Macroeconomic news and the returns of financial companies

Ewing, Bradley T.

doi:10.1002/mde.1093

Cited by 14 publications

(6 citation statements)

References 42 publications

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“…But when they applied Granger causality test on the set of macro variables chosen for their study, they found that the Korean stock index is not a leading indicator for the economic variables. Ewing (2002), using the technique of 'Generalised impulse response analysis' on the NASDAQ financial 100 Index, applying the shock of four economic variables (i.e. inflation, monetary policy, output, and risk), found that monetary policy have an impact on stock return for a period of two month, and unexpected economic growth has a bearing on the stock return but it could not sustain in the long run, and the inflation is negatively related with the stock return.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of the impact of select macroeconomic variables on the Indian Stock Market: A heteroscedastic cointegration approach

Alam

2017

BEH

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The present study examines the impact of the macroeconomic variables on the stock prices in India. To fulfil the objective of the study monthly data of inflation, short-term interest rate, long-term interest rate, index of industrial production, exchange rate, money supply, and the stock indices of CNX Nifty and BSE SENSEX were collected from March 2005 to April 2013. Heteroscedastic cointegration approach was employed using a Johansen test of cointegration, OLS and GARCH (1, 1) model to find out the long-term relationship between the selected macroeconomic variables and the stock prices. It is evident from the study that there exist the long-term heteroscedastic relationships between the stock prices and the macroeconomic variables chosen for the study. Further, it is also evident from the study that while INF, MSE and the IIP are positively related to the stock prices, the SIR, LIR and the EXR are negatively related to the stock prices.JEL Classifications: G10, G12, E31, E44, F31

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Section: Literature Reviewmentioning

confidence: 99%

Analysis of the impact of select macroeconomic variables on the Indian Stock Market: A heteroscedastic cointegration approach

Alam

2017

BEH

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“…The variables include interest rate, inflation, exchange rate, industrial production and money supply. Ewing (2002) examined the response of returns to shocks of four key economic variables, i.e. monetary policy, output, risk and inflation on the NASDAQ Financial 100 Index.…”

Section: Review Of Literaturementioning

confidence: 99%

Impact of macroeconomic indicators on Indian capital markets

Pal

Mittal

2011

The Journal of Risk Finance

103

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Purpose -The purpose of this paper is to examine the long-run relationship between the Indian capital markets and key macroeconomic variables such as interest rates, inflation rate, exchange rates and gross domestic savings (GDS) of Indian economy. Design/methodology/approach -Quarterly time series data spanning the period from January 1995 to December 2008 has been used. The unit root test, the co-integration test and error correction mechanism (ECM) have been applied to derive the long run and short-term statistical dynamics. Findings -The findings of the study establish that there is co-integration between macroeconomic variables and Indian stock indices which is indicative of a long-run relationship. The ECM shows that the rate of inflation has a significant impact on both the BSE Sensex and the S&P CNX Nifty. Interest rates on the other hand, have a significant impact on S&P CNX Nifty only. However, in case of foreign exchange rate, significant impact is seen only on BSE Sensex. The changing GDS is observed as insignificantly associated with both the BSE Sensex and the S&P CNX Nifty. The paper, on the whole, conclusively establishes that the capital markets indices are dependent on macroeconomic variables even though the same may not be statistically significant in all the cases. Originality/value -This study emphasises on the impact of macroeconomic variables on the stock market performance of a developing economy, whose performance is measured by these variables.

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“…Some notable studies related to macroeconomic indicators and stock market in different countries (kwon and Shin, 1999) in South Korea, Ibrahim (1999) for Malaysia. Ewing (2002) examined the response of return between NASDAQ Financial 100 index to shocks of macroeconomic variables, i.e. output, risk, monetary policy and inflation by applying new techniques of general impulse response analysis.…”

Section: Literature Reviewmentioning

confidence: 99%

Exploring the Nexus; Stock Market, T. Bills, Inflation, Interest Rate and Exchange Rate

Sajjad¹,

Jan²,

Saddat³

et al. 2012

JEBS

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The main objective of this study is to examine the relationship between Karachi stock exchange and macroeconomic variables i.e. inflation rate, exchange rate, treasury bills and interest rate. Monthly time series data from January 2005 to December 2010 have been used to investigate the causal association among macroeconomic indicators and Karachi stock market. The co-integration test and Granger Casualty have been applied to drive the short and long-term investigation. The results found bi directional Granger causality among KSE and exchange rate and One way Granger causality exists among KSE and interest rate, no Granger causality found among KSE and inflation rate and KSE and treasury bills. Which means performance of macro-economic variable somehow affects the stock index; moreover, stock prices in Pakistan do not reflect the macro-economic condition of the country. This study emphasizes on the crash of macro-economic indicators on the capital market performance of developing countries. The performance of capital markets of developing countries calculated by these macro-economic indicators.

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Macroeconomic news and the returns of financial companies

Cited by 14 publications

References 42 publications

Analysis of the impact of select macroeconomic variables on the Indian Stock Market: A heteroscedastic cointegration approach

Analysis of the impact of select macroeconomic variables on the Indian Stock Market: A heteroscedastic cointegration approach

Impact of macroeconomic indicators on Indian capital markets

Exploring the Nexus; Stock Market, T. Bills, Inflation, Interest Rate and Exchange Rate

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