Macroeconomic Factors and Pakistani Equity Market”

2004 ◽  
Vol 43 (4II) ◽  
pp. 619-637 ◽  
Author(s):  
Muhammad Nishat ◽  
Rozina Shaheen
Keyword(s):  
Stock Market ◽  
Industrial Production ◽  
Stock Prices ◽  
Stock Price ◽  
Consumer Price Index ◽  
Reverse Causality ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between a group of macroeconomic variables and the Karachi Stock Exchange Index. The macroeconomic variables are represented by the industrial production index, the consumer price index, M1, and the value of an investment earning the money market rate. We employ a vector error correction model to explore such relationships during 1973:1 to 2004:4. We found that these five variables are cointegrated and two long-term equilibrium relationships exist among these variables. Our results indicated a "causal" relationship between the stock market and the economy. Analysis of our results indicates that industrial production is the largest positive determinant of Pakistani stock prices, while inflation is the largest negative determinant of stock prices in Pakistan. We found that while macroeconomic variables Granger-caused stock price movements, the reverse causality was observed in case of industrial production and stock prices. Furthermore, we found that statistically significant lag lengths between fluctuations in the stock market and changes in the real economy are relatively short.

Dynamic Relationship Between Stock Market Sector Indices and Macroeconomic Variables in India

2019 ◽  
Vol 1 (2) ◽  
pp. 31-41
Author(s):  
Neeru Gupta ◽  
Ashish Kumar
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Positive Relationship ◽  
Short Term ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Market Sector ◽  
Long Run ◽  
Integration Test

This study investigates the long-term and short-term relationships between selected macroeconomic variables and the selected Indian stock market sector indices over the period of 2010 to 2017. The Johansen Co-integration Test, the Vector error correction model (VECM), is applied to calculate the long-term and short-term relationship between sector indices and macroeconomic variables. It is found that stock prices are exposed to macroeconomic factors, but the level of sensitivity is different in different sectors. Out of five sectors taken in the study, it is found that only the realty sector has long run relationship with macroeconomic variables. Other sectors have no long run relationship with macroeconomic variables. Along with this, it is also found that the Auto index has a significant short-term positive relationship with gold prices and the FMCG sector index has a significant short-term positive relationship with industrial production. The consumer price index and exchange rate have significant short run relationship with realty sector index.

scholarly journals Stock prices and Macroeconomic Performance in Pakistan: An Analysis

2015 ◽  
Vol 1 (2) ◽  
pp. 119-128
Author(s):  
Saima Mukhtar ◽  
Imran Sharif Sharif Chaudhry ◽  
Furrukh Bashir
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Positive Impact ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Multiple Regression Model ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between the Karachi stock exchange index and a group of macroeconomic variables. The macroeconomic variables are represented by the gross domestic product, the consumer price index, M2 and the exchange rate. We employ a multiple regression model to explore such relationships during 1991 to 2012. Our results indicated a "causal" relationship between the stock market and the economy analysis of our results indicates that KSE 100 index has a strong positive impact on GDP and M2 in Pakistan. Whereas it has a negative and significant impact on CPI and exchange rate in Pakistan. Granger causality test shows that KSE 100 index Granger causes GDP, CPI, M2, EXRT, AGRI, FDI and BOT and the direction of causality runs from KSE 100 index to these variables.

scholarly journals The Effect of Macroeconomic Variables On the Saudi Stock Market

2019 ◽  
Vol 7 (12) ◽  
pp. 126-152
Author(s):  
Amani Mohammed Aldukhail
Keyword(s):  
Stock Market ◽  
Performance Indicators ◽  
Stock Price ◽  
Price Index ◽  
Inflation Rate ◽  
Market Value ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Time Deposits

This study aimed at exploring the effect of macroeconomic variables on the activity of the Saudi stock market for the period 1997-2017. Macroeconomic variables were: GDP, interest rate on time deposits, inflation rate. The variables of the Saudi stock market activity were: stock price index, market value of shares, value of traded shares. To achieve this objective, the researcher used the ARDL model for the self-regression of the lagged distributed time gaps. The most important results of the research are: The effect of macroeconomic variables on the performance indicators in the Saudi stock market is not important in the short term and is statistically significant in the long term according to the proposed models, so investors in this market can rely on macroeconomic variables in Predict the movement of the stock market and predict long-term profits and losses.

scholarly journals The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market

2013 ◽  
Vol 16 (3) ◽  
pp. 86-100
Author(s):  
Kieu Minh Nguyen ◽  
Diep Van Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Macroeconomic Factors ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
The Relationship

The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

scholarly journals Impact of Macroeconomic Factors on Underpricing: Case of Indonesia Stock Exchange

InFestasi ◽  
2021 ◽  
Vol 17 (2) ◽  
pp. Inpres
Author(s):  
Aulia Amin Nasution ◽  
Ali Mutasowifin
Keyword(s):  
Stock Market ◽  
Initial Public Offering ◽  
Stock Price ◽  
Stock Exchange ◽  
Composite Index ◽  
Secondary Market ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Public Offering

The stock market is one of the alternatives chosen by companies to meet their funding needs. The first offering of a company's shares through the stock market to investors is called an Initial Public Offering. At the time of initial public offering, underpricing often occurs when the initial stock price on the primary market is lower than the stock price on the secondary market which will disadvantage the company because the collected funds are not maximum. This research aims to analyze the effect of macroeconomic factors on underpricing in companies conducting IPOs listed on the Indonesia Stock Exchange from 2010 to 2020. Using Regression Linear Analyze we found that macroeconomic variables as Inflation, IDX Composite Index, and GDP significantly affect underpricing on IPO in Indonesia Stock Exchange for 2010 to 2020

scholarly journals Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets

2015 ◽  
Vol 8 (1) ◽  
pp. 195 ◽  
Author(s):  
Mahmoud Ramadan Barakat ◽  
Sara H. Elgazzar ◽  
Khaled M. Hanafy
Keyword(s):  
Stock Market ◽  
Causal Relationship ◽  
Emerging Economies ◽  
Price Index ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Market Index ◽  
The Relationship ◽  
Shed Light

<p>The key objective of this study is to shed light on the relationship between the stock market and macroeconomic factors in two emerging economies (Egypt and Tunisia) for the period from January 1998 to January 2014. Results indicated that there is a causal relationship in Egypt between market index and consumer price index (CPI), exchange rate, money supply, and interest rate. The same goes for Tunisia except for CPI, which had no causal relationship with the market index. Results also revealed that the four macroeconomic are co-integrated with the stock market in both countries.</p>

scholarly journals US Stock Market And Macroeconomic Factors

2015 ◽  
Vol 32 (1) ◽  
pp. 325 ◽  
Author(s):  
Francisco Jareño ◽  
Loredana Negrut
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Price Index ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Significant Relationships ◽  
The Us ◽  
The Relationship ◽  
Relevant Factors

<p>This paper analyzes the relationship between the US stock market and some relevant US macroeconomic factors, such as gross domestic product, the consumer price index, the industrial production index, the unemployment rate and long-term interest rates. All the relevant factors show statistically significant relationships with the stock market except for the consumer price index, and the signs are consistent with the findings of previous literature.</p>

scholarly journals Determining a Dynamic Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Eurasia

2010 ◽  
Author(s):  
Bekir Elmas ◽  
Ömer Esen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Prices ◽  
Traditional Approach ◽  
Cointegration Test ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
The Relationship

The stock price has a close relationship with some macroeconomic variables. As examples of the main macroeconomic variables can be shown that exchange rates, inflation, interest rate, growth rates. This paper empirically examined the relationship between the local stock market indexes and exchange rate (USD) in six Eurasian countries namely Turkey, Germany, France, Netherlands, Russia, France and India. The paper set out by testing existence of a long-term relationship between considered two variables using the Engle-Granger (1987), Johansen (1988, 1995) and Johansen-Juselius (1990) cointegration methods. Results of Engle- Granger cointegration test showed that there is no cointegration linkage between two variables under consideration. Furthermore, The Johansen cointegration test found that there is a long-term relationship between two variables (variables in the two countries). Under the VAR (Vector Autoregressive) and VEC (Vector Error Correction) models appllied the Granger causality test, revealed an unidirectional casual relationship between two variables in each of the six countries. In addition as regards the relationship While there is a unidirectional causal relationship running from exchange rate to stock market for four countries. However this relation is casual running from stock market to exchange rate for other two countries. According to the direction of the relationship these results that relationship between stock prices and exchange rate in four countries supports for the “Traditional Approach”. Furthermore, this relation also supports for the “Portfolio Approach” for other two countries.

scholarly journals MACROECONOMIC FACTORS AND STOCK MARKET BEHAVIOUR: AN ANALYSIS OF THE 2008 CRISIS

2021 ◽  
pp. 357
Author(s):  
Ifuero Osad Osamwonyi ◽  
Godfrey Ayegbeni Audu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Testing Procedure ◽  
Bounds Testing ◽  
Macroeconomic Factors ◽  
Distributed Lag ◽  
Economic Trends ◽  
Market Behaviour

This study investigates the long term relationship between the behaviour of stock markets during the 2008 crisis and some selected international macroeconomic variables using information from January 2005 to December 2015. The procedures of the Autoregressive Distributed Lag modeling techniques (ARDL) are employed for the analysis. The bounds testing procedure in the ARDL framework is used to test for the existence of long term relationships between stock market behaviour and global economic factors (interest rate, exchange rate, index of industrial production and oil price) as well as the direction of effects, while estimated coefficients are used to test the pattern of long term relationships among the variables. The study revealed that a significant long term relationship exists between stock price movements and these global economic trends while the stock market crash significantly impacted the efficiency of the markets under review. Thus, it is recommended that market fundamentals should remain the capstone of stock market analysis, and policies should encourage the delinking of stock markets from the international commodity market factors.

scholarly journals Stock Market Responses to Macroeconomic Dynamics: Testing for Long-Run Equilibrium in Nepal

Pravaha ◽  
2018 ◽  
Vol 24 (1) ◽  
pp. 64-82
Author(s):  
Dipendra Education Karki
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Prices ◽  
Stock Price ◽  
Annual Data ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Real Gdp ◽  
Stock Market Performance

This study empirically examines the macro-economic factors of the stock market performance in Nepal. It considers the annual data of four macroeconomic variables; real GDP, inflation, interest rate and broad money supply from 1994 to 2016 and attempts to reveal the relative influence of these variables on stock prices represented by ‘NEPSE Index’ of the Nepalese capital market. Empirical results reveal that the performance of stock market is found to respond positively to real GDP, inflation and money supply, and negatively to interest rate. More importantly, cointegrating evidence cannot be found between macroeconomic variables and stock market index which suggests that stock price movements in Nepal are not explained by the macroeconomic variables. It supports random walk hypothesis in Nepalese stock market.Pravaha Vol. 24, No. 1, 2018, Page: 64-82

Sign in / Sign up

Export Citation Format

Share Document