scholarly journals Relationship Between Stock Market Returns and Macroeconomic Variables: Evidence from Turkey

2015 ◽  
Vol 7 (5(J)) ◽  
pp. 6-18
Author(s):  
Erhan Cankal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Well Being ◽  
Common Belief ◽  
Market Returns ◽  
Significant Information ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Exchange Rate Shocks

Financial sector is considered to be important in signaling about economic development. It is a common belief that stock market returns contain significant information on economic well-being and act as a good source of market indicator in a country. This common belief is tested for a number of countries using various methods in literature. Whether stock market returns are affected by changes in primary macroeconomic variables have been tested for different time periods in many countries. The findings of the previous studies proved that the results may vary depending on country specific characteristics. The directions and magnitudes of the examined relationships seemed to be different for various economies. However, the mainstream of the findings is consistent with theoretical expectations. This study attempts to bring a light to the relationship between stock market returns and basic macroeconomic variables using monthly data between 2003 and 2015 and employing structural vector autoregressive (SVAR) model for the Turkish economy. Turkey is considered as one of the most vulnerable five countries whose stock prices are most responsive to, exchange rate shocks. This study concludes that the stock prices in Turkey responsive to the shocks in exchange rate, interest rate, and inflation in order. The results of the analyses are in accordance with theoretical expectations as well as with the findings of the vast majority in the literature.

scholarly journals Impact of Macroeconomic Variables on Karachi Stock Market Returns

2018 ◽  
Vol 10 (2) ◽  
pp. 28 ◽  
Author(s):  
Javed Pervaiz ◽  
Junaid Masih ◽  
Teng Jian-Zhou
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Secondary Data ◽  
Research Process ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Index Value ◽  
The Impact

The study investigated The study examines the impact of selected macroeconomic variables (inflation, exchange rate, interest rate) on Karachi stock market returns. Mainly secondary data used in the research process. The study consists of data for the period of 10 years and 5 months starting from January 2007 till May 2017. For this purpose, monthly data of KSE-100 index has been observed for the period January 2007 to May 2017. The market returns have been calculated through the opening and closing index value of each month. The inflation, interest rate, and exchange rate has been taken as independent variables. Hypotheses have been tested to find out whether there exists a significant relationship between the Stock market return and macroeconomic variables or not. To test this hypothesis, Regression analysis used and results are calculated through Stata software.

scholarly journals Macroeconomic Variables and Stock Market Returns in Sri Lanka

2017 ◽  
Vol 9 (2) ◽  
pp. 206
Author(s):  
Saseela Balagobei
Keyword(s):  
Exchange Rate ◽  
Sri Lanka ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Market Return ◽  
Stock Market Return

The stock market is one of the most energetic sectors that play an important role in contributing to the wealth of the economy. It plays a crucial role in the economic growth and development of an economy which would benefit industries, trade and commerce as a whole. The aim of this study is to investigate the impact of macroeconomic variables on stock market returns in Sri Lanka. Dependent variable of this study is stock market return measured by All Share Price Index (ASPI) and All Share Total Return Index (ASTRI) and independent variables are macroeconomic variables, such as Interest Rate (IR), Inflation Rate (INF), Exchange Rate (ER), Factory Industry Production Index (FIPI) and money supply (MS).  The study targets all the companies listed and active in Colombo Stock Exchange (CSE) from 2006 to 2015. For analysis, secondary data was collected from annual reports of Central bank of Sri Lanka, Colombo Stock Exchange, Securities and Exchange Commission and Department of Census and Statistics. The results of the study reveal that the stock market returns is influenced by macroeconomic variables except money supply in Sri Lanka. Interest rate and factory industry production have negative influence on stock market return in Colombo Stock exchange while inflation rate and exchange rate have positive influence on stock market return. The findings of the study may be useful to public and economy especially stock market investors to focus the macroeconomic variables for making their effective decisions in order to enhance their stock market returns.

scholarly journals Nexus between Stock Market Returns and Economic Variables: Evidence

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Vanitha Chawla ◽  
Shweta .
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Indian Stock Market ◽  
The Impact

The paper examines the impact of selected macroeconomic variables on the Indian stock market. The macroeconomic variables used in the study are interest rate, exchange rate, index of industrial production (IIP) and gold price. BSE Sensex is used as proxy for Indian stock market. We have used the monthly data for all the variables from January 2001 to December 2016. Regression analysis and Granger Causality test is used to establish the relationship between the stock market and macroeconomic variables. The results show significant impact of only exchange rate on stock returns. All the other variables have shown insignificant impact on the stock market returns. The results of Granger causality test show unidirectional relationship between exchange rate and stock prices and bi-directional relation between IIP and SENSEX.

scholarly journals Volatility Nexus Between Stock Market and Macroeconomic Variables in Bangladesh: an Extended GARCH Approach

2017 ◽  
Vol 64 (2) ◽  
pp. 233-243 ◽  
Author(s):  
Md. Abu Hasan ◽  
Anita Zaman
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
General Index ◽  
Indian Stock Market ◽  
The Garch Model

Abstract This paper examines the volatility of the Bangladesh stock market returns in response to the volatility of the macroeconomic variables employing monthly data of general index of Dhaka Stock Exchange (DSE) and four macroeconomic variables (Call Money Rate, Crude Oil Price, Exchange Rate and SENSEX of Bombay Stock Exchange) from January 2001 to December 2015. The results of GARCHS models reveal that the volatility of DSE return is significantly guided by the volatility of macroeconomic variables, such as, exchange rate and SENSEX. Specifically, volatility of the DSE is expected to 19% increase by 1% increase of exchange rate. Moreover, the volatility of the Bangladesh stock market returns is expected to dampen down by 2% with an increase in the volatility of Indian stock market of 1%. Thus, we can comment that adding exchange rate or stock returns of India in the GARCH model provides significant knowledge about the behaviour of the DSE volatility.

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 Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

2020 ◽  
Author(s):  
Nenavath Sre ◽  
Suresh Naik
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Inflation Rate ◽  
Market Returns ◽  
Stock Market Returns ◽  
Positive Effects ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

Revisiting Macroeconomy–Stock Market Relationship During Times of Economic Crisis: A Study of Emerging Markets

2017 ◽  
Vol 13 (1-2) ◽  
pp. 52-69
Author(s):  
Gagan Deep Sharma ◽  
Mrinalini Srivastava ◽  
Mansi Jain
Keyword(s):  
Latin America ◽  
Financial Crisis ◽  
Stock Market ◽  
Emerging Markets ◽  
Economic Crisis ◽  
Global Financial Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
The Relationship

This article examines the relationship between six macroeconomic variables and stock market returns of 13 emerging markets from Latin America, Europe, Africa and Asia in the context of global financial crisis of 2008. The findings reveal some commonality in determination and variation of returns with macroeconomic variables from pre-crisis (1st January 2005–31st March 2009) to post-crisis period (1st April 2009–31st March 2016). Further, results show co-integration among most of the macroeconomic variables depicting significant implications for investors and policymakers.

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bijoy Rakshit ◽  
Yadawananda Neog
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Emerging Economies ◽  
Market Performance ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Stock Market Performance

Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

Impact of the Volatility of Macroeconomic Variables on the Volatility of Stock Market Returns

2014 ◽  
pp. 218-230
Author(s):  
Emeka Nkoro ◽  
Aham Kelvin Uko
Keyword(s):  
Stock Market ◽  
Government Expenditure ◽  
Annual Data ◽  
Market Returns ◽  
Financial Policies ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Stock Market Return ◽  
Short Run

This chapter investigates the relationship between volatility of macroeconomic variables and the volatility of Nigeria’s stock market returns using annual data from 1985-2009. The Macroeconomic variables used are: inflation rate, government expenditure, foreign exchange rate, index of manufacturing output, broad money supply, and minimum rediscount rate. In pursuance of this, the AR(1)-GARCH-X(1,1) model was used for the analysis. The findings of this study revealed that, Nigeria’s current stock market return is positively influenced by previous returns. Volatility of Nigeria’s stock market returns was affected by past volatility less than the related news from the previous period. Also, the result shows that there is a significantly positive relationship between the volatility of the Nigeria’s stock market returns and the short run deviations of the macroeconomic variables (macroeconomic factors volatility) in the system. The results provide some insight to investors, financial regulators, and policymakers in the Nigeria’s stock market when structuring their portfolios and formulating economic and financial policies.

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