scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

scholarly journals The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

2019 ◽  
Vol 12 (4) ◽  
pp. 50
Author(s):  
Raed Walid Al-Smadi ◽  
Muthana Mohammad Omoush
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

scholarly journals Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis

2016 ◽  
Vol 8 (8) ◽  
pp. 194
Author(s):  
Sirine Ben Yaâla ◽  
Jamel Eddine Henchiri
Keyword(s):  
Stock Market ◽  
Money Supply ◽  
Inflation Rate ◽  
Demographic Variables ◽  
Second Order ◽  
Stock Market Index ◽  
Order Difference ◽  
Market Index ◽  
Long Run ◽  
Short Run

<p>This study aims to analyze the long-run as well as the short-run relationship between macroeconomic, demographic variables and the Tunisian stock market for the period subsequent to the financial crisis. Monthly data over the period 2008-2014 and ARDL model have been employed. Results indicate that the Tunisian stock market index, macroeconomic and demographic indicators are cointegrated and, therefore, a long-run relationship exists between them. The long-run coefficients suggest that budget deficit, inflation rate and number of unemployed graduates had a negative effect, otherwise, money supply and number of non-resident entries had positive effect on the Tunisian stock market. Moreover, results from the error correction model show that the Tunisian stock market index is influenced positively by money supply and second order difference of the number of unemployed graduated and negatively by first and second order difference of money supply, inflation rate, first order difference of number of non-resident entries and number of unemployment graduates.</p>

Long Term Effects of Major Macroeconomic Variables on the Brazilian Stock Market: A nonlinear ARDL application

2021 ◽  
Vol 9 (2) ◽  
pp. 289-299
Author(s):  
MARCELO MELO ◽  
WELIGTON GOMES
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Government Debt ◽  
Long Term Effects ◽  
Stock Market Index ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
The Interest Rate

This research used NARDL methodology to investigate relevant macroeconomic variables influence on the Brazilian stock market index. We used monthly data from January/2000 to July/2020 and the six macroeconomic variables investigated are described as follows: net government's debt/GDP (DEBT), exports (EXPORT), consumer confidence (ICC), liquidity ratio (M4_PIB), interest rate (SELIC) besides the stock market index (IBOV). All monthly data were collected from IPEADATA. The main conclusions are that there is long run effect of IBOVESPA due to a decrease of government debt is clear and statistically significant, the long run effect in the liquidity ratio also affects IBOVESPA index. Moreover, the most outstanding result was the long run effect of decrease in the interest rate over the IBOVESPA index. Sustainable reductions in the interest rate would consistently stimulate the stock market index. Research outcomes also indicate that long run asymmetries of government debt, liquidity ratio and interest rate are reliable and statistically significant.

Globalization of Stock Market, Economic Growth, and Geopolitical Risk

2021 ◽  
pp. 157-168
Author(s):  
Ecenur Ugurlu Yildirim
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Foreign Investors ◽  
Dynamic Correlation ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Market Economic ◽  
Short Run ◽  
International Investors

Although the significance of the foreign investors constructing the significant magnitude of GDP increases for the emerging markets, their equity markets' attractiveness is affected by their vulnerability to geopolitical risk. The purpose of this study is to empirically investigate the effect of the stock market globalization on the correlation between economic growth and geopolitical risk in Brazil. After the dynamic correlation between economic growth and the geopolitical risk in Brazil is obtained by DCC-GARCH(1,1) methodology, the nonlinear autoregressive distributed lag (NARDL) model is employed to examine the asymmetric relationship among variables. The findings demonstrate while the changes in the globalization of the stock market decrease the connection between economic growth and geopolitical risk in the long-run, the positive changes in the participation of foreign investors make economic growth and geopolitical risk more connected the in short-run. Moreover, this impact is asymmetric. This chapter provides valuable implications for international investors and policymakers.

scholarly journals The validity of the Fisher effect for an inflation targeting country

2021 ◽  
Vol 72 (5) ◽  
pp. 697-717
Author(s):  
Sinem Pınar Gürel
Keyword(s):  
Interest Rates ◽  
Inflation Targeting ◽  
Fisher Effect ◽  
Government Bonds ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Turkish Economy ◽  
Inflation Rates ◽  
Short Run

The aim of this paper is to investigate the relationship between interest and inflation rates. In this regard, the validity of the Fisher Effect under an inflation targeting regime country is examined by considering the possibility of non-linearities. To this aim, the Fisher Effect is analysed by using various types of interest rates to identify the short-, mid- and long-term dynamics. Autoregressive distributed lag (ARDL) and non-linear autoregressive distributed lag (NARDL) models were estimated for Turkish economy between 2006-2019 periods. The empirical findings of ARDL models reveal the validity of Fisher Effect both for short and long run. The results of NARDL models indicate a strong Fisher Effect in the long run, except for 5-year government bonds. For short-run, the Fisher Effect holds only when inflation rises and there is no significant result when inflation decreases.

scholarly journals Cointegration analysis of stock market index and exchange rate: The case of Serbian economy

2021 ◽  
pp. 59-71
Author(s):  
Milena Marjanović ◽  
Ivan Mihailović ◽  
Ognjen Dimitrijević
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
The Exchange Rate ◽  
Adf Test ◽  
Long Run Equilibrium

Since the late 90's, the existence and direction of causality between the capital market and foreign exchange market have attracted significant attention of theoretical and empirical researchers. This is because both of these financial variables have an indisputable role in the development of each country's economy. In this paper we use Johansen procedure and Granger causality test to examine the existence and direction of short-run and long-run dynamics between the leading stock market index BELEX15 and RSD/EUR exchange rate in Serbia. Using ADF test we find that both series are integrated of order one, and since the value of Johansen trace statistics confirmed the existence of cointegration, we have proceeded with estimation of the VECM model. According to our VECM model, the BELEX15 index adjusts to the long-run equilibrium relationship at a rate of 11.72% in each period, while the exchange rate adjusts to the long-run equilibrium relationship at a rate of 2.73%. We also find that there is unidirectional causality and that the market index influences the exchange rate movements in the short-run in terms of Granger.

Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market

2018 ◽  
pp. 229-245
Author(s):  
Huynh Viet Khai ◽  
Le Minh Sang ◽  
Phan Thi Anh Nguyet
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Economic Crisis ◽  
Oil Prices ◽  
Stock Market Index ◽  
Market Index ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Impact

This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic crisis.

Economic activity and financial variables in Mexico

2019 ◽  
Vol 14 (28) ◽  
pp. 9
Author(s):  
Francisco López-Herrera ◽  
Alejandra Cabello ◽  
Edgar Ortiz
Keyword(s):  
Stock Market ◽  
Economic Activity ◽  
Activity Index ◽  
Consumer Price Index ◽  
Stock Market Index ◽  
Explanatory Variables ◽  
Financial Variables ◽  
Distributed Lag ◽  
Market Index ◽  
Long Run

This paper analyzes the relationship between economic activity in Mexico and a set of relevant Mexican financial variables. Monthly data for the period January 1993 to August 2018 includes time series of global economic activity index, consumer price index, peso-USD exchange rate, international reserves, interest rate of short-term Mexican T-bills, Mexico´s stock market index and its level of activity as measured by the volume of operations on variable income assets. The analysis is based on an Autoregressive Distributed Lag (ADRL) model. The empirical evidence reveals that all explanatory variables, except the stock market index, show a long-run relationship with the level of Mexican economy activity.

scholarly journals Time Series Analysis of Interest Rates Volatility and Stock Returns in Ghana

2019 ◽  
Vol 5 (2) ◽  
pp. 89-102
Author(s):  
Johnson Worlanyo Ahiadorme ◽  
Emmanuel Sonyo ◽  
Godwin Ahiase
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Stock Market ◽  
Time Series Analysis ◽  
Interest Rates ◽  
Market Returns ◽  
Stock Market Returns ◽  
Series Analysis ◽  
Long Run ◽  
Short Run

The study utilized time series analysis models and employed the Johansen’s cointegration procedure and the vector error correction model to examine the short-run and long-run dynamics of the relationship between interest rates and stock market returns. The results of this study show that contrary to popular evidence from extant research, interest rate changes positively and significantly affect stock market returns in the long run and the deviation from the long-run equilibrium is corrected each period following a shock to the stock market in the short run. The positive linkages between interest rate changes and stock market outturns may be explained by the relative strength of banking stocks on the Ghana Stock Exchange. The analysis shows that as the long-run equilibrium is approached, the deviations in the short term decrease significantly.

scholarly journals Determinants of Capital Flight In Ghana

2017 ◽  
Vol 7 (2017) ◽  
pp. 104-126
Author(s):  
Richmond Forson ◽  
Camara Kwesi Obeng ◽  
William Gabriel Brafu-Insaidoo
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Financial Development ◽  
Good Governance ◽  
External Debt ◽  
Capital Flight ◽  
Distributed Lag ◽  
Long Run ◽  
Gdp Growth Rate ◽  
Short Run

The study investigated the short-run and long-run determinants of capital flight in Ghana using the auto-regressive distributed lag (ARDL) estimation technique. The long-run and short-run results show that real GDP growth rate, higher domestic real interest rate over foreign interest rate, financial development, good governance and strong property rights reduce capital flight, while external debt to GDP leads to increase in capital flight in Ghana. However, lagged external debt to GDP and lagged financial development had negative and positive effect respectively in the short-run. The study recommends that government should adopt more pro-growth policies and resort to domestic borrowing to reduce external debt. The Central Bank of Ghana should improve on the development of the financial sector and ensure competitive domestic interest rates. It is also recommended that Public Accounts Committee (PAC) in Ghana should continue to ensure accountability and transparency to strengthen the interest of domestic investors.

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