scholarly journals Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand

2014 ◽  
Vol 8 (2) ◽  
pp. 157-174 ◽  
Author(s):  
Joseph Ato Forson ◽  
Jakkaphong Janrattanagul
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Macroeconomic Variables

scholarly journals The convergence of financial sector in Asia

2021 ◽  
Vol 10 (6) ◽  
pp. 166-173
Author(s):  
Maria Pinita Angelia ◽  
Rudi Purwono
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Financial Sector ◽  
Estimation Technique ◽  
Method Of Moment ◽  
Macroeconomic Variables ◽  
Financial Sector Development ◽  
Development Indicator ◽  
Private Credit ◽  
Generalized Method Of Moment

This study aims to identify the convergence of financial sector development and the effect of macroeconomic variables on each financial sector development indicator in Asia. The sample used consists of 24 countries in Asia during the period 2010-2018. Identification of convergence using ?-convergence absolute and conditional. Indicators are used to represent the development of the financial sector namely private credit, liquid liabilities, stock market capitalization, and stock market turnover. Empirical evidence was based on the Generalized Method of Moment (GMM) estimation technique. The results showed that there was convergence in Asia and that macroeconomic variables had a significant effect on the development of the financial sector.

scholarly journals The Impact Of Macroeconomic Variables On Stock Market — Empirical Evidence On Karachi Stock Exchange By Using ARDL Model

2011 ◽  
Vol 3 (2) ◽  
pp. 125-142
Author(s):  
Adnan Javed ◽  
Muhammad Rafiq ◽  
Sarfaraz Khan ◽  
Muhammad Mohsin Khan
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Exchange ◽  
Ardl Model ◽  
Macroeconomic Variables ◽  
The Impact

Macroeconomic Factors and Pakistani Equity Market”

2004 ◽  
Vol 43 (4II) ◽  
pp. 619-637 ◽  
Author(s):  
Muhammad Nishat ◽  
Rozina Shaheen
Keyword(s):  
Stock Market ◽  
Industrial Production ◽  
Stock Prices ◽  
Stock Price ◽  
Consumer Price Index ◽  
Reverse Causality ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between a group of macroeconomic variables and the Karachi Stock Exchange Index. The macroeconomic variables are represented by the industrial production index, the consumer price index, M1, and the value of an investment earning the money market rate. We employ a vector error correction model to explore such relationships during 1973:1 to 2004:4. We found that these five variables are cointegrated and two long-term equilibrium relationships exist among these variables. Our results indicated a "causal" relationship between the stock market and the economy. Analysis of our results indicates that industrial production is the largest positive determinant of Pakistani stock prices, while inflation is the largest negative determinant of stock prices in Pakistan. We found that while macroeconomic variables Granger-caused stock price movements, the reverse causality was observed in case of industrial production and stock prices. Furthermore, we found that statistically significant lag lengths between fluctuations in the stock market and changes in the real economy are relatively short.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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