The Relationship of Monetary and Fiscal Policy Credibility with the Stock Market Volatility in a Developing Country

2021 ◽  
pp. 097215092098251
Author(s):  
Vinícius Medeiros Magnani ◽  
Antonio Daniel Ricardo Caluz ◽  
Rafael Confetti Gatsios ◽  
Fabiano Guasti Lima
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Economic Agents ◽  
Market Index ◽  
Monetary And Fiscal Policy ◽  
Relationship Of ◽  
The Relationship

The present study aims to analyse the relationship between fiscal and monetary credibility and the volatility of the Brazilian stock market index, Ibovespa. The results demonstrate that the greater the credibility of the target imposed by the Brazilian Central Bank, the more predictable and stable are the macroeconomic variables and the greater the confidence of economic agents in the Brazilian stock market. We can conclude that the greater the fiscal and monetary credibility, the better is the performance of the stock market.

scholarly journals Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2011 ◽  
Vol 7 (3) ◽  
Author(s):  
Robert D. Gay, Jr.
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies. However, what is the relationship between share prices and economic activity in emerging economies? The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model. Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research. Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

scholarly journals A Study on Affiliation between Indian Stock Market and Macro Economic Variables

2018 ◽  
Vol 5 (01) ◽  
Author(s):  
Pooja Chaturvedi Sharma
Keyword(s):  
Stock Market ◽  
Inflation Rate ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Complex Interplay ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Causality Tests ◽  
Indian Stock Market

Stock market volatility is a result of complex interplay of a host of factors. Hence, it is difficult to make a correct assessment of its movement. Macroeconomic variables have are very much influential in context of the volatility of stock market. This study inspects the association amongst stock market index and selected macroeconomic variables. For the analysis unit root, co-integration, Granger causality tests and Johansen co-integration tests were performed. Outcomes of the study showed that all the variables namely money supply, exchange rate and inflation rate are positively correlated with the stock market index except gold prices. Co-integration existed between the stock market index and macroeconomic variables. The study uses monthly data of past ten years (i.e. from April 2008 to March 2018).

scholarly journals Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2016 ◽  
Vol 15 (3) ◽  
pp. 119-126 ◽  
Author(s):  
Robert D. Gay
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies.  However, what is the relationship between share prices and economic activity in emerging economies?  The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model.  Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research.  Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

scholarly journals The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

2019 ◽  
Vol 12 (4) ◽  
pp. 50
Author(s):  
Raed Walid Al-Smadi ◽  
Muthana Mohammad Omoush
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

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