly, we performed a residual test to indicate whether there was cointegration among variables in the long run equilibrium, and short the short run, we used a Granger causality test. Results: The panel unit root test (both Shin and Fisher) and the Pedroni cointegration residual test show that the data is stationary at 1%  level of significance, thus all variables simultaneously achieve long-run equilibrium, and in the short run, the Granger causality test shows that there is one way direction causality Conclusions: For long-term investment in manufacturing stocks, investors must consider the exchange rate, as it is also as a determining factor in influencing the movement of manufacturing stock prices, inflation, and the production index. Meanwhile, weakening of the rupiah in the short run will also determine investment conditions due to the dependency on raw materials for production from foreign sources. The price of oil as an energy source in the manufacturing sector does not have a long-term relationship with other variables.

scholarly journals ANALISIS KEBIJAKAN MONETER DALAM MENGENDALIKAN INFLASI DI INDONESIA

2012 ◽  
Vol 1 (2) ◽  
pp. 103
Author(s):  
Suriani Suriani
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Unit Root Test ◽  
Good Choice ◽  
Causality Test ◽  
Long Run ◽  
Short Run

The objective of this research is to analize the effects of the variables interest rate, and exchange as one of monetary mecanisme for controlling inflation. The correlation among those variables is cointgration in the long run and short run equilibrium analyzed. In Indonesia, the monetary policy is run by monetary instruments (i.e. interest rates or monetary aggregates) to achieve price stability. This research used Unit Root Test , Cointegration Test, Granger causality and VECM (Vector Error Correction Model) Test. The results of estimation showed that have cointegration among interest rate, exchange rate and inflation in the long run. Granger causality test showed that between inflation and interest rate have no causality relationship, but for inflation and exchange rate have two directions relationship of causality. It’s means, monetary of mecanisme transmition through exchange rate channel can be good choice in making monetary policy to control inflation in Indonesia.

THE CAUSAL RELATIONSHIP BETWEEN INSURANCE AND ECONOMIC GROWTH IN NIGERIA (1986-2010)

2012 ◽  
Vol 02 (12) ◽  
pp. 49-57
Author(s):  
TAIWO AKINLO
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Causal Relationship ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run

This study examined the causal relationship between insurance and economic growth in Nigeria over the period 1986-2010. The Vector Error Correction model (VECM) was adopted. The cointegration test shows that GDP, premium, inflation and interest rate are cointegrated when GDP is the edogeneous variable. The granger causality test reveals that there is no causality between economic growth and premium in short run while premum, inflation and interest rate Granger cause GDP in the long run which means there is unidirectional causality running from premium, inflation and interest rate to GDP. This means insurance contributes to economic growth in Nigeria as they provide the necessary long-term fund for investment and absolving risks.

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