Macroeconomic factors and stock returns: Evidence from the emerging market of Asia

2018 ◽  
Vol 5 (3) ◽  
pp. 16-20
Author(s):  
Muhammad Asad Saleem Malik ◽  
Saher Touqeer ◽  
Shumaila Zeb
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Emerging Market ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka for the period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns. Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period.

scholarly journals Impact of Macroeconomic Factors on Stock Returns of KSE 100 Index

2021 ◽  
Vol 4 (1) ◽  
pp. 133-145
Author(s):  
MUHAMMAD TAHIR KHAN ◽  
ASAF KHAN ◽  
DR. ADNAN AHMAD ◽  
OBAID ULLAH BASHIR
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Inflation Rate ◽  
Negative Impact ◽  
Positive Impact ◽  
Forecast Error ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

Positive moment of stock return is an important component for investors, the intension of this study was to examine the impact of macroeconomic variables on stock return. The monthly stocks price data of 15 firms was taken from the period of January 2008 to December 2012. The results revealed that there was a positive impact of exchange rate on stock return, while inflation rate and interest rate had a significant negative impact on stock return. The results of variance decompositions revealed that out of three macroeconomic variables Inflation rate showed greater forecast error for KSE 100 Index

scholarly journals Determinants of Non-Performing Loan in Nepalese Commercial Banks

2017 ◽  
pp. 22-38 ◽  
Author(s):  
Seema Bhattarai
Keyword(s):  
Exchange Rate ◽  
Commercial Banks ◽  
Negative Impact ◽  
Positive Impact ◽  
Percent Level ◽  
Real Effective Exchange Rate ◽  
Macroeconomic Variables ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

The non-performing loans (NPL) of financial institutions are considered as a significant issue in the context of Nepal for last few decades. The paper aims to identify the impact of macroeconomic variables (GDP, Inflation, and Real Effective Exchange Rate) and bank specific variables (size, change in loan, real lending rate of interest, and share of loan to total assets) on the non-performing loan of the commercial banks in Nepal. The study was conducted mainly with secondary sources. The data were collected for 26 commercial banks covering the period of 2002-2012 with 227 observations. The study found that macroeconomic variables such as the real effective exchange rate have significantly negative impact on non-performing loan. The impact of GDP growth rate was found to be insignificant in this study. One year lagged inflation rate has significant positive impact on non-performing loan. The banks which charge relatively higher real interest rate have higher non-performing loan, which is consistent with the findings of previous studies. The ownership dummy has positive coefficient and significant at one percent level showing that if the bank is government owned the non-performing loan would be higher than that of the private owned banks. As well, more lending in the previous years and current year reduces the non-performing loan since the coefficient of change in loan in current and previous years have negative coefficient and significant at one percent level.Economic Journal of Development Issues Vol. 19 & 20 No. 1-2 (2015) Combined Issue, Page: 22-38

scholarly journals What Drives Bank Profitability? A Panel Data Analysis of Commercial Banks in Bangladesh

2021 ◽  
Vol 10 (2) ◽  
pp. 96-110
Author(s):  
Rana-Al-Mosharrafa ◽  
Md. Shahidul Islam
Keyword(s):  
Negative Impact ◽  
Positive Impact ◽  
Panel Data Analysis ◽  
Mediation Effect ◽  
Industry Concentration ◽  
Equation Modeling ◽  
Bank Profitability ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

Bank profitability plays a significant role in the growth and development of an emerging economy. The purpose of the study was to examine the impact of bank characteristics, industry concentration and macroeconomics variables on commercial bank profitability in Bangladesh from 2007-2017. Bank profitability is proxied by return on assets (ROA), return on equity (ROE) and net interest margin (NIM). The study is based on secondary data and Hausman test has been performed using STATA software in favor of fixed effect modeling. Panel regressions shows that cost efficiency has significant negative impact on ROA and NIM. The positive impact of loan to deposit ratio with ROA suggests that efficient fund management including investment and assessed expenditure should be emphasized. Bank size has significant negative impact on all the measures of profitability, which indicates that monopolistic competition will reduce banking profit. Credit risk has significant positive impacts on ROE. Industry concentration measured by CR3 is positively related with ROE and has significant negative relation with bank profitability (ROA). Among macroeconomic variables inflation has significant positive and bank spread has significant negative impact on ROE. The coefficients of all the macroeconomic variables have been found to be significantly related to bank profitability while measured by NIM. Our study recommends further research with other explanatory variables such as, corporate governance, corporate social responsibility (CSR) and deposit insurance to accelerate the model and construct the econometric model by using structural equation modeling, mediation effect modeling etc.

scholarly journals The Impact Of Macroeconomic Variables On Real Estate Price Forecasting Modelling In Abuja Nigeria

2019 ◽  
Vol 8 (5C) ◽  
pp. 67-72
Keyword(s):  
Real Estate ◽  
Negative Impact ◽  
Positive Impact ◽  
Consumer Price Index ◽  
Price Forecasting ◽  
Macroeconomic Variables ◽  
Real Estate Price ◽  
Forecasting Models ◽  
Out Of Sample ◽  
The Impact

This paper examined the impact of macroeconomic variables on real estate price forecasting modelling in Abuja, Nigeria using the family of Box-Jenkins ARIMA models. The ARIMA and ARIMAX models were used to forecast real estate residential price in Abuja, Nigeria using quarterly data from 2000Q1 to 2017Q in Naira (N). The outcome revealed that, macroeconomic variables such as consumer price index, price of crude oil, exchange rate of Naira against US dollar, GDP, interest rate, household income has significant positive impact on the real estate residential price forecasting models of 2 bedroom flat, 3 bedroom flat and 5 bedroom flat, while they have strong negative impact on the price forecasting model of 4 bedroom flat. Moreover, ARIMA and ARIMAX provides best out of sample forecasting models.

The Impact of the Business Environment on the Formalization of Informal Firms. The Case of Kosovo

Südosteuropa ◽  
2020 ◽  
Vol 68 (4) ◽  
pp. 505-529
Author(s):  
Kujtim Zylfijaj ◽  
Dimitar Nikoloski ◽  
Nadine Tournois
Keyword(s):  
Negative Impact ◽  
Positive Impact ◽  
Business Environment ◽  
Positive Influence ◽  
Policy Implications ◽  
Tax Reforms ◽  
Firm Level ◽  
Characteristics Analysis ◽  
Significant Negative Impact ◽  
The Impact

AbstractThe research presented here investigates the impact of the business environment on the formalization of informal firms, using firm-level data for 243 informal firms in Kosovo. The findings indicate that business-environment variables such as limited access to financing, the cost of financing, the unavailability of subsidies, tax rates, and corruption have a significant negative impact on the formalization of informal firms. In addition, firm-level characteristics analysis suggests that the age of the firm also exercises a significant negative impact, whereas sales volume exerts a significant positive impact on the formalization of informal firms. These findings have important policy implications and suggest that the abolition of barriers preventing access to financing, as well as tax reforms and a consistent struggle against corruption may have a positive influence on the formalization of informal firms. On the other hand, firm owners should consider formalization to be a means to help them have greater opportunities for survival and growth.

scholarly journals The Impact of Macroeconomic Variables on Sectoral Indices in Indonesia

ETIKONOMI ◽  
2017 ◽  
Vol 16 (1) ◽  
pp. 71-80 ◽  
Author(s):  
Bambang Sutrisno
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Emerging Market ◽  
Estimation Method ◽  
Least Square ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Interest Rate ◽  
The Impact

This study aims to examine the effect of macroeconomic variables on sectoral indices in the Indonesian Stock Exchange. The difference in sensitiveness among sectors is an interesting issue to investigate this relationship in an emerging market, such as Indonesia. This study employs ordinary least square (OLS) as an estimation method with monthly time-series data from January 2005 to December 2014. The results document that the interest rate, inflation rate, and exchange rate simultaneously have a significant effect on sectoral indices in Indonesia. The interest rate partially shows a significant negative influence on all sectors except basic industry and chemical, finance, infrastructure, utilities, and transportation, and miscellaneous industry sectors. The inflation rate partially has no significant effect on all sectors. The exchange rate partially has a significant negative impact on all industries.DOI: 10.15408/etk.v16i1.4323

scholarly journals THE IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA: A DYNAMIC ECONOMETRIC APPROACH

2021 ◽  
pp. 16-40
Author(s):  
Comfort Akinwolere Bukola ◽  
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Balance Of Trade ◽  
Econometric Approach ◽  
The Impact

This study examined the impact of exchange rate volatility on economic growth in Nigeria. The study covers the period of 1986 to 2019. Using time series data, the methodology adopted is the Vector Error Correction Mechanism to explore the impact of exchange rate volatility on the selected macroeconomic variables. The result indicated that exchange rate volatility has a significant impact on economic growth, specifically it has a positive impact on inflation, unemployment and balance of trade. On the other hand it has a negative impact on economic growth and investment. The recommendations made include; that relevant authorities should try to avoid systematic currency devaluations in order to maintain exchange rate volatility at a rate that allows adjustment of the balance of payments.

scholarly journals An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices

2017 ◽  
Vol 9 (6) ◽  
pp. 57 ◽  
Author(s):  
Nida Shah ◽  
Muhammad Nadeem Qureshi ◽  
Yasra Aslam
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Negative Impact ◽  
Least Square ◽  
Ordinary Least Square ◽  
Regression Methods ◽  
Significant Negative Impact ◽  
Equity Indices ◽  
The Impact ◽  
Global Stock

This study aims to explore the effect of Islamic Months specifically Ramadan and Zil-Haj on the stock returns and volatility of the Islamic Global Equity Indices. For the said purpose, the data on three Global Equity Islamic Indices including; Dow Jones Islamic Market World Index, MSCI ACWI Islamic Index, and S&P Global BMI Shariah Index are collected from 5th Jan 2011 (1st Muharram 1432 A.H.) to 12th November 2015 (30th Muharram 1437 A.H.). Ordinary Least Square (OLS) and GARCH (1,1) regression methods are applied to analyze the impact of the Islamic months on global stock returns and volatility respectively. Empirical results reveal significant negative impact of Zil-Haj on returns and volatility of Islamic Global Equity Indices. However, no significant impact of Ramadan on returns and volatility of Islamic Global Equity Indices are revealed. These findings will be fascinating and of utmost interest amidst the researchers, investors and practitioners.

scholarly journals The impact of downside risk on UK stock returns

2019 ◽  
Vol 18 (1) ◽  
pp. 53-70
Author(s):  
Fangzhou Huang
Keyword(s):  
Stock Returns ◽  
Financial Crises ◽  
Negative Impact ◽  
Positive Impact ◽  
Downside Risk ◽  
Content Type ◽  
Portfolio Returns ◽  
Time Sensitivity ◽  
Window Approach ◽  
The Impact

PurposeThis paper aims to investigate patterns in UK stock returns related to downside risk, with particular focus on stock returns during financial crises.Design/methodology/approachFirst, stocks are sorted into five quintile portfolios based on the relevant beta values (classic beta, downside beta and upside beta, calculated by the moving window approach). Second, patterns of portfolio returns are examined during various sub-periods. Finally, predictive powers of beta and downside beta are examined.FindingsThe downside risk is observed to have a significant positive impact on contemporaneous stock returns and a negative impact on future returns in general. In contrast, an inverse relationship between risk and return is observed when stocks are sorted by beta, contrary to the classic literature. UK stock returns exhibit clear time sensitivity, especially during financial crises.Originality/valueThis paper focuses on the impact of the downside risk on UK stock returns, assessed via a comprehensive sub-period analysis. This paper fills the gap in the existing literature, in which very few studies examine the time sensitivity in relation to the downside risk and the risk-return anomaly in the UK stock market using a long sample period.

scholarly journals Scoring Models and Credit Risk: The Case of Cooperative Banks in Poland

Risks ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 132
Author(s):  
Krzysztof Kil ◽  
Radosław Ciukaj ◽  
Justyna Chrzanowska
Keyword(s):  
Statistical Data ◽  
Negative Impact ◽  
Positive Impact ◽  
Review Of The Literature ◽  
Management Board ◽  
Panel Model ◽  
Significant Negative Impact ◽  
Cooperative Banks ◽  
Lending Activity ◽  
The Impact

The aim of the research presented in the article was to analyse the legitimacy of the use of scoring models in banking activities, together with the assessment of the effectiveness of this tool in reducing the high value of the NPL ratio in Polish cooperative banks on the example of banks belonging to the BPS S.A. association in the period between 2004 and 2020. We used a variety of research methods for this purpose including a depth review of the literature, analysis of statistical data regarding the sector of Polish cooperative banks, analysis of financial data of cooperative banks, construction of an econometric panel model, and the designing a questionnaire (which was later sent to the management board of selected cooperative banks). Our research confirmed the significant impact of the use of scoring models in lending activities on the value of the NPL ratio in cooperative banks. The analysed cooperative banks, which used the scoring models proposed by BIK in their lending activity, showed significantly lower values of the NPL ratio in each analysed year than banks that used other scoring models. Our study also confirmed the different direction of the impact of the models offered by BIK and individual scoring models on the value of the NPL ratio. We have also shown that the scoring models proposed by BIK have a statistically significant negative impact on the level of the NPL ratio, and the banks’ own scoring models have a statistically significant positive impact on the level of the NPL ratio.

Sign in / Sign up

Export Citation Format

Share Document