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Revisiting the Dynamic Relationship Between Macroeconomic Fundamentals and Stock Prices

2017
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Release : 2017
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Book Synopsis Revisiting the Dynamic Relationship Between Macroeconomic Fundamentals and Stock Prices by : Deepa Mangala

Download or read book Revisiting the Dynamic Relationship Between Macroeconomic Fundamentals and Stock Prices written by Deepa Mangala. This book was released on 2017. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between stock prices and macroeconomic variables varies across countries, time periods, datasets used, and the frequency of data used. Thus, an in-depth study to reinvestigate the relationship between selected macroeconomic variables i.e. inflation rate, exchange rate, index of industrial production, gold price, money supply and yields on treasury bills, and Indian stock market for the period of April 2005 to March 2014 has been carried out. In this study Johansen's cointegration test, vector error correction model (VECM), impulse response functions (IRFs), and variance decomposition (VDCs) test have been applied. The results of Johansen cointegration test indicates a significant negative relationship between exchange rate, inflation rate, and index of industrial production with stock prices whereas there exists a significantly positive relationship of money supply and yield on treasury bills with stock prices. Vector error correction model helps to determine both short and long run causal relationship between macroeconomic variables and stock price. The results found short run causality runs from exchange rate to Nifty, Nifty to money supply, and inflation rate whereas long run causality found from Nifty to short term interest rate and money supply.

Stock Market Equilibrium and Macroeconomic Fundamentals

1997-01-01 Business & Economics
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Release : 1997-01-01
Genre : Business & Economics
Kind : eBook
Book Rating : 210/5 ( reviews)

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Book Synopsis Stock Market Equilibrium and Macroeconomic Fundamentals by : Mr. Lamin Leigh

Download or read book Stock Market Equilibrium and Macroeconomic Fundamentals written by Mr. Lamin Leigh. This book was released on 1997-01-01. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and “semi-strongly” efficient in asset-pricing terms but not “strongly” efficient. Granger causality tests based on the efficiency test results indicate that developments in the stock market appear to be systematically related to the overall economy in Singapore and can thus serve as a leading indicator of its intertemporal behavior.

The Chicago Plan Revisited

2012-08-01 Business & Economics
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Release : 2012-08-01
Genre : Business & Economics
Kind : eBook
Book Rating : 523/5 ( reviews)

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Book Synopsis The Chicago Plan Revisited by : Mr.Jaromir Benes

Download or read book The Chicago Plan Revisited written by Mr.Jaromir Benes. This book was released on 2012-08-01. Available in PDF, EPUB and Kindle. Book excerpt: At the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving Fisher (1936) claimed the following advantages for this plan: (1) Much better control of a major source of business cycle fluctuations, sudden increases and contractions of bank credit and of the supply of bank-created money. (2) Complete elimination of bank runs. (3) Dramatic reduction of the (net) public debt. (4) Dramatic reduction of private debt, as money creation no longer requires simultaneous debt creation. We study these claims by embedding a comprehensive and carefully calibrated model of the banking system in a DSGE model of the U.S. economy. We find support for all four of Fisher's claims. Furthermore, output gains approach 10 percent, and steady state inflation can drop to zero without posing problems for the conduct of monetary policy.

Efficiency and Anomalies in Stock Markets

2022-02-17 Business & Economics
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Release : 2022-02-17
Genre : Business & Economics
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Book Rating : 802/5 ( reviews)

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Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong. This book was released on 2022-02-17. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Commodity Prices and Markets

2011-03 Business & Economics
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Release : 2011-03
Genre : Business & Economics
Kind : eBook
Book Rating : 899/5 ( reviews)

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Book Synopsis Commodity Prices and Markets by : Takatoshi Ito

Download or read book Commodity Prices and Markets written by Takatoshi Ito. This book was released on 2011-03. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.

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