Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method

Huang, Qian; Wang, Xiangning; Zhang, Shuguang

doi:10.1016/j.najef.2023.101939

Cited by 7 publications

(4 citation statements)

References 76 publications

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“…This finding aligns with [ 41 ] research on global risk transmission during the pandemic, highlighting the rapid spread of negative shocks across markets, potentially amplifying existing risks. Additionally [ 42 ], observed a pandemic-induced increase in risk-taking behaviors, potentially contributing to the surge in adverse shocks since the outbreak.…”

Section: Results and Analysissupporting

confidence: 87%

Dynamic spillover between crude oil, gold, and Chinese stock market sectors –analysis of spillovers during financial crisis data during the last two decades

Wu,

Mai

2024

Heliyon

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Section: Results and Analysissupporting

confidence: 87%

Dynamic spillover between crude oil, gold, and Chinese stock market sectors –analysis of spillovers during financial crisis data during the last two decades

Wu,

Mai

2024

Heliyon

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“…It was concluded that there is a positive correlation between stock market development indicators and BRICS's economic growth. Similar work is done by Wang et al . (2023) in the BRICS case applying quantile method and observed relationship between economic variables and stock markets.…”

Section: Existing Literaturesupporting

confidence: 63%

“…It was concluded that there is a positive correlation between stock market development indicators and BRICS's economic growth. Similar work is done by Wang et al (2023) in the BRICS case applying quantile method and observed relationship between economic variables and stock markets. Fromentin (2022) examined time-varying causality between stock prices and macroeconomic fundamentals in order to find if there exists connection or disconnection.…”

Section: Asymmetric Dynamics and Stock Market Indicesmentioning

confidence: 93%

Re-examining asymmetric dynamics in the relationship between macroeconomic variables and stock market indices: empirical evidence from Malaysia

Mohnot,

Banerjee,

Ballaj

et al. 2023

JRF

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PurposeThe aim of this research is to re-examine the dynamic linkages between macroeconomic variables and the stock market indices in Malaysia following some transformational changes in the policies and the exchange rate regime.Design/methodology/approachUsing monthly data points for all the economic variables and the stock market index (KLCI Index), the authors applied vector autoregression (VAR) model to examine the relationship. The authors also used impulse response function (IRF) in order to explore the effect of one-unit shock in “X” on “Y” under the VAR environment.FindingsThe authors' study finds a significant relationship between all the macroeconomic variables and the stock market index of Malaysia. The cointegration results indicate a long-term relationship, whereas the vector autoregressive-based impulse response analysis suggests that the Malaysian stock index (KLCI) responds negatively to the money supply, inflation and producer price index (PPI). However, the authors' results indicate a positive response from the stock index to the exchange rate.Research limitations/implicationsThe authors' study's results are based on selected macroeconomic variables and the VAR model. Researchers may find other variables and methods more useful and may provide findings accordingly.Practical implicationsSince the results are quite asymmetric, it would be interesting for the market players, policymakers and regulators to consider the findings and explore appropriate opportunities.Originality/valueWhile the relationship between macroeconomic variables and stock market indices has been widely examined, a significant gap in the literature remains concerning the role of exchange rate variable on the stock market in an emerging economy context.

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“…Within the global economy, the capital market assumes a significant role, primarily functioning as an avenue for investors to build their investment portfolios, encompassing the trading of both stocks and bonds. The overarching objective in this context is the attainment of returns, underscoring the intention for investments to endure over an extended period, characterized by robustness and equilibrium (Widoatmodjo, 2015) The variables and macroeconomic factors (Wang, Huang, & Zhang, 2023).…”

mentioning

confidence: 99%

Analysis of Macroeconomic Variables on the Existence of Inflation in Indonesia Using the Vector Error Correction Model Approach

Afrizal

2024

j. ekon. terap.

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This research investigates the impact of macroeconomic variables, namely money supply, exchange rate, interest rate, and the joint stock index, on inflation in Indonesia. Employing the Vector Error Correction Model (VECM) dynamic model approach, the study reveals a long-term relationship among each variable (Inflation Rate, Jakarta Composite Index, Interest Rate, Exchange Rate, and Money Supply). Granger Causality Test results indicate a unidirectional relationship of interest rate and money supply variables to inflation, interest rate to Jakarta Composite Index, and money supply to the exchange rate. Conversely, there is a bidirectional relationship between exchange rate and inflation variables. In the short term, Interest Rate significantly and positively influences inflation, whereas, in the long term, it exhibits a negative and insignificant effect. Money supply, in the long run, significantly and positively affects the inflation rate. This study stands out in the macroeconomic literature due to its distinctive choice of variables and the dynamic model employed

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Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method

Cited by 7 publications

References 76 publications

Dynamic spillover between crude oil, gold, and Chinese stock market sectors –analysis of spillovers during financial crisis data during the last two decades

Dynamic spillover between crude oil, gold, and Chinese stock market sectors –analysis of spillovers during financial crisis data during the last two decades

Re-examining asymmetric dynamics in the relationship between macroeconomic variables and stock market indices: empirical evidence from Malaysia

Analysis of Macroeconomic Variables on the Existence of Inflation in Indonesia Using the Vector Error Correction Model Approach

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