Impact of Macroeconomic Variables on Stock Market Performance: Evidence from Sri Lanka

Balagobei, Saseela; Bandara, D. R. N. K. K.

doi:10.4038/wjm.v13i1.7551

Cited by 6 publications

(5 citation statements)

References 13 publications

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“…All selected variables were found to be stationary at the first difference based on the ADF test results. These findings are also consistent with the research of Balagobei & Bandara (2022) and Imran et al (2010). The primary requirement for cointegration tests is to assess the stationarity level through the first difference, which can be done using the Augmented Dickey-Fuller (ADF) test.…”

Section: Discussionsupporting

confidence: 93%

Understanding the Moderating Role of Dollar Exchange Rate in Shaping the Linkages Between Foreign Direct Investment and Pakistan Stock Exchange Performance

Abbas,

Idrees,

Syed

2023

Contemporary Issues in Social Sciences and Management Practices

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The stock exchange market is a crucial component of the economy, providing investors with the opportunity to participate in the shares of different enterprises. This study investigates the influence of the United States Dollar exchange rate and foreign direct investment (FDI) on the Karachi Stock Exchange-100 index, a key component of the Pakistan Stock Exchange. Utilizing monthly data from July 2008 to March 2023, the research employs an Augmented Dickey-Fuller test for stationarity and Johnson Cointegration test for model confirmation. Results from the Granger Causality test highlight significant long-term relationships between FDI, inflation, interest rates, balance of payments, and the Karachi Stock Exchange-100 index. Conversely, the exchange rate and FDI exhibit statistical insignificance in the short term. Introducing moderation effects, the exchange rate demonstrates negligible long-term impact but reveals a negative short-term association with the Karachi Stock Exchange-100 index. Impulse response analysis indicates positive reactions to shocks for FDI, balance of payments, and the dollar exchange rate, with inflation and interest rates exhibiting negative responses. The study's novel contribution lies in uncovering the nuanced temporal dynamics between economic indicators and the stock market, offering valuable insights for policymakers crafting investment strategies to navigate market volatility and enhance stock market returns.

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Section: Discussionsupporting

confidence: 93%

Understanding the Moderating Role of Dollar Exchange Rate in Shaping the Linkages Between Foreign Direct Investment and Pakistan Stock Exchange Performance

Abbas,

Idrees,

Syed

2023

Contemporary Issues in Social Sciences and Management Practices

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“…S. Balagobei and D. R. N. K. K. Bandara [5] investigated the impact of macroeconomic variables on stock market performance, focusing on evidence from the Sri Lankan market. Their research provides insights into the relationship between macroeconomic indicators and stock market movements, with implications for investors and policymakers in the region.…”

Section: Related Workmentioning

confidence: 99%

Analysis of Stock Portfolio with Global Economic Factors using Dynamic Data Modelling

B Varija

2023

IJRITCC

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This article analyzes stock portfolios and worldwide economic challenges. This study uses APIs to retrieve data and analyze correlations. To determine and measure how economic indicators affect stock performance. This work introduces an autoencoder-based model to better comprehend the complex relationship between economic conditions and stock portfolio dynamics. The analysis begins with an API retrieval of a wide range of macroeconomic information. These indicators include global economic metrics like GDP, unemployment, CPI, federal funds rates, and treasury bill rates. After collection, data is carefully curated and prepared for analysis. This study uses correlation analysis to understand economic variables and stock portfolio performance. This study explores how economic conditions affect stock prices and portfolio returns. This study seeks to discover trends, dependencies, and future issues that may affect investment decisions. This study also introduces an autoencoder-based neural network model to capture complex nonlinear relationships between economic variables and stock portfolio behavior. Deep learning improves interpretability and prediction, allowing a better understanding of the complex financial ecosystem dynamics. The inquiry provides valuable insights for investors, financial experts, and regulators. This study advances data-driven investment and risk management solutions. The autoencoder-based approach also reveals latent structures and hidden factors that affect stock portfolios. This novel approach opens new study options. In conclusion, this study provides a thorough stock portfolio analysis approach for global economic challenges. API data retrieval, correlation analysis, and a novel autoencoder model are used in this work to better understand the complicated relationships between economic indicators and financial markets. These insights can improve investment and policy decisions in a more integrated and dynamic global economy.

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“…It was also noted that the exchange rate was having a negative impact on the Indian stock market. But the analysis of the Sri Lankan stock market by Balagobei and Bandara (2022) concluded that a positive influence of money supply and GDP was observed on stock exchange.…”

Section: Asian Journal Of Economic Modellingmentioning

confidence: 99%

Dynamics between macro-economic variables and the stock market: Evidence from India

Bhardwaj

Sharma

Mavi

2023

5009

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The present paper examines the dynamics between macroeconomic variables and the stock market. The index of industrial production, inflation, gold price, oil price, and return from treasury bills have been used as proxy macroeconomic variables. The Indian stock market has been typified by the Sensex. Monthly observations have been analyzed from April 1993 to October 2022 through cointegration and the Granger causality test to examine possible long-run and short-run relationships, respectively. The results proclaim the presence of cointegration among variables. Further, the analysis of normalized cointegrating coefficients reveals that in the long run, changes in inflation and the rate of return from T-bills positively affect the stock market. While changes in gold and oil prices have a negative impact on the stock market. The Granger causality test implies that in the short run, the stock market is sensitive to changes in the index of industrial production, inflation, and oil prices. The results are expected to be fruitful for investors as well as traders when designing their investment and trading strategies. Since the results indicate that volatility in the stock market can significantly affect industrial production, inflation, and gold prices, regulators should be vigilant about perturbations in the stock market to mitigate adverse effects.

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Impact of Macroeconomic Variables on Stock Market Performance: Evidence from Sri Lanka

Cited by 6 publications

References 13 publications

Understanding the Moderating Role of Dollar Exchange Rate in Shaping the Linkages Between Foreign Direct Investment and Pakistan Stock Exchange Performance

Understanding the Moderating Role of Dollar Exchange Rate in Shaping the Linkages Between Foreign Direct Investment and Pakistan Stock Exchange Performance

Analysis of Stock Portfolio with Global Economic Factors using Dynamic Data Modelling

Dynamics between macro-economic variables and the stock market: Evidence from India

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