scholarly journals The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis

2017 ◽  
Vol 12 (1) ◽  
pp. 61-78 ◽  
Author(s):  
A. K. Giri ◽  
Pooja Joshi
Keyword(s):  
Economic Growth ◽  
Crude Oil ◽  
Stock Prices ◽  
Stock Price ◽  
Variance Decomposition ◽  
Oil Price ◽  
Crude Oil Price ◽  
Long Run ◽  
Short Run ◽  
The Impact

AbstractThe purpose of the present study is to examine the long run and the short run relationship between stock price and a set of macroeconomic variables for Indian economy using annual data from 1979 to 2014. The long run relationship is examined by implementing the ARDL bounds testing approach to co-integration. VECM method is used to test the short and long run causality and variance decomposition is used to predict long run exogenous shocks of the variables. The results confirm a long run relationship among the variables. Evidence suggests that Economic growth, inflation and exchange rate influence stock prices positively. However, crude oil price influences the stock price negatively. This implies that the increase in oil price induces inflationary expectation in the mind of investors and hence stock prices are adversely affected. The VECM result indicates that short run and long run unidirectional causality running from economic growth and FDI to stock prices in India. The result of the variance decomposition shows that stock market development in India is mostly explained by its own shocks. The Government can take steps to control the crude oil price in India and Investors’ confidence has to be gained by boosting the economic growth of the economy through appropriate policy tools.

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.

scholarly journals Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-12 ◽  
Author(s):  
Daniel Štifanić ◽  
Jelena Musulin ◽  
Adrijana Miočević ◽  
Sandi Baressi Šegota ◽  
Roman Šubić ◽  
...  
Keyword(s):  
Crude Oil ◽  
Stock Prices ◽  
Short Term Memory ◽  
Oil Price ◽  
Stationary Wavelet Transform ◽  
Crude Oil Price ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory ◽  
The Impact

COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our livelihoods, too. In this research, authors investigate the impact of COVID-19 on the global economy, more specifically, the impact of COVID-19 on the financial movement of Crude Oil price and three US stock indexes: DJI, S&P 500, and NASDAQ Composite. The proposed system for predicting commodity and stock prices integrates the stationary wavelet transform (SWT) and bidirectional long short-term memory (BDLSTM) networks. Firstly, SWT is used to decompose the data into approximation and detail coefficients. After decomposition, data of Crude Oil price and stock market indexes along with COVID-19 confirmed cases were used as input variables for future price movement forecasting. As a result, the proposed system BDLSTM + WT-ADA achieved satisfactory results in terms of five-day Crude Oil price forecast.

scholarly journals Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015)

2016 ◽  
Vol 9 (1) ◽  
pp. 62-80 ◽  
Author(s):  
Waheed Ibrahim
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Terms Of Trade ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Abstract This study investigates the determinants of real effective exchange rate in Nigeria for the period between 1960 and 2015 using the vector error correction mechanism to separate long run from the short run fundamentals. The findings from the regression estimates revealed that; terms of trade, openness of the economy, net capital inflow and total government expenditure were the major long run determinants of real effective exchange rate in the country while variables such as; broad money supply (M2), nominal effective exchange rate, structural adjustment program dummy, June 12 crisis and change to civil rule dummies were revealed as the major short run determinants of exchange rate in Nigeria between 1960 and 2015. The study concludes by recommending that since the major variable of terms of trade (crude oil price) is out of the government control, the effect of shocks due to the fluctuations of crude oil price can be minimized by shifting the economy from a mono-product nation and diversify the economy to increase productive capacity. Also, the change to civil rule dummy used in the study revealed that the system has not been friendly with the country’s real effective exchange rate, thus needing to review the system and bringing out all negative activities there in to ensure Nigeria’s currency appreciation. Guided openness is also suggested to avert the danger that unguided trade liberalization may bring into the country.

scholarly journals Impact of FDI inflow, crude oil prices, and economic growth on CO2 emission in Tunisia: Symmetric and asymmetric analysis through ARDL and NARDL approach

2021 ◽  
Vol 12 (1) ◽  
pp. 1-13
Author(s):  
Tarek Ghazouani
Keyword(s):  
Economic Growth ◽  
Crude Oil ◽  
Carbon Emissions ◽  
Co2 Emission ◽  
Oil Prices ◽  
Oil Price ◽  
Crude Oil Price ◽  
Fdi Inflows ◽  
Crude Oil Prices ◽  
Long Run

This study explores the symmetric and asymmetric impact of real GDP per capita, FDI inflow, and crude oil price on CO2 emission in Tunisia for the 1972–2016 period. Using the cointegration tests, namely ARDL and NARDL bound test, the results show that the variables are associated in a long run relationship. Long run estimates from both approach confirms the validity of ECK hypothesis for Tunisia. Symmetric analysis reveals that economic growth and the price of crude oil adversely affect the environment, in contrast to FDI inflows that reduce CO2 emissions in the long run. Whereas the asymmetric analysis show that increase in crude oil price harm the environment and decrease in crude oil price have positive repercussions on the environment. The causality analysis suggests that a bilateral link exists between economic growth and carbon emissions and a one-way causality ranges from FDI inflows and crude oil prices to carbon emissions. Thus, some policy recommendations have been formulated to help Tunisia reduce carbon emissions and support economic development.

scholarly journals Crude oil, natural gas, and economic growth: impact and causality analysis in Caspian Sea region

2018 ◽  
Vol 54 (3) ◽  
pp. 169-184 ◽  
Author(s):  
S M Rashed Jahangir ◽  
Betul Yuce Dural
Keyword(s):  
Economic Growth ◽  
Natural Gas ◽  
Crude Oil ◽  
Caspian Sea ◽  
Oil Price ◽  
Crude Oil Price ◽  
Causality Test ◽  
Oil And Natural Gas ◽  
Gas Price ◽  
The Impact

Abstract The main objective of this study was to investigate the impact and causality of crude oil and natural gas on economic growth in the Caspian Sea region. Here, the study applies ordinary least square (OLS) method and Granger causality test using time series data from 1997 to 2015 to ascertain the impact and causality of crude oil and natural gas on economic growth. The results, according to the OLS method, evince that crude oil and natural gas have a significant impact on economic growth of the region. Alongside, considering causality test, gross domestic product (GDP) does Granger cause (unidirectional) crude oil price and export which denotes that GDP can help to forecast crude oil price and export; however, crude oil price and export cannot help to forecast GDP. Surprisingly, this direction is unlikely for GDP and natural gas. GDP and natural gas have unidirectional, but opposite causal relationship, i.e., natural gas price and export do Granger cause GDP which signify that natural gas price and export can help to forecast GDP; however, GDP cannot help to forecast crude oil price and export.

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.

Some dynamic macroeconomic perspectives for India’s economic growth

2020 ◽  
Vol 12 (4) ◽  
pp. 641-658
Author(s):  
Matiur Rahman ◽  
Anisul Islam
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Crude Oil ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Content Type ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Purpose The purpose of this paper is to study impacts of changes in crude oil price, money supply, fiscal deficit and effective exchange rate on India’s economic growth (expressing all variables in real term). Design/methodology/approach First, a simple macroeconomic model is formulated to this effect. Next, linear autoregressive distributed lag procedure and vector error-correction model are applied for growth empirics. Annual data are used from 1977 through 2015. Findings Rises in real crude oil price and monetized real fiscal deficits have negative short-run and long-run effects on real economic growth. Increase in real money supply and real effective exchange rate appreciation helps promote real economic growth in both short run and long run. In all cases, there is evidence of net interactive positive feedback effects among the variables in the short run. Real effective exchange rate appreciation dampens exports, but it is helpful to imports of capital goods and crude oil that contribute to economic growth. So, the net effect on the economy may be conjecturally positive. Originality/value To the best of the authors’ knowledge, this paper is unique because of the formulation of macro-economic model pertaining to the topic and its subsequent empirical verification. Moreover, this paper seems more comprehensive than some other studies, cited in the literature review.

Does female human capital contribute to economic growth in India?: an empirical investigation

2017 ◽  
Vol 44 (11) ◽  
pp. 1506-1521 ◽  
Author(s):  
Madhu Sehrawat ◽  
A.K. Giri
Keyword(s):  
Economic Growth ◽  
Human Capital ◽  
Physical Capital ◽  
Variance Decomposition ◽  
Content Type ◽  
Indian Economy ◽  
Education And Health ◽  
Long Run ◽  
Short Run ◽  
The Impact

Purpose The purpose of this paper is to examine the impact of female human capital on economic growth in the Indian economy during 1970-2014. Design/methodology/approach The paper employs Ng-Perron unit root test to check the order of integration of the variables. The study also used ARDL-bounds testing approach and the unrestricted error-correction model to investigate co-integration in the long run and short run; Granger’s causality test to investigate the direction of the causality; and variance decomposition test to capture the influence of each variable on economic growth. Findings The study constructed a composite index for both male and female human capitals by taking education and health as a proxy for human capital. The empirical findings reveal that female human capital is significant and positively related to economic growth in both short run and long run, while male human capital is positive but insignificant to the economic growth; same is the case for physical capital, it implies that such investment regarding female human capital needs to be reinforced. Further, there is an evidence of a long-run causal relationship from female human capital, male human capital and physical capital to economic growth variable. The results of variance decomposition show the importance of the female human capital variable is increasing over the time and it exerts the largest influence in change in economic growth. Research limitations/implications The empirical findings suggest that the Indian economy has to pay attention equally on the development of female human capital for short-run as well as long-run growth of the economy. This implies that the policy makers should divert more expenditure for developing support for female education and health. Originality/value To the best of authors’ knowledge, this is the first attempt to study the relationship between female human capital and economic growth in the context of the Indian economy.

scholarly journals Structural Effect of Oil Price Shocks and Food Importation on Economic Growth in Nigeria Using SVAR Model

2017 ◽  
Vol 2 (1) ◽  
Author(s):  
Sani Abdulrahman Bala ◽  
Ali Alhassan
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Long Run ◽  
Svar Model ◽  
Food Imports

The study empirically examines the effect of oil price shocks and food importation on economic growth in Nigeria along with two control variables i.e. exchange rate and inflation using Structural Vector Autoregressive (SVAR) Model covering the period of 1970 to 2015. The result from SVAR short-run pattern and long-run pattern indicate that GDP has recently been affected by all variables in the model. More also, it indicates a significant permanent effect of crude oil price shocks and food imports on economic growth, while the result further indicates a transitory effect of exchange rate and inflation on economic growth. For significant t-value of the long run SVAR estimate matrix, confirms long effect of crude oil price shocks, food imports, exchange rate and inflation on economic growth in Nigeria. The results from structural response indicate that crude oil have high positive impact on GDP at the initial period and negative impact at the end of the period. Furthermore, food imports have high negative effect on GDP, while GDP response negatively to exchange rate and inflation rate from the period. The result from the structural decompositions indicates that crude oil price and food imports and exchange rate contribute more variability to GDP, while inflation contribute less variability in explaining the variation of GDP in Nigeria. The study recommends that government should come up with a policy that will focus on alternative sources of government revenue by investing more in real sectors especially agriculture in order to withstand vicissitudes of oil shocks in future.

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