Macroeconomic Factors and Stock Market Performance in Nepal

2021 ◽  
Vol 14 (1) ◽  
pp. 79-92
Author(s):  
Purna Man Shrestha ◽  
Pitambar Lamichhane
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Stock Market ◽  
Capital Market ◽  
Market Performance ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Market Policy ◽  
Long Run ◽  
Stock Market Performance

This paper examines co-integrating relationship between macroeconomic factors and stock market performance in Nepal using time series data for the period 1987/88 to 2019/20. This study has used Autoregressive Distributed Lag (ARDL) bounds testing approach to identify the co-integrating relationship between macroeconomic variables and stock market performance. The stock market performance is measured by market capitalization which is considered as dependent variable and selected macroeconomic factors such as broad money supply measured by M2, economic growth measured by gross domestic product (GDP) and interest rate measured by 91-days Treasury bill rate are considered as explanatory variables. ARDL bounds test reveals that stock market performance is co-integrated with macroeconomic variables. Similarly, result of this paper shows the significant positive impact of economic growth. Further, finding reports a significant negative effect of broad money supply and interest rate on performance of Nepalese stock market in long-run. Finally, this paper concludes that disequilibrium of stock market performance in short-run is corrected by GDP, M2 and IR in the long-run. The policy implication of this paper is in formulation of capital market policy, monetary policy, financial policy and economic policy. Stock market policy makers should consider macroeconomic variables while formulating capital market policy for the better performance of stock market in Nepal.

scholarly journals Determinants of Stock Market Performance

NCC Journal ◽  
2018 ◽  
Vol 3 (1) ◽  
pp. 134-142
Author(s):  
Ramjee Rakhal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Literature Review ◽  
Stock Market ◽  
Money Supply ◽  
Market Performance ◽  
Major Objective ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Stock Market Performance

This paper investigates the effect of selected macroeconomic factors viz. remittances, money supply, exchange rate, and interest rate on stock market performance based on literatures available in international and Nepalese context. The major objective of this paper is to find out the new area of research in Nepalese perspective with the help of literature review. The study demonstrates that remittance and money supplypositively affect the stock market whereas interest rate and exchange rate negatively affect the stock market performance. However, there is lack of consensus on the effect of each macroeconomic variables on stock market performance as it has number of literatures available which are similar as well as opposite to these findings. Thus, similar study can be extended employing different methodology with this combination of variables in Nepalese context that may better describe and analyze the performance of Nepalese stock market and helps to reduce the confusion among the literatures.NCC JournalVol. 3, No. 1, 2018, page: 134-142

scholarly journals Evaluation of the Impact of Macroeconomic Variables on Stock Market Performance in Nigeria

2019 ◽  
Vol 5 (2) ◽  
pp. 34 ◽  
Author(s):  
Cordelia Onyinyechi Omodero ◽  
Sunday Mlanga
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Price Index ◽  
Market Performance ◽  
Share Price ◽  
Series Data ◽  
Macroeconomic Variables ◽  
Stock Market Performance ◽  
The Impact

Stock market is an essential part of a nation’s economy and requires adequate evaluation of all factors that militate against its performance. This study investigates the role of macroeconomic variables in determining the stock market performance in Nigeria using annual time series data covering a period from 2009 to 2018. These data have been sourced from the World Bank Development Indicators, International Monetary Fund and CBN Statistical Bulletin. The results from the regression analysis indicate that exchange rate and interest rate do not have significant impact on share price index while inflation rate exerts a significant negative influence on share price index. On the contrary and in line with the concept of GDP and stock market performance, GDP significantly and positively impacts on share price index. The study among others suggests that the growth of the economy should be maintained to keep stock market flourishing while macroeconomic variables such as inflation, interest rate and exchange rate should be appropriately regulated by the relevant authorities to curtail all negative influences on stock market performance.

scholarly journals Economic Interactions among Stock Market Performance and Macroeconomic Variables with Mediating Role of Gold Prices Volatilities: An Evidence from Pakistan

2021 ◽  
Vol 7 (3) ◽  
pp. 383-394
Author(s):  
Rukhsana Rasheed ◽  
Mazhar Nadeem Ishaq ◽  
Rabia Anwar ◽  
Mehwish Shahid
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Market Performance ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Stock Market Performance ◽  
The Impact

In all emerging economies, one of the most challenging issues for investors is the multifaceted inter-relationship between volatility of gold prices and stock market index. During the COVID-19 sub-periods, gold has shown a strong hedging behavior against stock market performance. The main objective of this study was to quantify the long-run relationship among multiple independent macroeconomic variables (predictors) on stock market index (response variable) using the volatilities of gold prices as a mediator factor. This study applied the descriptive statistics, correlation, t-test and OLS multiple regression Model. The specific data comprised of period 2011-2020 regarding the fluctuations in gold prices, exchange rate, interest rate, inflation rate and performance of stock market index has been utilized. The statistical outputs of models showed that exchange rate (Dollar to PKR) was positively affecting the performance of Karachi Stock Exchange (KSE)-100 Index, whereas inflation rate and interest rate were negatively affecting the overall performance of KSE100 index. The findings of this study suggested that to achieve better performance of stock market, relatively low interest rate and inflation rate contribute a significant role. However, to increase the generalization capabilities of this study the impact of mentioned macroeconomic variables in other sectors like industrial production, oil & gas and energy sectors with wider time span can be more helpful.

Macro-Economic Variables and Stock Market Performance: Empirical Evidence from Colombo Stock Exchange

2020 ◽  
Vol 05 (02) ◽  
pp. 106-118
Author(s):  
M. Amaresh ◽  
S. Anandasayanan ◽  
S. Ramesh
Keyword(s):  
Interest Rate ◽  
Correlation Analysis ◽  
Stock Market ◽  
Price Index ◽  
Market Performance ◽  
Ordinary Least Squares ◽  
Share Price ◽  
Macroeconomic Variables ◽  
Stock Market Performance ◽  
The Impact

Stock market performance is considered as a significant indicator of financial and economic circumstances of a country. In a nutshell, a secured and regulated financial environment is being provided by the stock market where shares can be transacted at lower operational risk. The stock market also functions as a platform through savings, and investments of individuals are channelized into productive investment proposals. It allows capital formation and economic growth for the nation. The ultimate objective of this study is to examine the impact of macroeconomic variables on stock market performance. The macroeconomic variables (independent variables) used in this research study are Inflation, Interest Rate, and GDP. Stock market performance (All-Share Price Index) is the dependent variable. 120 Monthly observations from January 2009 to December 2018 had been taken for the study. The Augmented Dickey Fuller’s unit root test, Ordinary Least Squares Regression and Correlation analysis were applied to the variables. The results of correlation analysis indicated that inflation and Stock market performance are positively associated meanwhile interest rate, and GDP and Stock market performance are negatively correlated. The Ordinary Least Square results showed that nearly 75% of the variation in all share price index is explained by the three macroeconomic variables, GDP, TB and WPI. The study suggested some of the possible reasons for the positive impact of Inflation on the Colombo Stock market performance, and negative impact of Interest Rate on Stock market performance and recommended that efforts should be made to improve the Stock market performance.

scholarly journals Effect of Macroeconomic Variables on Stock Market Performance in Nigeria

2019 ◽  
pp. 1-14
Author(s):  
Emmanuel Isaac John
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Inflation Rate ◽  
Market Performance ◽  
Test Results ◽  
Macroeconomic Variables ◽  
Stock Market Performance ◽  
Negative Effect

This paper aims at examining the effect of macroeconomic variables on stock market performance in Nigeria using annual time series data spanning 1981 to 2016.The data were obtained from Central Bank of Nigeria (CBN) Statistical Bulletin. Four macroeconomic variables, namely: money supply, interest rate, exchange rate and inflation rate were used as independent variables, while market capitalisation (proxy for stock market performance) was employed as the dependent variable. The results of Augmented Dickey-Fuller (ADF) test revealed that all the variables studied were stationary at first difference except money supply which was stationary at second difference. The Ordinary Least Square (OLS) regression results showed that money supply has a significant positive effect; interest rate has a significant negative effect; whereas, exchange rate has a positive but not significant effect and inflation rate has a positive but not statistically significant effect on stock market performance. The cointegration test results disclosed that there exist a long-run relationship between the macroeconomic indicators and stock market performance. The Granger Causality test results revealed that a unidirectional causality runs from money supply and exchange rate to stock market performance. In conclusion, money supply and interest rate are the true factors influencing stock market performance in Nigeria because they exhibited a significant effect on stock market performance. Whereas, exchange rate and inflation rate indicated a weak (non-significant) effect on stock market performance. Consequently, the recommendations are: monetary policies that favour the supply of money in the economy should be pursued in order to ensure a better performance of the stock market; Interest rate should be relatively low to guarantee a higher performance of the stock market because high interest rate has a significant negative effect on the Nigerian stock market.

scholarly journals Do Macroeconomic Variables Affect Stock Market Performance? A Case Study of DSEX and DS30 Index of Dhaka Stock Exchange

2019 ◽  
Vol 9 (3) ◽  
pp. 182
Author(s):  
Emran Hasan ◽  
Shahanawaz Sharif
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Market Performance ◽  
Cointegration Analysis ◽  
Causality Test ◽  
Treasury Bill ◽  
Macroeconomic Variables ◽  
Stock Market Performance

Stock market performance– being the linchpin of an economy, requires variations in policies concerning macroeconomic variables. Keeping this in notion, this research assays the empirical association between stock market performance and a few selected macroeconomic variables namely interest rate, exchange rate, inflation rate, and 91-days Treasury bill rate using monthly data ranging from January 2013 to October 2018. Employing Johansen Cointegration analysis, the results of the study suggest that exchange rate and treasury bill rate are positive whereas interest rate and inflation rate are negatively associated with better stock market performance. Granger causality test implies bidirectional causality – between the interest rate and DS30 as well as DSEX while unidirectional causality is evident for both the indices which are running from interest rate, inflation and exchange rate to stock market performance. Formulation and implementation of prudent policies regarding the studied macroeconomic variables can lead to a healthy stock market outcome.

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.

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rakesh Kumar Verma ◽  
Rohit Bansal
Keyword(s):  
Stock Market ◽  
Developing Economies ◽  
Market Performance ◽  
Investor Sentiment ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Thematic Strategy ◽  
Stock Market Performance ◽  
The Impact

PurposeThis paper aims to identify various macroeconomic variables that affect the stock market performance of developed and emerging economies. It also investigates the effect of these factors on the stock markets of both economies. The impact of these variables on broad market indices and sectoral indices is investigated and compared too.Design/methodology/approachThe publications for the study were retrieved from databases such as Emerald Insight, EBSCO, ScienceDirect and JSTOR using the keywords “Macroeconomic variables” and “Stock market” or “Stock market performance.” The result demonstrated a growing corpus of scholarly work in the domain of stock market. The study was carried out separately for each macroeconomic indicator. Given a large number of articles under consideration, the authors began by reading the titles and abstracts of all publications to identify those that were relevant. The papers are evaluated in Excel and the articles for review range from 1972 to 2021.FindingsThe authors found that gross domestic product (GDP), FDI (Foreign Direct Investment) and FII (Foreign Institutional Investment) have a positive effect on both emerging and developed economies’ stock market while gold price has a negative effect. Interest rates had a negative impact on both economies except for a few developing countries. The relationship with oil prices was positive for oil exporting countries while negative for oil importing countries. Inflation, money supply and GDP are the macroeconomic variables that have the same effect on sectoral indices as they do on broad market indices. The impact was sector-specific for the remaining variables.Research limitations/implicationsThis paper gives an overview of relation and effect covering variety of macroeconomic variables and stock market indices. Still, there is a scope for further research to analyze the effect on thematic, strategy and sectoral indices. A longer time horizon with new variables, such as bank deposit growth rate, nonperforming assets of banks, consumer confidence index and investor sentiment, can be studied using high-frequency data. This research may help stakeholders adopt and manage their policies during a crisis or economic slump.Practical implicationsThis study will assist investors, researchers and educators in the fields of economics and finance in understanding how macroeconomic factors affect the stock market. Furthermore, this study can guide in portfolio diversification strategy across multiple sectors by examining the impact of macroeconomic factors specific to sectoral indices. This paper provides insight into society and researchers since it integrates a number of macroeconomic variables and their interaction with the stock market. It may also help pension funds and mutual fund firms to hedge their funds and allocate equity portfolios.Originality/valueWith respect to India, this study looked at new macroeconomic variables and sectors. It contrasted the impact of these variables in developed and developing economies. The effect of broad and sectoral stock indexes was also investigated and compared. The authors examined how these variables responded during crisis and economic downturns by using articles from a longer time frame. This research also looked into how changing the frequency of data for the variables altered stock performance. This paper emphasized the need for more research into thematic, strategy and broad market indices, such as small-cap and mid-cap indices.

scholarly journals Economic Forces and the Stock Market Performance in Developing Countries: Evidence From Sudan

2020 ◽  
Vol 11 (4) ◽  
pp. 130
Author(s):  
Nawal Hussein Abbas Elhussein ◽  
Elzibeer Fath Elrahman Hamed Warag
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Price Index ◽  
Cost Of Capital ◽  
Stock Exchange ◽  
Market Performance ◽  
Macroeconomic Factors ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run

This paper is an attempt to empirically investigate the determinants of the stock market performance in Sudan. It aims at identifying the short and long run relationships between the Khartoum Stock Exchange all- share price index (KSI) as an indicator of market performance and some selected micro and macro-economic factors. The inflation rate, cost of capital, foreign exchange rate, broad money supply, and crude oil price are chosen as proxies for macroeconomic factors. The market oriented indicators used include market capitalization, market trading system, and market trading volume. The study covers the period 2003-2017. The paper employs the Multivariate Time Series Regression Analysis to estimate the short run relationship between the selected independent variables and the KSE price index. Soren Johansen’s Cointegration Test and Vector Error Correction Model (VECM) have been employed to identify the long run equilibrium relationship among the variables. To estimate the causal relationship between the selected variables Toda-Yamamoto (T-Y) Granger Causality Test has been utilized. The study documents that the Khartoum Stock Exchange performance is significantly affected both by micro and macroeconomic factors. In the long run, all the independent variables with the exception of the cost of capital, have a significant positive relationship with KSI. However, in the short run the determinants of the stock market performance are market capitalization, market trading volume, money Supply, and cost of capital.

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