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

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 Impact of Macroeconomic Factors on Stock Market: An Evidence from China and Pakistan

2020 ◽  
pp. 1-26
Author(s):  
Isbat Alam ◽  
Muhammad Mohsin ◽  
Khalid Latif ◽  
Muhammad Zia-ur -Rehman
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Developing Economies ◽  
Stock Exchange ◽  
Series Data ◽  
Foreign Direct Investments ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
The Government ◽  
The Impact

Silk Road is an ancient strategy of economic and trade routes development networks between emerging and developing economies (China & Pakistan). The main purpose of this research is to empirical inspect the association that exists among the China stock exchange (SSE), Pakistan Stock Exchange (KSE-100) with macroeconomic variables (Gross Domestic Product, Balance of Trade, Foreign Direct Investments, Lending interest rate, and Money Supply). The annual time series data from 1995 to 2019 used to find out the results. Macroeconomic variables have an essential role in any changes in every economy. Any unexpected variations amongst these variables influence the economy in several ways. Multiple regression techniques were analyzed and examine for the significance of data to approximate the probable impacts of variables on stock market prices. Breusch Godfrey Serial Correlation with heteroskedasticity assessment is utilized to investigate the correctness as well as residual normality of series data. The finding of this study exposed that GDP is negative significant 10% with SSE and 1% at level with KSE, FDI is insignificant with SSE. negative significant 10% at level with KSE and the result of BOT shows positive significant 5% at level with SSE while insignificant with KSE, M2 is significant 5% at level with SSE but insignificant with KSE and LI are shown statistically significant 1% at level with SSE While positive significant 10% with KSE. It is determined that it is significant and an insignificant relationship among the variables with both stock market returns. The financial analyst, policymaker appreciate these findings, investors, shareholder, stock exchange editors, security exchange supervisors as well as for the Government.                                                                                          

scholarly journals REACTION OF ISLAMIC STOCK MARKET TO MACROECONOMIC VARIABLES: A STUDY OF INDIA AND INDONESIA

2021 ◽  
Vol 7 (1) ◽  
pp. 148
Author(s):  
Mohammad Irfan ◽  
Salina Kassim ◽  
Sonali Dhimmar ◽  
Mohd Zahid ◽  
Nasrul Fahmi Zaki Fuadi
Keyword(s):  
Stock Market ◽  
Regression Model ◽  
Bilateral Trade ◽  
Stock Exchange ◽  
Random Effect ◽  
Suitable Model ◽  
Economic Activities ◽  
Macroeconomic Variables ◽  
Effect Regression ◽  
The Impact

India and Indonesia are among the world-largest democracies, having a strong international presence through involvement in various economic and intergovernmental organizations such as in the E7 countries and G20 countries groups. This study aims to identify the impact of macroeconomic variables on the Islamic stock markets of India and Indonesia. Two Islamic stock market indices are considered: the Indian Bombay Stock Exchange (BSE) Shariah Index and the Indonesian Jakarta Islamic Index (JII). At the same time, the macroeconomic variables are foreign direct investment (FDI), import, export, gross domestic product (GDP), broad money (M3), and exchange rate (ER). The study adopts panel regression analysis on yearly data covering the period from 2011 to 2020. The pooled OLS regression model, fixed effect regression model (FEM), and random effect regression model (REM) have been employed. With the REM model being suggested as the most suitable model through the Hausman test, the results suggest that FDI, export, GDP, and ER have shown positive and statistically significant influence on both the BSE Shariah and JII. It is also shown that the macroeconomic variables of India and Indonesia are heterogeneities in nature and having mean distribution effects. The study’s findings suggest that increasing the possibilities of bilateral trade and investment in the sectors such as health and pharmaceuticals, automotive components, information technology, agro products, and tourism between India and Indonesia will go a long way. It is expediting greater economic activities among these two countries.

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

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

scholarly journals Financial contagion: The impact of the volatility of global stock exchanges on the Lima-Peru Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 13-27
Author(s):  
Pedro Pablo Chambi Condori
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Exchange ◽  
Market Volatility ◽  
Financial Contagion ◽  
Stock Market Volatility ◽  
Important Indicator ◽  
Dynamic Correlation ◽  
High Volatility ◽  
The Impact

What happens in the international financial markets in terms of volatility, have an impact on the results of the local stock market financial markets, as a result of the spread and transmission of larger stock market volatility to smaller markets such as the Peruvian, assertion that goes in accordance with the results obtained in the study in reference. The statistical evaluation of econometric models, suggest that the model obtained can be used for forecasting volatility expected in the very short term, very important estimates for agents involved, because these models can contribute to properly align the attitude to be adopted in certain circumstances of high volatility, for example in the input, output, refuge or permanence in the markets and also in the selection of best steps and in the structuring of the portfolio of investment with equity and additionally you can view through the correlation on which markets is can or not act and consequently the best results of profitability in the equity markets. This work comprises four well-defined sections; a brief history of the financial volatility of the last 15 years, a tight summary of the background and a dense summary of the methodology used in the process of the study, exposure of the results obtained and the declaration of the main conclusions which led us mention research, which allows writing, evidence of transmission and spread of the larger stock markets toward the Peruvian stock market volatility, as in the case of the American market to the market Peruvian stock market with the coefficient of dynamic correlation of 0.32, followed by the Spanish market and the market of China. Additionally, the coefficient of interrelation found by means of the model dcc mgarch is a very important indicator in the structure of portfolios of investment with instruments that they quote on the financial global markets.

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