scholarly journals Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index

2015 ◽  
Vol 1 (1) ◽  
pp. 071 ◽  
Author(s):  
Muhammad Rizky Prima Sakti ◽  
MD. Yousuf Harun
Keyword(s):  
Stock Prices ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Policy Instruments ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Variance Decompositions ◽  
The Relationship

This paper attempts to analyze the relationship between Jakarta Stock Exchange Islamic Index (JII) and selected macroeconomic variables namely exchange rate, industrial production, inflation rate, and money supply. We used monthly data from January 2000 toDecember 2010.The methodology used in this paper is time series techniques of co-integration and vector autoregression (VAR). In the analysis, we rely on variance decompositions and impulse-response functions to capture the strength of interactions among variables. The results revealed that there is co-integration between Islamic stock prices and macroeconomic variables. Specifically, Indonesian Islamic stock market are driven more by domestic factors. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize Islamic stock prices.

scholarly journals Does Public Debt Moderate the Effect of Inflation Rate on Securities Market Returns in Kenya?

2018 ◽  
Vol 6 (12) ◽  
Author(s):  
David John Kapchanga ◽  
Poti Abaja Owili ◽  
Samuel Owino Onyuma
Keyword(s):  
Public Debt ◽  
Stock Prices ◽  
Inflation Rate ◽  
Securities Market ◽  
Market Returns ◽  
Monthly Data ◽  
Exponential Increase ◽  
Negative Effect ◽  
Investment Portfolios ◽  
The Relationship

While in the last one two decades, Kenya has witnessed increasing levels of public borrowing, both domestic and foreign, economic growth has slowed down and the performance of the securities market has been subdued with falling stock prices. This has prompted stock investors to review and/or realign their investment portfolios. While the inflation rate has been drastically fluctuating, public debt – which is strongly inflationary – has had an exponential increase of about 461 percent between 2008 and 2018. Although Kenya’s level of public debt is approaching unsustainable levels, massive borrowing still continues. Using secondary monthly data obtained from government and securities market databases, this paper analyzed whether public debt moderates the relationship between inflation rate and securities market returns at the Nairobi Securities Exchange. Time series multiple linear regression results show that whereas inflation rate has a statistically significant negative effect on securities market returns, public debt had an insignificant negative effect on securities market returns. More importantly, public debt does not statistically affect the relationship between inflation rate and the securities market in Kenya. Putting in place strategies aimed at reducing inflation as well as public debt can however have the effect of improving securities market performance.

scholarly journals HE IMPACT OF INFLATION, CERTIFICATE OF BANK INDONESIA, AND EXCHANGE RATE OF IDR/USD ON THE INDONESIA COMPOSITE STOCK PRICE INDEX

2017 ◽  
Vol 1 (1) ◽  
pp. 42
Author(s):  
Margarita Ekadjaja ◽  
Daisy Dianasari
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Research Population ◽  
Stock Price Index

This research is done with the aim to know whether some macroeconomic variables, which are inflation rate, certificate of Bank Indonesia (SBI) rate, and exchange rate of IDR/USD have an impact on the movement of the composite stock price index (IHSG) at the Indonesia stock exchange (BEI) partially and simultaneously in the period of 2006–2014. The research population is inflation rate, SBI rate, and exchange rate of IDR/USD. Data analysis in this research is multiple regression by using time series monthly data of 2006–2014. Research results show that partially inflation rate gives positive significant impact on IHSG, SBI rate has negative significant impact on IHSG, and exchange rate of IDR/USD has positive significant impact on IHSG.  Simultaneously it shows that inflation, SBI rate, and exchange rate of IDR/USD have an impact on IHSG at BEI to the period of year 2006 – 2014.  Those variables affect IHSG by 58,74%, while other variables affect IHSG by 41,26%.  That information can be used by investors to make decision on their investment.Keywords: inflation, SBI, exchange rate, IHSG, BEI.

scholarly journals Nexus between Volatility of Stocks and Macroeconomic Factors during Global Financial Crisis: Evidence from Conventional & Islamic Stocks

2020 ◽  
Vol 6 (2) ◽  
pp. 465-473
Author(s):  
Majid Imdad Khan ◽  
Waheed Akhter ◽  
Muhammad Usman Bhutta
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Industrial Production ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Oil Prices ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
The Relationship

Purpose: The study explores the relationship between the volatility of stock return of markets (Islamic & conventional) and macroeconomic factors by using GARCH in Mean (1,1) model during global financial crisis. Design/Methodology/Approach: monthly data for the period from 04 Jan, 2005 to 31st Dec, 2015. The Islamic stock markets (Dow Jones Islamic Market Malaysia (DJIM), Dow Jones Islamic Market Indonesia (DJII) & Dow Jones world Islamic Index (DJWI)-Benchmark), Conventional stock markets (Shanghai Stock Exchange (SSE),Bombay Stock Exchange (BSE) & Pakistan Stock Exchange (PSE) and Macroeconomic factors (Inflation, Interest Rate, Oil prices and Industrial Production) are taken into consideration. Findings: The results explored that inflation rate influenced the returns of conventional stock markets than Islamic stock markets. Moreover, the volatility components for macroeconomic factors i.e. inflation, interest rate and oil prices are more volatile but larger to industrial production during global financial crisis. Implications/Originality/Value: However, the frequency of market volatility for Islamic stock market is lower than conventional stock markets that mean that the investment in Islamic stock markets seems to be safe flight than conventional stock markets during global financial crisis.

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 MACROECONOMIC VARIABLES AND VOLUME OF TRANSACTIONS ON TEHRAN STOCK EXCHANGE

2021 ◽  
Vol 33 (2) ◽  
pp. 163-173
Author(s):  
Farzaneh Haghighat Nia ◽  
Naser Shams Gharneh
Keyword(s):  
Exchange Rate ◽  
Least Squares ◽  
Analytical Method ◽  
Inflation Rate ◽  
Least Squares Method ◽  
Stock Exchange ◽  
Ordinary Least Squares ◽  
Macroeconomic Variables ◽  
The Relationship ◽  
Ordinary Least Squares Method

This paper examines the relationship between the volume of transactions and macroeconomic variables on the Tehran Stock Exchange. We are collect data for variables such as liquidity, inflation, exchange rate, the total value of imports and GDP for ten years period of 2009-2019. For analysis of data, have been used regression analytical method and ordinary least squares method (OLS) model. The results indicate that there are relationships between the macroeconomic variables of liquidity, inflation rate, and GDP with the volume of transactions. Therefore, the relationship between the volume of transactions with liquidity and GDP is positive and significant and with inflation is negative.

scholarly journals Capital Market And The Transmission Channel Of The Monetary Policy: An Empirical Evidence On The Money View

2010 ◽  
Vol 9 (9) ◽  
Author(s):  
Caroline Geetha
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Monetary Transmission ◽  
Kuala Lumpur ◽  
Monthly Bulletin ◽  
Monthly Data ◽  
Long Run ◽  
Short Run ◽  
The Relationship

The aim of this study is to find the relationship between the monetary transmission channels with the stock prices.  The study utilizes the monthly data from 1990 to 2001 obtained from the Kuala Lumpur Stock Exchange Report and the monthly bulletin of the Central Bank of Malaysia.  The result revealed that all the variables are non-stationary at the level form and stationary at the first difference.  The Johansen Cointegration revealed that a long-run relationship does exist for the unanticipated changes in money supply, unlike the anticipated changes in money supply that only established a short-run relationship with stock prices.  This is due to the level of monetization that is unable to eliminate the excess in the money market in the long run. 

scholarly journals An analysis of the South African FTSE/JSE all-share index and the macroeconomic variables during the period 2002 to 2010

2011 ◽  
Vol 8 (2) ◽  
pp. 322-333 ◽  
Author(s):  
Raphael Tabani Mpofu
Keyword(s):  
South African ◽  
Stock Prices ◽  
Data Series ◽  
The South ◽  
Actual Performance ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
The Us ◽  
Portfolio Managers ◽  
The Relationship

This article looks at the relationship between the monthly data series of the FTSE/JSE all-share index and macroeconomic variables in South Africa for the period 2002 to 2010. While the use of aggregate indices can be misleading when interpreting the actual performance of companies, there is a need for investors and portfolio managers to understand the dynamics of stock prices. The macroeconomic variables used in the study are the manufacturing and mining indices, JSE total return, prime overdraft rate, the exchange rates between the South African rand and the US dollar and the rate of inflation. The findings suggest that the FTSE/JSE index’s correlation with the macroeconomic variables studied is statistically significant, a finding similar to studies done in other countries. It was also found that the mining index, a unique index to mining countries, had a non-significant positive correlation with the FTSE/JSE index.

scholarly journals Macroeconomic impacts of global food price shocks on the economy of Turkey

2018 ◽  
Vol 64 (No. 11) ◽  
pp. 517-525
Author(s):  
Ayhan KAPUSUZOGLU ◽  
Xi LIANG ◽  
Nildag Basak CEYLAN
Keyword(s):  
Food Prices ◽  
Food Price ◽  
Impulse Response Functions ◽  
Price Shocks ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
Svar Model ◽  
The Impact

The purpose of this study is to examine the impact of food prices on the macroeconomic variables of Turkey. The effects are investigated using monthly data for the period January 1980–January 2016. A structural vector autoregressive (SVAR) model is employed for the analysis. Impulse response functions are obtained to assess the impact of food price shocks on the macroeconomic variables of Turkey. To this end, SVAR model is employed as suggested by Cushman and Zha (1997). The impulse responses gathered suggest that the food price causes Turkish Lira (TRY) to appreciate and inflation to increase contemporaneously. This study provides an important contribution to the literature in terms of determining the factors and presenting the measures to be taken against these factors for Turkey which is a developing country and sensitive to macroeconomic factors.

scholarly journals Impacts of Macroeconomy on Stock Market: Evidence from Pakistan

2014 ◽  
Vol 3 (3) ◽  
pp. 140-146
Author(s):  
Farid Ullah ◽  
Ijaz Hussain ◽  
Abdur Rauf
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Negative Association ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Long Span ◽  
Long Run

Stock market is a place where the securities of listed companies are traded and this can be affected by both macroeconomic and non-macroeconomic factors. The impacts of macroeconomic factors on stock market of Pakistan are investigated in the current study. For this purpose monthly data covering the period from January 2008 to December 2012 is used in this study while taking the three most important macroeconomic variables, Exchange Rate, Interest Rate and Inflation. Using the more advance Bound Testing Approach, a very strong long run cointegration is found amongst the variables taken for the study. In the long span of time, the results suggest that both Exchange Rate and Interest Rate have negative association with stock market of Pakistan while the Inflation Rate does not create such a condition that affect the stock market of Pakistan. Same results are found for the shorter version of time.

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