Output Growth, Inflation and Interest Rate on Stock Return and Volatility: The Predictive Power

2009 ◽  
Author(s):  
Wai-Ching Poon ◽  
Gee-Kok Tong
Keyword(s):  
Interest Rate ◽  
Stock Return ◽  
Predictive Power ◽  
Output Growth

scholarly journals Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison

2010 ◽  
Author(s):  
Wai Ching Poon ◽  
Gee Kok Tong
Keyword(s):  
Interest Rate ◽  
Emerging Markets ◽  
Stock Returns ◽  
Stock Return ◽  
Predictive Power ◽  
Output Growth ◽  
Stock Market Volatility ◽  
Monthly Data ◽  
Stock Return Volatility ◽  
Economic Volatility

Using monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan, and Singapore) and four emerging markets who experienced a crisis before (Malaysia, India, Korea, and Philippines). It is found that economic volatility, as measured by movement in inflation, output growth, and interest rate, have a weak predictor power for stock market volatility and returns. In line with the evidence reported in Davis and Kutan (2003), the findings suggest that there is no support for the Fisher effect in stock returns among the seven mature and emerging markets.   Keywords: Predictive power; output; inflation; interest rate; stock return volatility.  

scholarly journals Prediction of Stock Returns: A New Way to Look at It

2003 ◽  
Vol 33 (02) ◽  
pp. 399-417 ◽  
Author(s):  
Jens Perch Nielsen ◽  
Stefan Sperlich
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Predictive Power ◽  
Financial Models ◽  
Price Ratio ◽  
Finite Samples ◽  
One Year

While the traditional R 2 value is useful to evaluate the quality of a fit, it does not work when it comes to evaluating the predictive power of estimated financial models in finite samples. In this paper we introduce a validated value useful for prediction. Based on data from the Danish stock market, using this measure we find that the dividend-price ratio has predictive power. The best horizon for prediction seems to be four years. On a one year horizon, we find that while inflation and interest rate do not add to the predictive power of the dividend-price ratio then last years excess stock return does.

scholarly journals Prediction of Stock Returns: A New Way to Look at It

2003 ◽  
Vol 33 (2) ◽  
pp. 399-417 ◽  
Author(s):  
Jens Perch Nielsen ◽  
Stefan Sperlich
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Predictive Power ◽  
Financial Models ◽  
Price Ratio ◽  
Finite Samples ◽  
One Year

While the traditionalR2value is useful to evaluate the quality of a fit, it does not work when it comes to evaluating the predictive power of estimated financial models in finite samples. In this paper we introduce a validatedvalue useful for prediction. Based on data from the Danish stock market, using this measure we find that the dividend-price ratio has predictive power. The best horizon for prediction seems to be four years. On a one year horizon, we find that while inflation and interest rate do not add to the predictive power of the dividend-price ratio then last years excess stock return does.

scholarly journals An Empirical Analysis of Factors Affecting Bank Interest Margins: Evidence from the South East European Countries

2018 ◽  
Vol 21 (2) ◽  
pp. 81-98
Author(s):  
Mehmed Ganić
Keyword(s):  
Interest Rate ◽  
Empirical Analysis ◽  
Banking Sector ◽  
Output Growth ◽  
The South ◽  
Factors Affecting ◽  
East European ◽  
Interest Margins ◽  
See Region ◽  
Bank Concentration

This paper provides an empirical analysis of factors affecting Bank Interest Margins in eight countries of the South‑East European (SEE) region between 2000 and 2014. The purpose of this paper is to examine and investigate the main drivers of Bank Interest Rate Margins across selected countries throughout the SEE region. Also, the study explored the relationship between the dependent variable Interest Rate Spread (IRS – as a proxy variable for measuring variation in Bank Interest Rate Margins) and a set of selected banks’ specific variables in SEE by employing panel data estimation methodology. This research is based on aggregate data for the whole banking sector of each country. In line with some expectations, our findings confirm the importance of credit risk, bank concentration operative efficiency, and inflation expectations in determining Bank Interest Rate Margins. Interestingly, in contrast to the majority of recent empirical research, the study found an inverse relationship between the bank concentration variable and Bank Interest Rate Margins as well as between the operational efficiency variable and Bank Interest Rate Margins. Also, the study could not find statistically significant evidence that Bank Interest Rate Margins are determined by output growth, bank profitability (measured by ROA) or liquidity risk.

scholarly journals PENGARUH LOAN TO DEPOSITE RATIO, RETURN ON ASSETS, CAPITAL ADEQUACY RATIO, EXCHANGE RATE DAN INTEREST RATE TERHADAP RETURN SAHAM

2017 ◽  
Vol 19 (3) ◽  
pp. 340
Author(s):  
Ketut Asmara Jaya
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Significant Influence ◽  
Stock Return ◽  
Random Effect ◽  
Capital Adequacy ◽  
Return On Assets ◽  
Capital Adequacy Ratio ◽  
Lm Test

Pertumbuhan pasar modal pada akhir tahun 2010 menunjukkan kinerja yang luar biasa dengan meningkatnya kembali nilai saham dengan dipengaruhi oleh berbagai faktor, baik faktor internal ataupun faktor eksternal dari setiap perusahaan. Studi ini menganalisis untuk pinjaman deposit rasio (LDR), pengembalian asset (ROA), rasio kecukupan modal (CAR), nilai tukar dan suku bunga yang berdampak pada keuntungan saham di perusahaan perbankan. Studi panel ini menggunakan data LM test statistik yang menunjukkan perhitungan metode random effect adalah cara yang lebih tepat digunakan untuk mengestimasi model dalam penelitian ini. Hasil studi menunjukkan bahwa variabel ROA memberikan pengaruh positif dan signifikan dalam return saham. Sedangkan variabel LDR, CAR dan Kurs tidak ada pengaruh yang signifikan terhadap return saham, dan hanya kecenderungan jika LDR, CAR dan Kurs meningkat maka return saham dapat meningkat pula Suku bunga variabel tidak memberikan pengaruh positif dan pengaruh signifikan karena tidak memiliki hubungan dengan return saham.Growth of Capital market in late 2010 showed outstanding performance with rising of stock return which is influenced by various factors, both internal factors and external factors of each company it self. This study analyzes the Loan To Deposite Ratio (LDR), Return On Assets (ROA), Capital Adequacy Ratio (CAR), Exchange Rate and Interest Rate impact on stock returns in corporate banking. This study uses panel data with LM Test statistical calculation it is shown that Random Effect method is more precise to be used in this study. The result of the study shown that ROA variable gives positive and significant influence in stock return. While LDR, variables CAR and exchange rate of no influence and significantly to return stock, and only tendency if LDR, CAR and exchange rate increase then return shares can be increased as well. The Interest Rate variable did not give positive and significant influence because of not having relationship with stock return.

Macro Stress Testing of Indian Bank Groups

2017 ◽  
Vol 11 (4) ◽  
pp. 375-403
Author(s):  
Pami Dua ◽  
Hema Kapur
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Private Sector ◽  
Stress Testing ◽  
Inflation Rate ◽  
Output Growth ◽  
Foreign Banks ◽  
Credit Quality ◽  
The Impact

This study examines how various bank groups operating in India have fared macro stress events and conduct macro stress testing (MST) to trace the impact of certain macroeconomic stress scenarios on the credit quality of five Indian bank groups, that is, the State Bank of India (SBI) and its associates (SBGs), nationalised banks (NBs), old private sector banks (OPBs), new private sector banks (NPBs) and foreign banks (FBs), using panel data from 1997 to 2014. Credit quality is modelled as a function of both macroeconomic variables (output growth, interest rate, inflation rate and exchange rate) and idiosyncratic variables (profitability and size indicator of bank business activity). The model is estimated by employing a panel cointegration approach, and the impact of adverse scenarios on the estimated credit quality is computed. Empirical findings show that credit quality is pro-cyclical in nature and rises in the event of a slowdown in the economy. In general, the credit quality of Indian bank groups is found to be inversely and significantly related to the economy’s growth rate, inflation rate, exchange rate and profits of banks and positively and significantly related to the interest rate. Shock analysis also reveals that a downturn in the economy through certain adverse scenarios has a significant adverse impact on the credit quality. The shocks are quickly propagated across banks with substantial heterogeneities present in different bank groups. Thus, macroeconomic policy measures promoting growth with price stability are expected to impact credit quality positively. Further, measures at the bank level can improve credit quality by enhancing their profitability. JEL Classifications: C32, C58, E170, G21

scholarly journals Pengaruh Return On Assets, Return On Equity, Debt To Equity Ratio, Inflasi, Dan Suku Bunga Terhadap Return Saham Pada Perusahaan Manufaktur Di Bursa Efek Indonesia (Studi Empiris Pada Perusahaan Secondary Sectors Periode 2010-2015)

2018 ◽  
Vol 6 (1) ◽  
pp. 063-076
Author(s):  
Ningsih Hikmawati ◽  
Adi Wiratno ◽  
Suyanto . ◽  
Darmansyah .
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Stock Return ◽  
Quantitative Methods ◽  
Stock Exchange ◽  
Secondary Data ◽  
Manufacturing Companies ◽  
Return On Assets ◽  
Return On Equity ◽  
Equity Ratio

This study is aimed to ascertain and analyse the influence of return on assets, return on equity, debt to equit ratio, inflation, and interest rate, both partiall and simultaneously on the stock returns in manufacturing companies of secondary sectors listed in the Indonesian Stock Exchange. This research uses quantitative methods and EVIEWS panel 8 to analyse the regression. The population are manufacturing companies of secondary sector listed in the Indonesian Stock Exchange consisted of basic and chemical sectors, miscellaneous industry, and consumer goods sector in the period of 2010-2015. The sampling method used is pusposive sampling with the final number of 40 companies. The research required secondary data. The results show that return on assets has no negative effect on stock return, mean while, return on equity and interest rate have positive effect on stock return. Return on assets, return on equity, debt to equity ratio, inflation and interest rate all simultaneously have effect on stock returns.

Sign in / Sign up

Export Citation Format

Share Document