The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

Al-Smadi, Raed Walid; Omoush, Muthana Mohammad

doi:10.5539/ibr.v12n4p50

Cited by 7 publications

(6 citation statements)

References 26 publications

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“…The main group of these studies discussed the internal factors that affect market stock prices, each of these studies took a range of internal performance factors such as net profit margin, earnings per share, dividend per share price earnings ratio, the return on assets, the return on equity, book value per share, debt equity ratio, total asset turnover ratio and dividend yield (Bayrakdaroglu et al, 2017, Susilowati, 2015, Om and Goel, 2017, Bhattarai, 2014, Uwuigbe et al, 2012, Srinivasan, 2012. Other group of studies focused on the macro economic factors that affect the stock prices, such as gross domestic product, inflation, interest rate, consumer price index and exchange rate and money supply (Al-Majali and Al-Assaf, 2014, Narayan et al, 2014, Celebi and Hönig, 2019, Demir, 2019. This study will discuss and focus on some of the internal factors influence on market prices, as it relates to the purpose of the current study in more details.…”

Section: Literature Review and Theoretical Framework 21 Literature Rmentioning

confidence: 99%

The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector

2019

RJFA

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This paper aims to examine whether there is a relationship between the profitability ratios; measured by Net Profit Margin (NPM), Return on Assets (ROA), and Return on Equity (ROE), and the stock market prices of listed banks in Saudi Arabia. In order to introduce this relationship for investors to make investment decisions, Quarterly profitability of the selected banks and stock prices data during 2011 to 2018 are analyzed by panel data regression modeling techniques. This paper has conducted a panel unit root test. The data are shown to be non-stationary at the level with constant and with time trend for some variables, and they became stationary in the first difference for all variables. Therefore, to test the research's hypotheses, Autoregressive Distributed Lag (ARDL) model is used, the results of which implied that there is no long-term rel/ationship between profitability and stock prices, while there is a positive significant association between ROA and stock prices in short-term.

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Section: Literature Review and Theoretical Framework 21 Literature Rmentioning

confidence: 99%

The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector

2019

RJFA

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“…However, in this paper, ARDL model is used to examine the long run and short run relationship between the GDP and (FDI, DI, EO, L) in Jordan. The general form of the ARDL model could be formulated as in the following equation (6).…”

Section: Long-run and Short-run Coefficient Estimationmentioning

confidence: 99%

Determinants of Jordanian Economic Growth: Time Series Approach

2020

jcr

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This paper examines the dynamic relationship between domestic investment, foreign direct investment, economic openness, labour and economic growth in Jordan. Time series data for 1985-2017) period and autoregressive distributed lag model is used. The results of the study reveal that, domestic investment, foreign direct investment, economic openness and labours lead to increase the level of the economic growth in Jordan in the long run and short run. Thus, the policy makers in Jordan have to give more attention to attract more foreign direct investment from side and encouragement the domestic investment form other side to improve the level of economic growth in Jordan.

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“…The Middle East. Likewise, investigation of stock prices on the Amman Stock Exchange in Jordan with a set of macroeconomic variables discovered a bi-directional longrun relationship between stock prices, credit to private sector, weighted average interest rate on time deposit, as well as, the consumer price index or CPI (Al-Majali & Al-Assaf, 2014). Furthermore, long-run relationships existed between stock prices and macroeconomic variables such as interest rates, money supply, exchange rates, the industrial production index, gold prices and the CPI in the Turkish market (Büyükşalvarc & Abdioğlu, 2010;Alrub, Tursoy, & Rjoub, 2016).…”

Section: Stock Prices and Macroeconomic Variablesmentioning

confidence: 99%

An Exploration of Dynamical Relationships between Macroeconomic Variables and Stock Prices in Korea

Lee¹,

Brahmasrene²

2018

JAFEB

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This paper examines short-run and long-run dynamic relationships between selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period for which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of vector error correction model (VECM) estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, exchange rate is positively related to stock prices while the industrial production index and inflation are negatively related to stock prices in the short-run. Furthermore, the VECM estimates indicate that the external shock, such as regional and global financial crisis shocks, neither affects changes in the endogenous variables nor causes instability in the cointegrating vector. This study finds that the endogenous variables are determined by their own dynamics in the model.

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The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

Cited by 7 publications

References 26 publications

The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector

The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector

Determinants of Jordanian Economic Growth: Time Series Approach

An Exploration of Dynamical Relationships between Macroeconomic Variables and Stock Prices in Korea

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