scholarly journals Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Prices ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

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.

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.

Stock Market Responses to Monetary and Fiscal Policies

2022 ◽  
pp. 266-282
Author(s):  
Elif Erer ◽  
Deniz Erer
Keyword(s):  
Stock Market ◽  
Fiscal Policies ◽  
Market Returns ◽  
Monetary Policies ◽  
Stock Market Returns ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
Effect Hypothesis ◽  
Positive Effect

This study analyzes the short-run and long-run effects of interaction between fiscal and monetary policies on stock market performance in four emerging Asian economies, which are China, India, Indonesia, and Malaysia, by using ARDL model. The study covers the period of 2003:Q1-2020:Q1. The findings from this study show monetary and fiscal policies play an important role in determining stock market returns. Also, the results theoretically support Richardian neutrality hypothesis for China and Indonesia, Keynesian positive effect hypothesis for India, and classical crowding out effect hypothesis for Malaysia, and interest channel of monetary transmission mechanism only for China.

scholarly journals Effects of Interest Rate on Stock Market Returns in Kenya

2017 ◽  
Vol 9 (8) ◽  
pp. 40
Author(s):  
Donald A. Otieno ◽  
Rose W. Ngugi ◽  
Nelson H. W. Wawire
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Granger Causality ◽  
Moving Average ◽  
Market Returns ◽  
Treasury Bills ◽  
Stock Market Returns ◽  
Long Run ◽  
Lending Rate ◽  
Short Run

Debate on the stochastic behaviour of stock market returns, 3-month Treasury Bills rate, lending rate and their cointegrating residuals remains unsettled. This study examines the stochastic properties of the macroeconomic variables, stock market returns and their cointegrating residuals using an Autoregressive Fractionally Integrated Moving Average (ARFIMA) model. It also investigates Granger causality between the two measures of interest rate and stock market returns. The study uses monthly data from 1st January 1993 to 31st December 2015. The results indicate that the 3-month Treasury Bills rate, lending rate and stock market returns are fractionally integrated which implies that shocks to the variables persist but eventually disappear. The results also reveal that the cointegrating residuals are fractionally integrated which suggests that a new and harmful long-run equilibrium might be established when each of the measures of interest rate is driven away from stock market returns. Additionally, the results indicate that the 3-month Treasury Bills rate and lending rate negatively Granger cause stock market returns in the long run. This suggests that stocks and Treasury Bills are competing investment assets. On the other hand, ARFIMA-based Granger causality reveals that stock market returns lead the 3-month Treasury Bills rate and lending rate with a negative sign in the short run. This implies that a prosperous stock market results into a favorable macroeconomic environment. A key contribution of this study is that it is the first to empirically examine fractional cointegration and ARFIMA-based Granger Causality between interest rate and stock market returns in Kenya.

scholarly journals Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Isiaka Akande Raifu ◽  
Terver Theophilus Kumeka ◽  
Alarudeen Aminu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Estimation Methods ◽  
Panel Var ◽  
Impulse Response Functions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Long Run ◽  
Policy Shocks

AbstractGiven the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods. Generally, the results from POLS show the stock market returns of the Nigerian firms reacted negatively more to the global COVID-19 confirmed cases and deaths than the domestic COVID-19 confirmed cases and deaths and lockdown policy. The results of the impulse response functions revealed that the effects of COVID-19 confirmed cases and deaths and lockdown policy shocks on stock returns oscillate between negative and positive before the stock market returns converge to the equilibrium in the long run. The FEVD results showed that growth in the COVID-19 confirmed cases, deaths and lockdown policy shocks explained little variations in stock market returns. Given our finding, we advocate for the relaxation of policy of lockdown and the combine use of monetary and fiscal policies to mitigate the negative effect of COVID-19 pandemic on stock market returns in Nigeria.

scholarly journals FACTORS DETERMINING STOCK MARKET RETURNS: CASE OF NAIROBI STOCK EXCHANGE

2016 ◽  
Vol 1 (1) ◽  
pp. 108
Author(s):  
Samson Okoth Ondiek ◽  
Dr. Ongoro
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Significant Relationship ◽  
Unique Contribution ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Book Value ◽  
Company Stock ◽  
The Government

AbstractPurpose: The study attempts to establish if the changing macroeconomic factors and the industry variables can predict the variation on the Nairobi Security Exchange stocks return Methodology: It adopted a regression model that related stock returns to various selected macro and micro economic factors and used data of 20 companies that constitute the NSE index. The study used monthly data spanning the year 2006 to 2010.Results: The regression results indicate that, four of the variables i.e. market return (NSEI), exchange rate for US/KSH, market to book value ratio have a positive and significant relationship with an individual company stock market returns. Risk Free rate (91 Treasury bill rate) also had a positive and significant relationship while industrial growth opportunity and inflation were found to be negative and significant. leverage on the other hand was found to be insignificant and therefore does not influence individual company stock market returns. Unique contribution to theory, practice and policy: These findings will have significant effects on investors’ investment decisions making as well as the Government and the capital markets authority (CMA) in the formulation of polices and guidelines. Once factor betas are estimated, we can describe the expected change in security returns with respect to changes in a given factor and thus giving the investors, CMA and the Government a better understanding on the effect of a change in the fiscal and monetary policies in the stock market. This is crucial to the Government as it seeks to promote the capital market as a source of alternative funding for economic growth. Investors wishing to construct portfolios should also consider the trends of the inflation rates, exchange rates, market to book value ratio, industrial production and the stock market.  The rise of either of this micro and macroeconomic indicators may influence the returns positively or negatively and hence the investor may choose the best time to either buy or sell their securities

Effect of Terrorism Financing on Selected Global Indices

2021 ◽  
pp. 183-205
Author(s):  
Laila Memdani ◽  
Tasiu Tijjani Kademi ◽  
Abdul Rafay
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Ardl Model ◽  
Global Indices ◽  
Stock Indices ◽  
Long Run ◽  
Terrorism Financing ◽  
Short Run ◽  
The Impact ◽  
Global Stock

Investment is a part and parcel of life. There are various avenues to invest and one of those is the stock market. But the decision of the investor depends on various factors and one of these factors is terrorism. The chapter focuses on the long and short-run association (LSA) and the influence of terrorism on major global stock indices and gold. The Paris attacks of 2015 are taken as a base, and the ARDL model is used to study the long and short-run impact on the selected stock indices. An attempt is also made to study the impact of terrorism on the stock returns using the Miller and Modigliani model. The study reveals a short-run impact of terrorism on the five selected global indices, but there is no long-run impact.

Rational–Irrational Investor Sentiments and Emerging Stock Market Returns: A Comparison from Turkey

2017 ◽  
Vol 16 (3) ◽  
pp. 219-245 ◽  
Author(s):  
Sidika Gulfem Bayram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Stock Exchange ◽  
Jel Classification ◽  
Market Returns ◽  
Dynamic Interactions ◽  
Stock Market Returns ◽  
Dynamic Relationship ◽  
The Impact

This study investigates the dynamic relationship between rational and irrational consumer-business sentiments and stock returns in an emerging stock market, Turkey. Consumer and business sentiments are divided into two components: rational and irrational sentiments. Then, the dynamic interactions and the impact of the sentiments on stock returns are examined. The fundamental economic variables used in the study consist of business conditions, economic risk premium, country risk, exchange rate risk, country growth rate, inflation rate, and terms of trade. The results show that Istanbul Stock Exchange (ISE)-100 index returns are positively and significantly affected by the rational sentiments of both consumers and businesses. JEL Classification: G02, G12, G150

scholarly journals The Impact of Macroeconomic Variables on Stock Prices in Kuwait

2019 ◽  
Vol 14 (6) ◽  
pp. 99 ◽  
Author(s):  
Ahmad M. Al-Kandari ◽  
Sadeq J. Abul
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Oil Prices ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run ◽  
Johansen Cointegration Test ◽  
The Impact

The Kuwaiti Stock Exchange was established in April 1977 and is among the oldest stock exchanges in the GCC countries. This study aims to add new evidence about the impact of macroeconomic factors on the Kuwaiti Stock Exchange. It examines empirically the dynamic relationship between the Kuwaiti Stock Exchange Index and the main macroeconomic variables. These variables included M2, the three-month deposit interest rate, oil prices, the US Dollar vs Kuwaiti Dinar exchange rate and the inflation rate. By applying the Johansen cointegration test, together with the Var Error Correction Model (VECM), the study found that there a long-run unidirectional relationship exists between the Kuwaiti Stock Exchange Index and the aforementioned macroeconomic variables. This study also confirmed the existence of a short-run relationship between oil prices and stock prices in Kuwait.

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