Innovations in the Future Money Growth and the Cross-Section of Stock Returns in Korea

Jung, Hosung; Kim, Dongcheol

doi:10.1111/j.2041-6156.2011.01054.x

Cited by 5 publications

(1 citation statement)

References 26 publications

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“…CPI does not explain much of IP growth when stock returns and TBs are considered. Jung and Kim (2011) examined the relationship between stock prices and five macroeconomic variables: the TB, the level of prices, the national income and the amount of money in circulation. According to Balli et al (2019), long-run Granger causality exists between stock prices and national income, price level and EX.…”

Section: Literature Reviewmentioning

confidence: 99%

The dynamic relationship between economic crisis, macroeconomic variables and stock prices in Sri Lanka

Madurapperuma

2022

JMB

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PurposeThis study aims to examine the short- and long-term equilibrium relationship between All share price index (ASPI), macroeconomic variables and the economic crisis in Sri Lanka.Design/methodology/approachMonthly time series data for inflation (CPI), industrial production (IP), an exchange rate (EX), an interest rate (TB), short-term interest rate (CD) and economic crisis were used from 2010 to 2021. The ADF test, the bound testing approach, the CUSUM test and the CUSUMQ test were used in this study.FindingsThe findings show a long-run stable relationship between stock price, macroeconomic variables and political crisis (i.e., CPI, IP, ER, TB, CD and economic crisis). The results of the Johansen cointegration test suggest that there is at least one cointegrating equation, indicating that there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Sri Lanka.Research limitations/implicationsThe vector error correction estimates show that the coefficient of the error correction term is significant with a negative sign, indicating that a long-run dynamic relationship exists between macroeconomic variables and stock prices. In the short term, economic crisis has had a big effect on stock prices suggesting that Sri Lanka’s domestic financial markets are linked to the stability of the country.Originality/valueThis research establishes the links between stock returns, macroeconomic variables and economic crisis. So far, research has been unable to establish the empirical nature of such links. The authors believe that this paper fills that gap.

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Section: Literature Reviewmentioning

confidence: 99%