Time Series Analysis of the Relationship between Macroeconomic Factors and the Stock Market Returns in Pakistan

Alam, Zaheer; Rashid, Kashif

doi:10.19168/jyu.55431

Cited by 22 publications

(23 citation statements)

References 9 publications

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“…Linear regression revealed t value less than 1.96 furthermore p numeric larger to 0.05 suggesting no statistical relationship between KSE returns and inflation rate during the low inflationary period. Present findings support earlier works; Ullah et al (2014); Zaheer and Rashid (2014); Rafay et al (2014) and reject the attempts of; Sarwar et al (2014);Iqbal et al (2013); Sohail and Zakir (2011). Vol.…”

Section: Resultssupporting

confidence: 91%

Dual Perspective of Inflation toward Market Development

Malik¹,

Awais²,

Hassan³

et al. 2016

IJEF

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Stock markets are a reflector of trade and economic prosperity across the globe, it comprised of multiple physical and mental components. Economists featured investors and their handsome cash balances among fundamental elements of capital markets. Financial experts along with practitioners developed economic models to engage shareholders by portraying historical performance and future benefits of securities. The present study attempted to investigate the potential of inflation rate for causing market returns under the concept of Ross (1976) pricing theory. CPI is used as a proxy of inflation and KSE returns for measuring securities behaviors. Low inflationary (2000)(2001)(2002)(2003)(2004) and High inflationary (2010-2014) durations as sample periods are privileged to empirically examine the twofold intensity of CPI toward index of Pakistani markets. Linear regression analysis declared inflation rate as a poor model for estimation of capital market returns, furthermore, CPI resulted in significant as well as the insignificant causal relationship with positive and negative intensity toward KSE returns.

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Section: Resultssupporting

confidence: 91%

Dual Perspective of Inflation toward Market Development

Malik¹,

Awais²,

Hassan³

et al. 2016

IJEF

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“…This means Inflation was found to have a negative impact on Stock returns in Singapore; accounting for about 9% of these returns. This finding was in line with expectations; as discussed earlier with regards to findings in Alam and Rashid (2014), as well as Chia and Lim (2015).…”

Section: Hypothesis 2: Monetary Supply Has a Positive Impact On Stisupporting

confidence: 93%

“…Money Supply was also found to only influence stock returns via Inflation. This ISSN 1946-052X 2017 study also noted that this market saw concentrated shareholdings, and with the lack of popularity in stock investments, there was little noted incentive for informational and operational efficiency, explaining its low liquidity (Alam and Rashid, 2014). Chia and Lim (2015) used an Autoregressive Distributed Lag (ARDL) Bounds Test to examine responses in the Malaysian Share Price Index to Industrial Production, Inflation, Monetary Supply, Interest rate and Exchange rate.…”

Section: Macroeconomy and Stock Returnsmentioning

confidence: 99%

A Singaporean Study on Macroeconomic Variables Impacting Stock Returns

Goh¹,

Talib

2017

AJFA

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Stock market returns has increasingly become a leading indicator of a country's economic performance. This explains academia's growing interest in determining factors affecting stock returns. A majority of recent studies on Singapore's economic performance focused centrally around policy impact or property prices, and not specifically on stock returns. This study aimed to fill this gap, by examining if, and how, historical movements in the Straits Times Index (STI) were explained by the S$NEER, Monetary Supply, CPI, Balance of Payments, Crude Oil Prices, Electricity Generated, GFCF, Industrial Production, Merchandise Trade, or Labour Cost. By utilizing a Structural Vector Auto regression (SVAR) Model, approximately 48% of the STI's variance was collectively attributable to these ten macroeconomic variables, all of which had short-term impact on the STI. Looking forward, further research could be conducted examining the impact of said variables on individual sectoral stock indices, for greater insight on the dynamics of their relationships.

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“…It was also found that income and saving rate are correlated with stock market growth. Alam and Rashid [16] examined the relationship between Karachi stock market 100 index and macroeconomic variables, i.e., inflation, industrial production, money supply, exchange rate and interest rate. The long term relationship between macroeconomic variables and stock market returns has been analysed by using Johansen Cointegration test, Augmented Dicky Fuller (ADF) and Phillip Perron (PP) tests.…”

Section: Shrestha and Subedimentioning

confidence: 99%

Effect of Macroeconomic Variables on Stock Market Performance in Nigeria

John

2019

JEMT

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This paper aims at examining the effect of macroeconomic variables on stock market performance in Nigeria using annual time series data spanning 1981 to 2016.The data were obtained from Central Bank of Nigeria (CBN) Statistical Bulletin. Four macroeconomic variables, namely: money supply, interest rate, exchange rate and inflation rate were used as independent variables, while market capitalisation (proxy for stock market performance) was employed as the dependent variable. The results of Augmented Dickey-Fuller (ADF) test revealed that all the variables studied were stationary at first difference except money supply which was stationary at second difference. The Ordinary Least Square (OLS) regression results showed that money supply has a significant positive effect; interest rate has a significant negative effect; whereas, exchange rate has a positive but not significant effect and inflation rate has a positive but not statistically significant effect on stock market performance. The cointegration test results disclosed that there exist a long-run relationship between the macroeconomic indicators and stock market performance. The Granger Causality test results revealed that a unidirectional causality runs from money supply and exchange rate to stock market performance. In conclusion, money supply and interest rate are the true factors influencing stock market performance in Nigeria because they exhibited a significant effect on stock market performance. Whereas, exchange rate and inflation rate indicated a weak (non-significant) effect on stock market performance. Consequently, the recommendations are: monetary policies that favour the supply of money in the economy should be pursued in order to ensure a better performance of the stock market; Interest rate should be relatively low to guarantee a higher performance of the stock market because high interest rate has a significant negative effect on the Nigerian stock market.

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Time Series Analysis of the Relationship between Macroeconomic Factors and the Stock Market Returns in Pakistan

Cited by 22 publications

References 9 publications

Dual Perspective of Inflation toward Market Development

Dual Perspective of Inflation toward Market Development

A Singaporean Study on Macroeconomic Variables Impacting Stock Returns

Effect of Macroeconomic Variables on Stock Market Performance in Nigeria

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