Determinants of Stock Market Performance

Rakhal, Ramjee

doi:10.3126/nccj.v3i1.20255

Cited by 7 publications

(5 citation statements)

References 12 publications

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“…The impact of certain macroeconomic parameters such as remittances, money supply, exchange, rate, and interest, rate on securities market performance is investigated in this article. The analysis shows that remittances and money supply have a beneficial impact on the stock market, whereas interest, rates and exchange, rates negatively impact (Rakhal, 2015). According to this study, real M2 does not affect the securities market index (Hsing, 2011).…”

Section: Review Of Literaturementioning

confidence: 51%

VAR and VECM models were used to investigate the factors that influence of Indian securities market performance, including the period of Covid 19's financial crises

Surana

2023

J. Decis. Anal. Int. Comp.

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Using a dummy variable, we evaluate commodities in addition to macroeconomic considerations of the Indian securities market from 2010 to 2021, which includes the era of the Covid 19 crises. We used the Bombay Stock Exchange (BSE) (Sensex) for securities market performance and developed a Vector Auto regressive models that combines the short- and long-run model of economics. On stock price indexes, we discovered that the Indian securities market reflects both macroeconomic indicators and prices of commodity. Growth in the economy, inflation, interest, rates, currency rates, crude oil prices, and gold prices are all factors to consider were all used in this study to see how they affected BSE (Sensex) prices during the Covid 19 crises. In their first difference, all series were judged to be stationary. We discovered that shocks to all eight factors had both positive and negative effects on BSE (Sensex) prices in the short and long term, including Covid 19 crises. Each securities market index’s most significant impulse is its own shock, decreasing from short to long-term. We also used the Joint Co-Integration Test to detect and confirm the lack of a long-term equilibrium link (cointegration) between all eight variables, resulting in four cointegration equations with an estimated error correction term at the 0.05 level (speed of adjustment towards equilibrium) of 0.007362. Vector Error Correction Mode (VECM), on the other hand, suggests that the BSE (Sensex) has a significant value with its lagged values of.007362 and 0.517952. We created Vector Auto regressive (VAR) models for the BSE (Sensex) using eight independent variables, including Dummy variables, but their statistics were not significant, despite the fact that the lagged value of crude oil, gold prices, the rupee, and the BSE (Sensex) lagged value were all significant. We proceed to estimate VECM. We proved the short and long-term effects of lagged BSE(Sensex) prices, crude oil prices, gold prices, and the currency on the BSE (SENSEX) using several robustness tests. Dummy factors have also been included to see how the Covid 19 crisis affected the BSE (Sensex) prices. We discovered that crude oil prices followed value, gold prices lagged value, and rupees based on the dollar had a significant impact on BSE(Sensex) pricing over the study period, including the Covid 19 crises from March 2020 to June 2021.

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Section: Review Of Literaturementioning

confidence: 51%

VAR and VECM models were used to investigate the factors that influence of Indian securities market performance, including the period of Covid 19's financial crises

Surana

2023

J. Decis. Anal. Int. Comp.

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“…The positive effect of money supply and negative influence of interest rate on NEPSE index were verified by the findings of Shrestha and Pokhrel (2019) and Devkota and Dhungana (2019). Rakhal (2018) found the significant positive effect of remittance and money supply and negative effect of interest rate and exchange rate on the performance of Nepalese stock market. Panta (2020) applied ARDL model and found a strong association of GDP, money supply, inflation, interest rate and exchange rate with performance of Nepalese stock market in long-run.…”

Section: Introductionmentioning

confidence: 92%

Macroeconomic Factors and Stock Market Performance in Nepal

Shrestha¹,

Lamichhane

2021

PYC Nep. J. Mgt

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This paper examines co-integrating relationship between macroeconomic factors and stock market performance in Nepal using time series data for the period 1987/88 to 2019/20. This study has used Autoregressive Distributed Lag (ARDL) bounds testing approach to identify the co-integrating relationship between macroeconomic variables and stock market performance. The stock market performance is measured by market capitalization which is considered as dependent variable and selected macroeconomic factors such as broad money supply measured by M2, economic growth measured by gross domestic product (GDP) and interest rate measured by 91-days Treasury bill rate are considered as explanatory variables. ARDL bounds test reveals that stock market performance is co-integrated with macroeconomic variables. Similarly, result of this paper shows the significant positive impact of economic growth. Further, finding reports a significant negative effect of broad money supply and interest rate on performance of Nepalese stock market in long-run. Finally, this paper concludes that disequilibrium of stock market performance in short-run is corrected by GDP, M2 and IR in the long-run. The policy implication of this paper is in formulation of capital market policy, monetary policy, financial policy and economic policy. Stock market policy makers should consider macroeconomic variables while formulating capital market policy for the better performance of stock market in Nepal.

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“…The study concluded that the findings are of great interest to readers in the areas of economic forecasting on the base of long memory models. Rakhal (2018) explored the effect of selected macroeconomic factors such as remittances, money supply, exchange rate, and interest rate on stock market performance. The study demonstrates that remittance and money supply positively affect the stock market whereas interest rate and exchange rate negatively affect the stock market performance.…”

Section: Empirical Literature Reviewmentioning

confidence: 99%

Exploring the Role of Exchange Rate in Driving Market Capitalization in Nigeria

Ewubare¹,

Chukwu²,

Ezekwe³

2022

Saudi J Econ Fin

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The centrality of exchange rate in stock market performance cannot be over-emphasized. Thus, this study examined the dynamic effects of exchange rate on market capitalization in Nigeria. The specific objectives are to examine the effects of nominal exchange rate, real effective exchange rate, real interest rate and inflation rate on market capitalization using time series data which were obtained from the WDI and World Federation Exchanges Database between 1993 and 2020. Unit root test, cointegration test, ARDL estimation method, Granger causality tests were applied to analyze the data. The unit root test results showed that only market capitalization is stationary at levels whereas the other variables become stationary at first difference. The bounds cointegration test result revealed that market capitalization has long run relationship with the explanatory variables. The results revealed that real effective exchange rate impacted positively on the market capitalization. This implies that increase in real exchange rate (depreciation of the naira) creates opportunity for increase in the capital market size. The results further revealed that nominal exchange rate has an insignificant positive effect on market capitalization in the short run and long run. This could be linked to the inconsistency that characterizes the official exchange rate policy in Nigeria. It was also found that real interest rate has significant negative effect on market capitalization in the long run. At the same time, inflation rate negatively affected market capitalization. The Granger causality test results showed that a unidirectional causality runs from real interest rate and market capitalization. Given the findings, this study recommends that policymakers should ensure that the exchange rate management prioritizes a realistic and stable exchange rate to boost global competitiveness and improve market capitalization.

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Determinants of Stock Market Performance

Abstract: Abstract

Cited by 7 publications

References 12 publications

VAR and VECM models were used to investigate the factors that influence of Indian securities market performance, including the period of Covid 19's financial crises

VAR and VECM models were used to investigate the factors that influence of Indian securities market performance, including the period of Covid 19's financial crises

Macroeconomic Factors and Stock Market Performance in Nepal

Exploring the Role of Exchange Rate in Driving Market Capitalization in Nigeria

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