Stock Market Equilibrium and Macroeconomic Fundamentals

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

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A Time Series Analysis of the Nexus Between Macroeconomic Fundamentals and Stock Prices in Nigeria

Studies in Business and Economics ◽

10.2478/sbe-2018-0021 ◽

2018 ◽

Vol 13 (2) ◽

pp. 69-91

Author(s):

Amassoma Ditimi ◽

Bolarinwa Ifeoluwa

Keyword(s):

Time Series ◽

Exchange Rate ◽

Stock Market ◽

Time Series Analysis ◽

Stock Prices ◽

Macroeconomic Factors ◽

Series Analysis ◽

Integration Test ◽

Macroeconomic Fundamentals ◽

The Government

AbstractSince macroeconomic fundamentals have been found to play a vital role for changes in the economy of a country. Consequently, the onus is on the appropriate regulatory authorities to take measures in making amendments in these policies to put the economy on the right development track. The aim of this study is to use time series analysis to empirically showcase the nexus between macroeconomic fundamentals and stock prices in Nigeria. The method used for this study was the Co-integration test and the EGARCH technique to estimate the possible influence of the selected macroeconomic fundamentals on stock prices. Volatility was captured by using quarterly data and estimated using GARCH (1,1) respectively. The study found there is a positive relationship between macroeconomic factors and stock prices in Nigeria. Therefore, the study recommends that the Federal authority should put in place policy measures that will enable the exchange rate to be relatively stabilized. This is because empirical evidence from studies has shown that exchange rate affects stock market prices. In addition, the government authority should ensure an enabling environment that would build the mindset of institutional investors in the Nigerian stock market due to the existence of information asymmetry problems among potential investors.

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