scholarly journals A STUDY OF INDONESIA’S STOCK MARKET

2019 ◽  
pp. 465-476 ◽  
Author(s):  
Dinh Hoang Bach Phan ◽  
Thi Thao Nguyen Nguyen
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Least Squares ◽  
Generalized Least Squares ◽  
Stock Index ◽  
Monthly Data ◽  
Generalized Least Squares Estimator ◽  
The Interest Rate ◽  
Stock Index Returns

Using monthly data from January 1995 to December 2017, this paper tests whetherIndonesian stock index returns are predictable. In particular, we use eight macrovariables to predict the Indonesian composite and six sectoral index returns using thefeasible generalized least squares estimator. Our results suggest that the Indonesianstock index returns are predictable. However, the predictability depends not only onthe macro predictor used but also on the indexes examined. Second, we find that themost popular predictor is the exchange rate, followed by the interest rate. Finally, ourmain findings hold for a number of robustness tests.

The Effect of Macroeconomic Conditions on the Performance of Vietnamese Stock Market

2021 ◽  
Vol 8 (12) ◽  
pp. 73-82
Author(s):  
Hien-Ly Pham ◽  
Ching-Chung Lin ◽  
Shih-Ju Chan
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Global Supply Chain ◽  
Gold Price ◽  
Monthly Data ◽  
Macroeconomic Conditions ◽  
The Impact

Vietnam plays an important role in the global supply chain. As one of important emerging markets, many studies have focused on Vietnam-related issues. Vietnam established two stock markets in 2000s. The market performance becomes one of interesting issues to explore. This study is to investigate the impact of macroeconomic variables, including inflation rate, exchange rate, interest rate, imports, exports, and gold price, on Ho Chi Minh stock market. The study period is from July 2000 to October 2014. Using the monthly data collected from Vietnam General Statistic Office, IMF International Financial Statistics, and Ho Chi Minh stock exchange, the empirical findings of our regression model show that there exists a positive relationship for imports and gold price, while the relationships for exchange rate and interest rate are negative. No significant relationship has been found for the variables of inflation rate and exports.

Long Term Effects of Major Macroeconomic Variables on the Brazilian Stock Market: A nonlinear ARDL application

2021 ◽  
Vol 9 (2) ◽  
pp. 289-299
Author(s):  
MARCELO MELO ◽  
WELIGTON GOMES
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Government Debt ◽  
Long Term Effects ◽  
Stock Market Index ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
The Interest Rate

This research used NARDL methodology to investigate relevant macroeconomic variables influence on the Brazilian stock market index. We used monthly data from January/2000 to July/2020 and the six macroeconomic variables investigated are described as follows: net government's debt/GDP (DEBT), exports (EXPORT), consumer confidence (ICC), liquidity ratio (M4_PIB), interest rate (SELIC) besides the stock market index (IBOV). All monthly data were collected from IPEADATA. The main conclusions are that there is long run effect of IBOVESPA due to a decrease of government debt is clear and statistically significant, the long run effect in the liquidity ratio also affects IBOVESPA index. Moreover, the most outstanding result was the long run effect of decrease in the interest rate over the IBOVESPA index. Sustainable reductions in the interest rate would consistently stimulate the stock market index. Research outcomes also indicate that long run asymmetries of government debt, liquidity ratio and interest rate are reliable and statistically significant.

scholarly journals INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA

2021 ◽  
Author(s):  
Ning Zeng ◽  
◽  
Xixi Li ◽  
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Index ◽  
Rate Adjustment ◽  
Stock Price Index ◽  
The Interest Rate ◽  
The Impact

This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

scholarly journals ANALISIS FUNDAMENTAL MAKRO DAN INTEGRASI PASAR SAHAM DUNIA DENGAN BURSA EFEK INDONESIA

2017 ◽  
pp. 128
Author(s):  
Luh Gede Sri Artini ◽  
Nyoman Tri Aryati ◽  
Putu Vivi Lestari ◽  
Ni Putu Ayu Darmayanti ◽  
Gede Merta Sudiartha
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Capital Market ◽  
Market Integration ◽  
Stock Index ◽  
South East Asia ◽  
International Capital ◽  
Capital Market Integration ◽  
Positive Effect

This study is a combination of previous studies about a relationship between the stock market with a macro economic performance  and research on the international capital market integration. There is a strong relationship between the stock price with a macro-economic performance, in which the macro economic variables according Tandelilin (2010.343) include Gross Domestic Product (GDP), the growth rate of inflation, interest rates and currency exchange rates. Research on the international capital market integration has been done because of  the domestic capital flows over the country and their potential gains from international diversification. Macroeconomic variables used in this study was limited to GDP growth, inflation, interest rate of Bank Indonesia Certificates ( SBI ) and the value of the US dollar against the rupiah exchange rate,  and stock index that used are Kuala Lumpur Stock Index, Thailand stock index and Singapore.   The objective of this paper are to to analyze the movement of macroeconomic and examine the degree of four stock market integration in South East Asia based on data from 2010 to 2014 with the period of observation January 2010 – December 2014. Analysis model regression multivariable is used to detect economic factor (GDP, inflation, interest rate and exchange rate) and south East Asia stock market (KLCI, STI and  STI) influence toward movement of the Indonesian composite stock market index in Indonesian Capital Market partially and simultaneous.   The results of this research indicate that GDP, inflation, interest rate, exchange rate, KLCI, SETI and  STI have significant effect on the IHSG. Based on the test results the coefficient of determination, the value of the Adjusted R Square of 96,9 % while the remaining 3,1 % is influence by other variables not included in this research.  Partially  GDP, Inflation and STI have insignificant positive effect on IHSG, interest rate have significant negative effect on IHSG. While KLCI and SETI have significant positive effect

scholarly journals Exploring the Nexus; Stock Market, T. Bills, Inflation, Interest Rate and Exchange Rate

2012 ◽  
Vol 4 (7) ◽  
pp. 384-389
Author(s):  
Syed Imran Sajjad ◽  
Saleem Ullah Jan . ◽  
Madiha Saddat . ◽  
Ijaz ur Rehman .
Keyword(s):  
Developing Countries ◽  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Granger Causality ◽  
Inflation Rate ◽  
Economic Indicators ◽  
Stock Index ◽  
Series Data ◽  
Treasury Bills

The main objective of this study is to examine the relationship between Karachi stock exchange and macroeconomic variables i.e. inflation rate, exchange rate, treasury bills and interest rate. Monthly time series data from January 2005 to December 2010 have been used to investigate the causal association among macroeconomic indicators and Karachi stock market. The co-integration test and Granger Casualty have been applied to drive the short and long-term investigation. The results found bi directional Granger causality among KSE and exchange rate and One way Granger causality exists among KSE and interest rate, no Granger causality found among KSE and inflation rate and KSE and treasury bills. Which means performance of macro-economic variable somehow affects the stock index; moreover, stock prices in Pakistan do not reflect the macro-economic condition of the country. This study emphasizes on the crash of macro-economic indicators on the capital market performance of developing countries. The performance of capital markets of developing countries calculated by these macro-economic indicators.

The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Faten Moussa ◽  
Ezzeddine Delhoumi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Content Type ◽  
Market Index ◽  
The Exchange Rate ◽  
The Interest Rate

PurposeSeveral theoretical and empirical studies have shown the significant effects of economic and environmental factors on a large number of financial indicators. In this paper the authors are going to study whether the main stock market index, is impacted by the variations of the exchange rate and the interest rates.Design/methodology/approachThis paper studies the response of the index market return to fluctuations in the interest rate and the exchange rate in five countries from the MENA region (Tunisia, Morocco, Egypt, Turkey and Jordan). To investigate whether this impact exists, the authors used the non-linear autoregressive distributed lag (NARDL) model with daily data from June 1998 to June 2018.FindingsThe application of the non-linear ARDL model confirms the presence of cointegration between return index, interest rate and exchange rate. The results show that the asymmetry hypothesis is only valid for the short run which suggests that the market index is sensitive to the variation in the interest rate and exchange rate. This means that these macroeconomic factors play an important role in the MENA region stock markets.Originality/valueThe findings confirm that the index returns in the MENA region stock markets are related to macroeconomic fundamentals such as the exchange rate and the real interest rate. The reaction of some indices is sensitive to whether the shocks are positive or negative. This finding may help investors to choose their strategies starting from these changes. Accordingly, policy makers must pay attention to the development progress of stock market.

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.

scholarly journals Determinasi Tingkat Suku Bunga Perbankan di Indonesia

2017 ◽  
Vol 4 (1) ◽  
pp. 122
Author(s):  
Arief Hadi Putra ◽  
Siswoyo Hari Santosa ◽  
Regina Niken Wilantari
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Time Series Data ◽  
Trigger Factor ◽  
Series Data ◽  
Monthly Data ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Interest Rate

The interest rate has an important role to regulate the exchange rate affecting an economy and banking transactions betweencountries.The interest rate as a trigger factor of development of a country has a very important role to cope with the level ofinflation and the exchange rate in the country. In this study, several factors are considered to influence the interest ratesinclude inflation, and exchange rates. The method used is multiple linear regression with time series data. The study wasconducted using monthly data from July 2005 until December 2012. The results of the regression carried out showed thatindlasi positive and significant impact on interest rates. While the exchange rate and no significant negative effect on interestrates.

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

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