scholarly journals Effects of Macroeconomic Volatility on Stock Prices in Kenya: A Cointegration Evidence from the Nairobi Securities Exchange (NSE)

2017 ◽  
Vol 9 (2) ◽  
pp. 1 ◽  
Author(s):  
Muinde Patrick Mumo
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Prices ◽  
Series Data ◽  
Macroeconomic Volatility ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Macro Variables ◽  
Long Run Equilibrium

This study examined the effects of macroeconomic volatility on stock prices via selected macro variables using the Johansen co-integration methodology. Time series data was obtained from the Kenya National Bureau of Statistics (KNBS) and the Central Bank of Kenya (CBK) for the period 1998-2015. Macro variables studied include inflation, money supply, exchange rates and interest rates against the NSE 20 share index. The study exploits the presence of unit roots of order 1(1) on the data set to apply the Johansen procedure and the Vector Error Correction Model (VECM) for data analysis. The study finds both a long-run equilibrium relationship between stock prices and the macroeconomic variables and between inflation and other macro variables. Specifically, and contrary to earlier evidence on the Kenyan market, the results suggest a negative long-run equilibrium relationship between money supply and stock prices. Inflation shows negative but insignificant relationship. Exchange rates and interest rates show a positive relationship. The short-term dynamics from the VECM support earlier documented evidence, implying the earlier evidence reflect short-run and not long-run dynamics.The study concludes that the effects of inflation seem to outweigh any possible gains from money supply on aggregate firm output in the long-run. Also, the study adduces evidence of possible spurious problems on earlier documented evidence from the reviewed studies that could be attributable to non stochastic processes in the models used. A robustness check using a multivariate approach points to this and confirms the co-integration results.

scholarly journals Analysis of Effect Macro Variable on International Trade of Indonesia

2016 ◽  
Vol 6 (2) ◽  
pp. 228
Author(s):  
Evania Rahma Octavia ◽  
Dwi Wulandari
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Series Data ◽  
The Exchange Rate ◽  
Macro Variables

This study aims to determine the effect of macro variables which include Indonesia's real gross domestic income, money supply, consumer price index and interest rates on international trade mediated by the exchange rate of rupiah against the dollar. This type of research is descriptive research with quantitative approach. Determination of the sample based on quarterly time series data 2010-2014. This study uses path analysis. The results showed domestic gross product, the money supply, and interest rates together  have a significant effect on the exchange rate but the consumer price index do not have significant effect on the exchange rate. The results also show that the exchange rate has no significant effect on imports and exports. 

scholarly journals Macroeconomic variables and banking sector development: Evidence from Nigeria

2020 ◽  
Vol 8 ◽  
pp. 288-301
Author(s):  
Ojo Johnson Adelakun ◽  
Babatunde Afolabi ◽  
Uwasejike B Abuh
Keyword(s):  
Interest Rates ◽  
Money Supply ◽  
Banking Sector ◽  
Time Series Data ◽  
Oil Price ◽  
Series Data ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Banking Sector Development ◽  
Bound Test

The study assessed the relationship between Macroeconomic Variables and Development in the Nigerian Banking Sector using annual time series data. Models were specified using Ratio of Credits to Private Sector to Gross Domestic Product (GDP) as a proxy for Banking Sector Development. At the same time, GDP growth rate, Poverty, Exchange Rate, Oil Price, Poverty, Money Supply, Inflation, and Interest rates were the selected Macroeconomic Variables used in the study. Data used were sourced from the Statistical Bulletin of Central Bank of Nigeria (CBN) for various editions and estimated using ARDL Bound Test and Vector Error Correction Mechanism (VECM). The study found that there exists a long-run relationship between Macroeconomic Variables selected and Banking Sector Development. The VECM coefficients revealed that all variables except Interest Rates have negative effects on Banking Sector Development. The VECM (-1), which showed the speed of adjustment, was rightly signed and significant, indicating a long-run causality relationship running from macroeconomic variables to banking sector development. The Impulse response from restricted VAR revealed that Banking Sector responded to the Macroeconomic Variables of which GDPGR and INT were transmitting negatively to Banking Sector Development while others were transmitting positive impulses. However, the variance decomposition found that oil price, followed by GDPGR and poverty, caused more variation in Banking Sector Development. In contrast, inflation and money supply caused the least variation in Banking Sector Development. The study, therefore, concluded that selected Macroeconomic Variables have a significant long-run relationship with Banking Sector Development. It is therefore recommended, among others that, Macroeconomic indicators should be well monitored and controlled using macroeconomic instruments promptly since when they are well managed would lead to a better developed Banking Sector in Nigeria.

scholarly journals The Dynamics of The Rupiah Exchange Rate in 2017-2020

2020 ◽  
Vol 5 (2) ◽  
pp. 1
Author(s):  
Muhammad Arief Aldila Susanto ◽  
Rr. Retno Retno Sugiharti
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Foreign Exchange ◽  
Time Series Data ◽  
Series Data ◽  
Foreign Exchange Reserves ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate

<p align="justify">The exchange rate is one of the most important indicators in the economy. Moreover, with the increasing intensity of trade between countries, commonly referred to as international trade, this economic indicator becomes important for every country, including Indonesia. The change in the Indonesian exchange rate system to a free-floating system has made the exchange rate fluctuations more dynamic. The fluctuations are influenced by various factors, both internal and external. This study aims to determine the effect of the money supply (M<sub>2</sub>), foreign exchange reserves, SBI interest rates and world crude oil prices on the rupiah/dollar exchange rate in 2017-2020 both in the short run and in the long run. The data used is monthly time series data from 2017-2020. The analytical method used in this study is the Error Correction Model (ECM). The results in this study indicate that in the short run and long run the money supply and foreign exchange reserves variables have a significant effect on the rupiah exchange rate in 2017-2020.</p>

scholarly journals NAIROBI STOCK EXCHANGE: A REGRESSION OF FACTORS AFFECTING STOCK PRICES

2019 ◽  
Vol 4 (1) ◽  
pp. 11
Author(s):  
Dr. Jane Kiboi ◽  
Dr. Paul Katuse
Keyword(s):  
Regression Analysis ◽  
Financial Markets ◽  
Exchange Rates ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Macroeconomic Factors ◽  
Indicator Variable ◽  
Market Index

Purpose: This paper analyzed factors influencing the market index for the Nairobi Stock Exchange (NSE), taking a time horizon between January 2008 to December 2010. We posit that money supply, inflation rates, exchange rates, and interest rates are significant covariates affecting the market index.Methodology: The market index and the macroeconomic covariates data was obtained from the NSE and the Central Bank of Kenya. Multiple regression analysis was used to estimate the effects of the chosen factors that affect stock values, with the market index being the indicator variable for stock values.Results: Regression analysis results revealed that the selected macroeconomic covariates - interest rates, exchange rates and inflation - significantly affect the value of stocks in the NSE. Money supply was not significant even though it had a positive correlation with the stock prices. Factor regression models described the sensitivity of an asset return as a function of one or more factors.Contribution to policy, practice and theory: Based on our analyses, we conclude that traders should constantly review the prevailing economic conditions, based on the patterns of the determinant macroeconomic factors identified in this study, to model their investment strategies. The scope of our study being limited to NSE and four macroeconomic factors, the findings of this paper may not be directly applicable to other financial markets. We therefore suggest future research directions to extend to other financial markets and include all macroeconomic factors.

scholarly journals Intra-SADC Foreign Direct Investment: A Gravity Approach to South Africa Outward Investment

2015 ◽  
Vol 8 (1) ◽  
pp. 79
Author(s):  
Onelie Nkuna
Keyword(s):  
South Africa ◽  
Exchange Rates ◽  
South African ◽  
Stock Prices ◽  
Stock Price ◽  
Developed Countries ◽  
Outward Fdi ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Agglomeration Effects

<p>This paper looks at intra-SADC FDI, focusing at South Africa outward FDI into SADC countries. LSDV and GMM estimation techniques are applied in a gravity model for the period 1999 to 2010. The study finds strong evidence that intra-trade and intra-FDI are negatively related, suggestive of a substitutive relationship between intra-SADC trade and intra-SADC FDI. The study also reveals that capital account openness, bilateral investment treaties, and labour availability are key in promoting intra-SADC FDI flows. Further, the study finds evidence that agglomeration effects are important for South African investors into SADC despite the fact that they are operating in a common region. The study also finds that FDI from developed countries complement with FDI from South Africa.</p>lts indicate that there is long-run level equilibrium relationship between the stock price of Taiwan and the NTD/USD exchange rates at lower distribution of stock prices, and at higher and lower distribution of exchange rates. The causality results show that there is unidirectional causality running from Taiwan stock price to the NTD/USD exchange rate at higher distribution of exchange rates. The result shows that there is evidence in favor of the portfolio hypothesis.<p> </p>

scholarly journals Penerapan Vector Error Correction Model pada Variabel Makro Ekonomi di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 287
Author(s):  
Moh. Faizin
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Time Series Data ◽  
Good Condition ◽  
Series Data ◽  
Causality Test ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
Macro Variables

In this time, the countries can be said to be in a good condition of the national economy if there are some indicators in positive economic macro, it is including the decline of inflation, the amount of money circulating is also decline, and the exchange rate strengthening against foreign currencies and reduced interest rates. The purpose of this study is to analyze the causality and cointegration relationships of economic macro variables, by using time series data for 2010-2019 and using the VECM model. The results of the study found that there is no causality relationship between inflation and the BI rate. Likewise, the variable money supply does not affect the BI rate. The exchange rate also does not affect each other on the BI rate variable. Causality test results also indicate that the money supply does not have a causality relationship to inflation, while the exchange rate variables influence each other on inflation. To exchange rates, it does not give affect in the variable amount of money in circulation each other. By explanation of the estimation results of the VECM model, it shows the long-term and short-term relationships of each variable generally.

scholarly journals REAKSI HARGA SAHAM PERUSAHAAN AGRIBISNIS INDEKS LQ-45 TERHADAP PERUBAHAN VARIABEL MAKROEKONOMI

2019 ◽  
Vol 7 (2) ◽  
pp. 129-140
Author(s):  
Alghif Aruni Nur Rukman ◽  
Harianto Harianto ◽  
Suprehatin Suprehatin
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Macroeconomic Variables ◽  
Negative Effect ◽  
Stock Price Reaction

This study aims to analyze the effect of changes in macroeconomic variables, namely exchange rates, interest rates, and inflation on stock prices of agribusiness companies on the LQ-45 index. This study used monthly time series data from 2008-2018 and analyzed by the VECM method. The results showed that the stock price reaction of eight agribusiness companies in the LQ-45 index varies with changes in macroeconomic variables both in the short and long term. In the short term, changes in exchange rates had a positive and significant effect on one company stock prices, while changes in inflation and interest rates had a negative and significant effect on four companies and one company respectively. In the long term, the results showed that changes in exchange rates had a positive and significant effect on two companies’ stock prices, while it had a negative and significant effect on five companies. The result also showed that changes in inflation had a positive and negative effect on one company and six companies respectively in the long term. Also besides changes in interest rates had a positive and negative effect on two companies’ stock prices respectively.

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