The impact of macroeconomic variables on stock market returns in Kenya. Different model which are apply in this article are Unit root test and Granger Causality test, Augmented Dickey Fuller, and Normality test.
Stock prices show that what is current price of share of listed companies and what is the current situation of economy. The supply of money and common stock prices. Causal relationship between and exchange rate, foreign exchange reserves, value of trade balance and stock market: The Journal of Risk Finance, 9 4 The outcome is not pure because different model are used and each model display different result.
An application of a Vector Error Correction model. Agrawal, Srivastav, and Srivastava find out relationship among exchange rate and stock returns. The relationship between exchange rate and stock prices during the quantitative easing policy in Japan.
Kirui, Wawire and Onono examine the effect on stock market of macroeconomic variables. Cointegration model is used to check the connection of stock price and exchange rate. The different models which used are Auto regressive integrated moving average model, descriptive statistics, and unit root test.
Economic forces and the stock market. The relationship of stock prices and macroeconomic variables revisited: Macroeconomic determinants of Malaysian stock market. Kasman, analyze the relationship among exchange rate and stock prices.
Journal Pengurusan, 24 1 The techniques are Granger causality test, unit root test, vector error correction model and Augmented Dicky fuller test. Econometrica, 55 2 Relationships between interest rate changes and stock returns: Evidence from Malaysia, United States and China.
Farooq and Nasir observe the effect of stock market instability on exchange rate. Monthly data of oil price, exchange rate and stock prices is used. This is important because some firms tend to behave differently as far as changes in macroeconomic variables are concerned.
Exchange rate Exchange rate play very important role for country.
The stock market has important role because with the help of these markets investor can make guess about the economy condition and investor can also make idea that either he should invest at that time or he should delay. Vector Autoregressive model is use. According To researchers views suitable monetary measure should adopt to control inflation.
Co-Integration and error correction: The technique which is used in this study is the Fama andFrench three factor model approach.
Empirical results and discussion is chapter no four. The analysis shows that corporate goods price, exchange rate, Consumer confidence index, Macroeconomic prosperity index and interest rate these variables affected by the change in stock price. If increase in foreign currency and decrease in domestic currency then this will increase the export of the domestic country hence it will also enhance the firm dividend and also cash inflow.
Impact of macroeconomic variables on stock market index a case of Pakistan. Stock price is dependent variable while oil price and exchange rate are independent variables. Arbitrage Pricing Theory Arbitrage pricing theory explains the relationship between returns of a single asset and returns of portfolio with a linear arrangement of different independent macroeconomic variables.
Three different models used to check the variable connection that is Garch model, descriptive statistics, unit root test. Crude Oil Price Oil price is independent variable. The variables are wholesale price index, foreign exchange reserve, industrial production index, foreign exchange rate.
Inconsistent with the a priori expectation, inflation rate seems to exert no impact on overall stock prices.Impact of Micro and Macroeconomic Variables on Emerging Stock Market Return: A Case on Dhaka Stock Exchange (DSE).
The impact of macroeconomic variables on stock returns has been the subject of increased theoretical and empirical investigation in literature. This book aims to complement the literature by extending this presumed relationship between stock returns and a set of pre-determined domestic and global macroeconomic variables to the.
This paper discusses Impact of Macroeconomic Variables on Stock Prices: Empirical Evidence from South Asian Countries. Impact of micro and macroeconomic variables on emerging stock market return: A case on Dhaka stock exchange (DSE). Interdisciplinary Journal of Research in Business, 1(5), AL-Sharkas, A.
(). Impact of Macroeconomic Variables on the Stock Market Returns in Bangladesh: Does a Meaningful Impact Exist? The impact of macroeconomic variables on stock market returns has generated a lot of interest in the financial certain macroeconomic variables in Dhaka stock Exchange(DSE) by applying co-integration and Granger.
macroeconomic variables in Nigeria and R-square value indicated that about 60 percent of the variation in stock prices in accounted for by macroeconomic variables in Nigeria.” “ investigates the impact of changes in selected microeconomic and macroeconomic variables on stock returns at Dhaka Stock Exchange (DSE).Download