Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets

Abugri, Benjamin A.

doi:10.1016/j.irfa.2006.09.002

Cited by 127 publications

(104 citation statements)

References 30 publications

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“…The negative long run impact of money supply in India may be due to its weakly pro-cyclical, neutral or counter-cyclical monetary policy. Moreover, this negative long run effect conforms to the expectation that when money supply increases, it leads to higher inflation and lower returns which is consistent with the study of Abugri (2008).…”

Section: Cointegraion and Vecm Results In Indiasupporting

confidence: 90%

The Role of Macroeconomic Variables on Stock Market Index in China and India

Hosseini¹,

Ahmad²,

Lai³

2011

IJEF

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This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries.

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Section: Cointegraion and Vecm Results In Indiasupporting

confidence: 90%

The Role of Macroeconomic Variables on Stock Market Index in China and India

Hosseini¹,

Ahmad²,

Lai³

2011

IJEF

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“…According to the table 03 and table 04, there is a significant negative impact of interest rate on stock market return measured by ASPI and ASTRI (p=0.006 < 0.05, p=0.004 respectively), as a result H 1 is supported. The result is consistence with the findings of previous researches such as Johansen and Juselus (1999); Abugri (2006); Chen et al (1986) and Menike (2006). Hypothesis (H 2 ) stated that Inflation rate significantly influences on stock market returns measured by ASPI and ASTRI.…”

Section: Regression Analysissupporting

confidence: 89%

“…No short run or long run equilibrium relationship is found between the exchange rates and stock prices. Abugri (2006) performed a study to determine whether selected macroeconomic indicators like exchange rates, interest rates, industrial production and money supply in four Latin American countries significantly explain market returns. His research results indicated that the global factors are consistently significant in explaining returns in all the markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Macroeconomic Variables and Stock Market Returns in Sri Lanka

Balagobei

2017

AJFA

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“…Recently, Abugri (2008) has used them to analyze the interactions between financial markets and macroeconomic performance in four Latin American economies. Other country-specific applications have focused on the Mexican economy.…”

Section: Methodsmentioning

confidence: 99%

Competition between Latin America and China for US Direct Investment

Gallegos

Ivanova²,

Ruíz-Porras

2008

Glob. Econ. J.

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There is a belief that the Chinese economy competes with the Latin-American ones for investment flows. Here we analyze the determinants of the US FDI outflows to the most representative Latin-American economies. We develop such assessment with a double-procedure cointegration analysis based on the time-series methodologies of Toda and Yamamoto (1995) and Liu, Song and Romilly (1997). The results suggest that long-run investment to the LatinAmerican region mainly depends on the performance of the US economy. Furthermore, they suggest the existence of a substitution effect between the Latin American countries and China for US investment flows. ResumenExiste una creencia de que la economía china compite con las latinoamericanas por flujos de inversión. Aquí analizamos los determinantes de los flujos de IED de EEUU a las economías latinoamericanas más representativas. Desarrollamos dicha evaluación con un análisis de procedimiento doble de cointegración basado en las metodologías de series de tiempo de Toda y Yamamoto (1995) y Liu, Song y Romilly (1997). Los resultados sugieren que la inversión de largo plazo en la región latinoamericana depende, primordialmente, del desempeño de la economía estadounidense. Además, los resultados sugieren la existencia de un efecto de sustitución de flujos de inversión de EEUU entre los países latinoamericanos y China. JEL CLASSIFICATION: F21, F40

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Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets

Cited by 127 publications

References 30 publications

The Role of Macroeconomic Variables on Stock Market Index in China and India

The Role of Macroeconomic Variables on Stock Market Index in China and India

Macroeconomic Variables and Stock Market Returns in Sri Lanka

Competition between Latin America and China for US Direct Investment

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