PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2016 | nr 2 (37) | 93--130
Tytuł artykułu

Stock Prices and Macroeconomic Variables Nexus in South Asian Countries

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The paper examines the interactions between stock prices, exchange rate, interest rate, inflation and income in Bangladesh, India, Pakistan and Sri Lanka using monthly data for the period 1997:07 to 2013:06. The motivation is to establish the causal and cointegrating relationship between stock prices and macroeconomic variables. The results indicate that cointegration holds between these variables in all countries. Temporal causality results are mixed, from unidirectional causality to bi-directional and even no causality between stock prices and macroeconomic variables. Causality results generally support the 'portfolio approach' that stock prices lead changes in exchange rate. However, the results of impulse response analysis, based on the structural VAR model, support the 'traditional approach' and suggest that it is exchange rate innovations that affect stock prices. Variance decomposition analysis also supports the findings of impulse response analysis.(original abstract)
Rocznik
Numer
Strony
93--130
Opis fizyczny
Twórcy
  • COMSATS Institute of Information Technology, Islamabad, Pakistan
autor
  • Shanghai University of Finance and Economics (SHUFE), P.R. China
Bibliografia
  • Abdalla, I. S. A., Murinde, V., Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and Philippines, "Applied Financial Economics", 7, pp. 25-35, 1997.
  • Ahmed, R., Mustafa, K., Real Stock Returns and Inflation in Pakistan, "Research Journal of Finance and Accounting", 3(6) pp. 97-102, 2012.
  • Alam, M., Uddin, S. G., Relationship between Interest Rate and Stock Prices: Empirical Evidence from Developed and Developing Countries, "International Journal of Business and Management", 4(3), pp. 43-51, 2009.
  • Ali, I., Rehman, U. K., Yilmaz, K. A., Khan, A. M., Afzal, H., Causal Relationship between Macroeconomic Indicators and Stock Exchange Prices in Pakistan, "African Journal of Business Management", 4(3), 312-319, 2010.
  • Amisano, G., Giannini, C., Topics in Structural VAR Econometrics, 2nd Edition. Springer-Verlag, Berlin 1997.
  • Bhattacharya, B., Mukherjee, J., The Nature of the Causal Relationship between Stock Market and Macroeconomic Aggregates in India: An Empirical Analysis, Paper Presented in the 4th Annual Conference on Money and Finance Mumbai, India 2002.
  • Chatrath, A., Ramchander, S., Song, F., Stock Prices, Inflation and Output: Evidence from India, "Applied Financial Economics", 7, pp. 439-445, 1997.
  • Chaudhuri, K., Smiles, S., Stock Market and Aggregate Economic Activity: Evidence from Australia, "Applied Financial Economics", 14, pp. 121-129, 2004.
  • Chen, N.-F., Roll, R., Ross, A. S., Economic Forces and Stock Market, "Journal of Business", 59(3), pp. 383-403, 1986.
  • Dornbusch, R., Fischer, S., Exchange Rates and Current Account, "American Economic Review", 70, pp. 960-971, 1980.
  • Enders, W., Applied Econometric Time Series, 4th Edition, 2014.
  • Fama, E. F., Stock Returns, Real Activity, Inflation and Money, "Journal of Political Economy", 84, pp. 545-565, 1981.
  • Feldstein, M., Inflation and the Stock Market, "American Economic Review", 70, pp. 839-847, 1980.
  • Filer, R. K., Hanousek, J., Campos, F. N., Do Stock Markets Promote Economic Growth?, Working Paper No. 151, CERGE-EI, 2000.
  • Flannery, M. J., Protopapadakis, A. A., Macroeconomic Factors Do Influence Aggregate Stock Returns, "Review of Financial Studies", 15(3), pp. 751-782, 2002.
  • Geske, R., Roll, R., The Fiscal and Monetary Linkage between Stock Returns and Inflation, "Journal of Finance", 38(1), pp. 1-33, 1983.
  • Granger, C. W. J., Developments in the Study of Cointegrated Economic Variables, "Oxford Bulletin of Economics and Statistics", 48, pp. 213-228, 1986.
  • Granger, C. W., Bwo-Nung, H., Chin-Wei, Y., A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian flu, "Quarterly Review of Economics and Finance", 40, pp. 337-354, 2000.
  • Gunasekarage, A., Pisedtasalasai, A., Power, M. D., Macro-economic Influences on the Stock Market: Evidence from an Emerging Market in South Asia, "Journal of Emerging Market Finance", 3(3), 285-304, 2004.
  • Hu, X., Willett, T., The Variability of Inflation and Real Stock Returns, "Applied Financial Economics", 10(6), pp. 655-665, 2000.
  • Ioannides, D., Katrakilidis, C., Lake, A., The Relationship between Stock Market Returns and Inflation: An Econometric Investigation Using Greek Data [in:] International Symposium on Applied Stochastic Models and Data Analysis, Brest-France, pp. 17-20, 2005.
  • Joarder, M. A. M., Ahmed, U. M., Hasanuzzaman, S., Haque, T., An Empirical Testing of Informational Efficiency in Bangladesh Capital Market, "Economic Change and Restructuring", 47, 63-87, 2014.
  • Kalra, R., Impact of Macroeconomic Variables on Indian Stock Market, "The IUP Journal of Financial Risk Management", 9(1), pp. 43-54, 2012.
  • Kessel, Inflation Caused Wealth Redistribution: A Test of Hypothesis, "American Economic Review", 46(1), 128-141, 1956.
  • Krueger, A. O., Exchange-Rate Determination. Cambridge University Press, Cambridge 1983.
  • MacKinnon, J. G., Haug, A. A., Michelis, L., Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration, "Journal of Applied Econometrics", 14, pp. 563-577, 1999.
  • Masih, A. M. M., Masih, R., Energy Consumption, Real Income and Temporal Causality: Results from a Multi-Country Study Based on Cointegration and Error-Correction Modelling Techniques, "Energy Economics", 18, pp. 165-183, 1996.
  • Maysami, R. C., Howe, C. L., Hamaz, A. M., Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices, "Journal Penguruson", 24, pp. 47-77, 2004.
  • Menike, L. M. C. S., The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market, "Sabaragamuwa University Journal", 6(1), pp. 50-67, 2006.
  • Mohammad, S. D., Hussain, A., M. A. Jalil, A. M., Ali, A., Impact of Macroeconomics Variables on Stock Prices: Empirical Evidence in the Case of KSE, "European Journal of Scientific Research", 38(1), pp. 96-103, 2009.
  • Mohiuddin, M., Alam, D. M., Shahid, I. A., An Empirical Study of the Relationship between Macroeconomic Variables and Stock Price: A Study on Dhaka Stock Exchange (DSE), "AIUB Business and Economics Paper" No. 2008(21), 2008.
  • Muhammad, N., Rasheed, A., Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries, "Pakistan Development Review", 41(4), pp. 535-550, 2002.
  • Mukherjee, T. K., Naka, A., Dynamic Linkage between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model, "Journal of Financial Research", 18, pp. 223-237, 1995.
  • Schumpeter, J. A., Theorie der Wirtschaftlichen Entwicklung. Leipzig: Dunker & Humblot, [The Theory of Economic Development, 1912, translated by R. Opie. Cambridge, MA: Harvard University Press, 1934.]
  • Sims, C. A., Macroeconomics and Reality, "Econometrica", 48, pp. 1-48, 1980.
  • Singh, D., Causal Relationship between Macro-Economic Variables and Stock Market: A Case Study for India, "Pakistan Journal of Social Sciences", 30(2), pp. 263-274, 2010.
  • Smyth, R., Nandha, M., Bivariate Causality between Exchange Rates and Stock Prices in South Asia, "Applied Economics Letters", 10, pp. 699-704, 2003.
  • Srinivasan, P., Causal Nexus between Stock Market Return and Selected Macroeconomic Variables in India: Evidence from the National Stock Exchange (NSE), "The IUP Journal of Financial Risk Management", 8(4), pp. 7-24, 2011.
  • Thokala, S., Macroeconomic Variables and Stock Prices in India: An Empirical Analysis, "The IUP Journal of Financial Risk Management", 9(4), pp. 43-55, 2011.
  • Wickremasinghe, G. (2011), The Sri Lankan Stock Market and the Macroeconomy: An Empirical Investigation, "Studies in Economics and Finance", 28(3), pp. 179-195.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171444064

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.