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.

scholarly journals The Impact of Macroeconomic Variables on Stock Prices: An Empirical Analysis of Islamabad Stock Exchange

2014 ◽  
Vol 10 (2) ◽  
pp. 73-93
Author(s):  
Nosheen Rasool ◽  
Muhammad Mubashir Hussain
Keyword(s):  
Exchange Rate ◽  
Significant Relationship ◽  
Stock Prices ◽  
Price Index ◽  
Stock Exchange ◽  
Foreign Exchange Reserves ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Long Run ◽  
The Impact

The purpose of this study was to analyze long-run causal relationship between ISE (Islamabad Stock Exchange) and macroeconomic variables in Pakistan and also find out the direction of causality. The impact of macroeconomic variables on stock prices of ISE has not been previously discussed by the researchers. The monthly data from January 2001 to December 2010 was used in this study. The set of macroeconomic variables include Exchange Rate (ER), Foreign Exchange Reserves (FER), Industrial Production Index (IPI), Interest Rate (IR), Imports (M), Money Supply (MS), Wholesale Price Index (WPI) and Exports (X). Descriptive statistics and Unit root test, Johansen Co-integration Technique and Granger Causality Technique were employed to analyze the long-run and causal relationship between the macroeconomic variables and stock prices.  The results revealed that M showed positive and significant relationship but Foreign Exchange Reserves (FER) and Industrial Production Index (IPI) indicated positive and insignificant relationship with the stock prices. Exchange rate(ER), Money supply (MS) and  Whole sale price index(WPI) showed negative but significant relationship while Interest  rate (IR) and Export( X )indicated a negative and insignificant relationship with the stock prices. The findings of Granger Causality revealed that only exports showed a unidirectional causal relationship. 

scholarly journals Macroeconomic Variables and Stock Returns Revisited

2020 ◽  
Vol 03 (10) ◽  
Author(s):  
Feifei Wang ◽  
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Explanatory Power ◽  
Macroeconomic Factors ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
The Real ◽  
Vector Error ◽  
Long Run ◽  
Short Run

I revisit the relation between macroeconomic activities and stock prices by selecting the most important macroeconomic variables that are appropriate for analyzing their impact on stock returns. Using vector autogressive models (VAR), combined with co integration analysis and the vector error correction model (VECM) I estimate the explanatory power of each macroeconomic variable on the variations of the stock prices and distinguish the short-run from long-run movements among all key macroeconomic variables. I find that (1) in the short-run macroeconomic variables do not appear help explain changes in stock returns, (2) in the long-run the real interest rate and industrial production are the most important macroeconomic factors, and (3) in the long-term the real economic activity and stock returns Granger-cause each other.

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.

scholarly journals Measuring the Impact of Some Macroeconomic Variables on the Stock Price Index in the Iraq Stock Exchange for the period (2006-2015)

2019 ◽  
Vol 8 (4) ◽  
pp. 93
Author(s):  
Khalil Gh. Hassan ◽  
Wafaa Sabah
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Negative Effect ◽  
Stock Price Index ◽  
The Impact

This study aims at measuring the impact of some macroeconomic variables on stock prices index in the Iraqi Stock Exchange (ISX) for the monthly data from January 2006 to December 2015 based on (121) observations using the ARDL model. Results indicated that the stock price index of Iraq Stock Exchange (ISX) and macroeconomic variables are co-integrated and a long-run relationship exists between them. The long-run coefficients suggested that the consumer price index (CPI) and money supply (M2) had a negative effect while the Interest-Rate-Current Account (Over Draft) (DR) had a positive effect on the stock prices index. However, the variable exchange rate (EX) did not show significant effect on the stock prices index

scholarly journals The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

2016 ◽  
Vol 64 (6) ◽  
pp. 2015-2024 ◽  
Author(s):  
Marie Ligocká ◽  
Tomáš Pražák ◽  
Daniel Stavárek
Keyword(s):  
Interest Rate ◽  
Real Estate ◽  
Stock Prices ◽  
Causality Test ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Macroeconomic Fundamentals ◽  
Short Run ◽  
Long Run Equilibrium

Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 – 2014 we revealed a long‑run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short‑run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.

Empirical Relationship Between Macroeconomic Variables and Stock Market: Evidence from India

2021 ◽  
pp. 0258042X2110531
Author(s):  
Miklesh Prasad Yadav ◽  
Aastha Khera ◽  
Nandita Mishra
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Empirical Relationship ◽  
Market Price ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Johansen Cointegration ◽  
Short Run ◽  
Indian Stock Market ◽  
The Impact

This study investigates the relationship between the Indian stock market price behaviour and macroeconomic variables. The proxy for the Indian stock market is the BSESENSEX while Foreign Reserve, Exchange Rate (Indian vs. US Dollar) and CPI are proxies for the macroeconomic variables. The Johansen Cointegration Test and the Vector Error Correction Model (VECM) on monthly data collected from websites of Reserve Bank of India and Bombay Stock Exchange within the time period of January 2000 and February 2020 have been applied. We observe a contradiction between the results of trace statistics and the maximal eigenvalue of the Johansen Cointegration. The -trace statistics of cointegration allude to the long-run association between the Indian stock market and its constituent macroeconomic variables. The VECM is then applied to examine the long-run and short-run causalities and the results reveal the same. This study has profound implications for investors to diversify their portfolio, considering the impact of the constituent selected macroeconomic variables in the short run and long run. JEL Codes: B22, J11, R53

scholarly journals The Relationship Between Stock Market Development and Macroeconomic Fundamentals in the Visegrad Group

2017 ◽  
Vol 20 (3) ◽  
pp. 5-23 ◽  
Author(s):  
Tomáš Pražák ◽  
Daniel Stavárek
Keyword(s):  
Stock Prices ◽  
Negative Impact ◽  
Stock Exchange ◽  
Macroeconomic Factors ◽  
Stock Market Development ◽  
Long Run ◽  
Macroeconomic Fundamentals ◽  
Warsaw Stock Exchange ◽  
Short Run

This study examines the effect of specific macroeconomic factors on the stock prices of selected financial sector companies listed on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange). We investigate the nature of the causal relationships between macroeconomic factors and stock prices. The long‑term causality, tested using the Johansen cointegration test, and the short‑run dynamics between the variables, examined using the VECM model, are explored using quarterly data from the 2005–2014 period. The short‑term causality shows the possibility of time series fluctuations; however a steady state should be achieved in the long‑term. In general, we confirmed that macroeconomic fundamentals had a negative impact on stock prices. The interest rate, which also has a negative im­pact, is the most prominent predictor of the long‑run developments. We also found very rare examples of macroeconomic variables that explain changes in stock prices within the VECM framework.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

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.

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