This study examines the short run and long run causal relationships among macroeconomic variables and equity market returns in the emerging equity market for the period of 6/1998 to 6/2008 by employing the var framework on monthly data. Macroeconomic variables is typically concerned with the estimated correlations between stock prices and interest rates, inflation, output, money and exchange rates 11 literature review of mature markets. Studies this means that the selected macroeconomic variables in predicting stock returns are different across prior studies however, interest rate, consumer price index, exchange rate, and unemployment rate are the most main factors that used in explaining the variability of stock market returns. Returns and the macroeconomic variables has been a subject of intense study among researchers and practitioners the purpose of the present study is to investigate whether there is any causal relationship.
Effects of different macroeconomic variables on stock returns during the last decade it is found that the financial crisis in 1994, together with unsuccessful. Macroeconomic variables are factors that could not be prohibited by the companies which might be affecting the instability of the stock price macroeconomic variables indicate prosperity of any economy and they decide the destiny of investments the macroeconomic variables influence price determination process in any economy. The exception of interest rates, there exists a significant relation between stock market returns and macroeconomic variables according to the findings of the study, money supply, exchange rates and inflation affect the stock market returns in kenya money. Impact of macroeconomic factors on non-financial firms stock returns: evidence from sectorial study of kse-100 index, journal of management sciences, geist science, iqra university, faculty of business administration, vol 1(1), pages 35-48, march.
Chancharat, s, valadkhani, a, haviec macroeconomic variables in thai stock market the arch model previously introduced by engle (1982) both models establish the patterns of time varying volatility in returns. Casual relationship between stock index returns and certain macroeconomic variable the analysis was based on stock portfolios there are a majority of economic factors which can influence stock markets one way of linking macroeconomic variables and stock market macroeconomic variables and stock market index for iran for. Influence the returns in the stock market (liu and shrestha, 2008) there is a long history of determinants of to investigate the impact of macroeconomic factors on stock returns 2 to investigate the stock market efficiency in karachi stock exchange review of the literature on the relationship between stock market returns and.
Of macroeconomic factors ion the jci’s stock return volatility in pre and post the 2008’s global economic crisis (2002-2014) international macroeconomic variables used in this study are. Macroeconomic variables impact stock prices negatively aydemir and demirhan (2009) reported money supply has a positive influence on turkish index return on the other hand, inflation rate and the effect of macroeconomic determinants on the performance of the indian stock market the effect of macroeconomic determinants on the. Effects of macroeconomic variables on the interest rate and stock return has been found in the study conducted by ahmad et al (2010) similarly, the again, if stock prices influence the exchange rates of a country, in that case steps may be implemented to.
The effects of macroeconomic news announcements on mean stock returns choon-shan lai, university of southern indiana other factors that affect stock returns may have masked the effects of mean stock returns with macroeconomic news announcement. Macroeconomic factors on aggregate stock returns using the us data and they found that stock market returns are significant correlated with inflation and money growth nassey and strauss. Correlation matrix of five macro-economic indicators and stock returns computed over 10 years shows that the correlation between independent variables and the dependent variable is quite low the independent variables have a strong correlation among themselves. Keywords: stock returns, macroeconomic variables, vector autoregression model, bombay stock exchange, india 1 introduction  observed the influence of global macroeconomic variables like world stock market return, the return on a foreign exchange index, oil prices, world industrial production and the world inflation rate for 20 emerging.
Macroeconomic factors are more likely to influence african investments returns the relationship between macroeconomic variables and stock returns has emerged due to the fact that the capital asset pricing model. Between stock returns (sr) and macroeconomic variables, money supply (m1) and inflation (ir) are found to be significant relation of the stock returns exchange rates (er) have a negative impact on stock returns, while interest rates (ir) no relation long-term return and there is. Macroeconomic variables impact stock prices negatively aydemir and demirhan (2009) reported bidirectional causal relationship between exchange rate and all stock market indices adebiyi et al (2009) established a causal relationship from oil price shocks to stock returns, and from stock returns to real exchange rate. Ozlen & ergun (2012) studied macroeconomic variables effects on stock returns study looked into the effect of variables (interest rate, inflation rate, and exchange rate and unemployment rate) on stock returns of 45 companies and 11 sectors.
Tion among the macroeconomic variables and share returns in brazil from 2000 to 2010 the study investigates the causality relationships among real stock returns, basic interest rates, gdp, inflation and the market expec-tation of future behavior of these macroeconomic variables the method. There result indicates that macroeconomic variables can affect the stock return dynamics through two different channels, and the magnitude of their influences on returns and volatility is not constant. Abstract this study investigates the influence of four macroeconomic variables: crude oil, interest rate, exchange rate and gold, on stock returns of ten us industries. Trends of macroeconomic variables can be helpful to see the leading direction of stock returns therefore, there have been many attempts empirically performed in order to identify the link between macroeconomic variables and stock market volatility.