Macroeconomic variables and stock market performance: a PMG/ARDL approach for BRICS economies

Lone, Umer Mushtaq; Darzi, Mushtaq Ahmad; Islam, Khalid Ul

doi:10.1080/17520843.2021.1983704

Cited by 6 publications

(1 citation statement)

References 57 publications

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“…(iii) The total investment in equities amounted to USD 6541 million (Timor-Leste Ministry of Finance 2019), which is associated with high investment risk. Therefore, as emerging economies have not reached their true economic potential through diversification, they rely on foreign investors and the transfer of inflows to these economies (Lone et al 2021). (iv) The capital investment of oil funds is found to be the maximum cumulative return to bring further capital into economic diversification, especially the contribution of revenues from the non-oil-and-gas sector due to the dependence on oil and gas.…”

Section: Introductionmentioning

confidence: 99%

Using the Capital Asset Pricing Model and the Fama–French Three-Factor and Five-Factor Models to Manage Stock and Bond Portfolios: Evidence from Timor-Leste

Anuno,

Madaleno,

Vieira

2023

JRFM

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Timor-Leste is a new country still in the process of economic development and does not yet have a capital market for stock and bond investments. These two asset classes have been invested in international capital markets such as the US, the UK, Japan, and Europe. We examine the performance of the capital asset pricing model (CAPM) and the Fama–French three-factor and five-factor models on the excess returns of Timor-Leste’s equity and bond investments in the international market over the period 2006 to 2019. Our empirical results show that the market factor (MKT) is positively and significantly associated with the excess returns of the CAPM and the Fama–French three-factor and five-factor models. Moreover, the two variables Small Minus Big (SMB) as a size factor and High Minus Low (HML) as a value factor have a negative and significant effect on the excess returns in the Fama–French three-factor model and five-factor model. Further analysis revealed that the explanatory power of the Fama–French five-factor model is that the Robust Minus Weak (RMW) factor as a profitability factor is positively and significantly associated with excess returns, while the Conservative Minus Aggressive (CMA) factor as an investment factor is insignificant.

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Section: Introductionmentioning

confidence: 99%