The karachi stock exchange index or the kse-100 index (1991=1,000) has been used as a proxy for measuring the stock market performance variable which captures the daily price movements of equities in the stock exchange market in pakistan. Macroeconomic variables and the stock market is bidirectional saeed (2012) examined the impact of macroeconomic variables on sectoral indices results observation showed that market index, few macroeconomic variables and individual industrial production played an important role in measuring the. Academic writing on the inveterate relationship between macroeconomic variables and stock market returns is by now immense and strongly documented however, there is a certain gap in the literature pertaining to the relationship between macroeconomic variables and shariah indices which are becoming. Economists, policy makers and financial investors can use the findings to help them in exploring whether the movement of stock market indices is the result of some related macroeconomic variables.
140 / the relationship between stock market and macroeconomic variables: between asset prices and real economic activities in terms of production rates, productivity, growth rate of gross national product, unemployment, yield spread. The review of stock returns and macroeconomic variables ali umar ahmad1, adam abdullah2, zunaidah sulong3, and the impact of these macroeconomic variables on the stock market indices in less developed countries is less obvious specifically, how do these less-industrialised markets react to changes between stock returns and. This study investigated the impact of foreign exchange reserves on stock market growth in ghana by employing monthly data for the period of december 2001 to december, 2015 using a multivariate framework that integrated interest rate variable in the modelling.
The german stock market index, a negative relationship with the real interest rate, the expected inflation rate and the government bond yield in the euro area, and a quadratic relationship with real m2 money supply. This study tests whether there are unit roots in korean stock market price indexes and macroeconomic variables2 following these findings, this study will test for cointegration between stock market price indexes and macroeconomic variables. The direction of the stock market index refers to the movement of the price index or the trend of fluctuation in the stock market index in the future predicting the direction is a practical issue that heavily influences a financial trader’s decision to buy or sell an instrument. The housing market serves as another vital economic indicator although housing is highly localized and difficult to measure on a national basis, there are several indicators that do a reasonable job. As us gdp fell and contracted, broad stock market indexes - like the spdr 500 s&p - sank to decade lows unemployment rate/jobs report another very strong indicator that affects the stock.
Hence, to maintain a healthy stock market, the polish authorities are expected to pursue economic growth, reduce government borrowing, avoid currency appreciation, and keep a relatively low interest rate or a relatively low expected inflation rate. Variables on the stock market index for new zealand and related countries durham (2001) studies the relationship between stock market performance and monetary policy for 16 countries including new zealand. This paper has made an additional contribution by testing or incorporating the quadratic relationship between the stock market index and the m2/gdp ratio, the government bond yield in the euro area, the us stock market index, and other related macroeconomic variables in the estimated regression. Movement of stock market indices is the result of some related macroeconomic variables or it is one of the causes of movement in those variables of the jordanian economy. Macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them mohapatra and panda (2012) correlated top ten rises and top ten falls of sensex with.
The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them it is observed that the stock prices positively relate to the money supply and industrial production but negatively relate to inflation. Between macroeconomic variables and stock market volatility recently, akbar et al (2012) stated that it has been popular to study the relationship between macroeconomic growth and stock market performance. Employed to analysed the causal relationship between stock market returns and macroeconomic variables the results from the augmented dickey-fuller and phillips-perron tests of stationarity indicated that all the. This paper finds that the us stock market index is positively associated with real gdp, stock earnings, the trade-weighted nominal effective exchange rate, and the uk stock market index and negatively influenced by the government debt/gdp ratio, the m2/gdp ratio, the real treasury bill rate, the real corporate bond yield, the expected inflation rate, and the uk treasury bill rate.
The study used five macroeconomic factors or variables including gross domestic product, money supply, interest rate, inflation rate and exchange rate as explanatory variables while stock market performance obtained by converting all share index to stock returns was used as the dependent variable. The objective of this paper is to study the impact of conventional stock market return and volatility and various macroeconomic variables (including inflation rate, short-term interest rate, the slope of the yield curve and money supply) on islamic stock markets returns for twenty developed and emerging markets using markov switching regression models. Macroeconomic variables and the singapore stock market index (sti), as well as with various singapore exchange sector indices—the ﬁnance index, the property index, and the hotel index. Literature revealing strong influence of macroeconomic variables on stock market indices in a past survey, cohn and lessard (1980) established that stock prices in many industrialized.