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The Impact of Macroeconomic Fundamentals on Stock Prices Revised

2016
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Release : 2016
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Book Synopsis The Impact of Macroeconomic Fundamentals on Stock Prices Revised by : Gurmeet Singh

Download or read book The Impact of Macroeconomic Fundamentals on Stock Prices Revised written by Gurmeet Singh. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: The study investigates the relationships between the Indian stock market index (BSE Sensex) and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period January 2007 to March 2014. Johansen's co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the stock prices positively relate to the wholesale price index, money supply and interest rate but negatively relate to index of industrial production and exchange rate. The index of industrial production and the exchange rate are found to be insignificant in determining stock prices. In the Granger causality sense, there is bi-directional causality between exchange rate and stock market index and interest rate and stock market index. Interest rate causes stock market index in both long run and short-run. The findings show the evidence of causality from stock price index to wholesale price index in both long-run and short run but not other way around. Furthermore, it is observed from the findings that money supply causes stock prices only in the long-run but not in short run.

The Impact of Macroeconomic Variables on U.S. Stock Prices

2007 Macroeconomics
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Release : 2007
Genre : Macroeconomics
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Book Synopsis The Impact of Macroeconomic Variables on U.S. Stock Prices by : Shaoyi Chen

Download or read book The Impact of Macroeconomic Variables on U.S. Stock Prices written by Shaoyi Chen. This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt:

Stock Market Equilibrium and Macroeconomic Fundamentals

1997 Business & Economics
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Release : 1997
Genre : Business & Economics
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Book Synopsis Stock Market Equilibrium and Macroeconomic Fundamentals by : Lamin Leigh

Download or read book Stock Market Equilibrium and Macroeconomic Fundamentals written by Lamin Leigh. This book was released on 1997. Available in PDF, EPUB and Kindle. Book excerpt: Recently, there has been a resurgence of research interest in the role played by stock markets in developing countries. The International Finance Corporation (IFC) in Washington has set up the Emerging Markets Study Group particularly devoted to the understanding of the relationship between the development of stock markets and the functioning of financial intermediaries and its overall effect on growth. This paper examines the efficiency characteristics of the Stock Exchange of Singapore (SES) and its role in the economy.

The Effect of Macroeconomic Variables on Stock Prices

2014
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Release : 2014
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Book Synopsis The Effect of Macroeconomic Variables on Stock Prices by : Shivangi Singh

Download or read book The Effect of Macroeconomic Variables on Stock Prices written by Shivangi Singh. This book was released on 2014. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between fundamental macroeconomic variables of the economy and stock markets is an essential one. It affects the perspective of monetary and fiscal policy decisions, portfolio management and economic development. It has been studied that macroeconomic variables can influence investors' investment decisions. Over the world, many researchers have investigated the relationships between stock market prices and various macroeconomic variables. The focus of the current paper is to investigate whether the share price index can be considered as a reflection of economic activities in India. This study investigates the impact of five selected macroeconomic variables on Stock Market Liquidity of S&P CNX Nifty. As a result of this analysis, a simple model of the influence of macroeconomic fundamentals on the stock market index has been suggested. For better stock market performance, policy makers should put in place measures that will ensure a stable macroeconomic environment.

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.

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