There has been a lot of discussion on the effect of macroeconomic variables on stock returns raj kumar and bhartendu singh (1998) observed that the joint impact of trading volume, rate of exchange and the rate of gold standard was highly significant on sensex. The review of stock returns and macroeconomic variables ali umar ahmad1, adam abdullah2, zunaidah sulong3, stock returns, macroeconomic variables the causal effect found of the stock market on economic growth was, however, inconclusive similarly, asteriou and price (2000) employed a vector autoregressions (var) model in their. Numerous empirical studies have examined the relationship between macroeconomic variables and stock returns across different stock markets and time horizons by either outlining the influence of only domestic variables or a few global factors. Abstract previous literature has produced weak evidence to support the hypothesis that real economic news affects stock returns this is, in part, attributed to the difficulty of measuring how investors interpret macroeconomic announcements in different economic environments.
Macroeconomic variables had significant effect on stock market returns in ghana within the specified period the target sample was all 36 listed firms on the ghana stock market. The effect of macroeconomic factors on stock returns: a study of turkey and emerging markets, journal of brsa banking and financial markets, banking regulation and supervision agency, vol 5(1), pages 73-96. Abstract this study updates and extends existing literature by investigating the effects of economic convergence among major european economic and monetary union (emu) member countries on stock market returns in each respective nation.
Unexpected inflation showed more conclusive findings, most notably being a strong positive correlation to stock returns during economic contractions, demonstrating that the timing of the economic. The purpose of this research was to examine the relationships between selected macroeconomic variables and their effect on the stock market returns on the ghana stock market the research questions addressed whether macroeconomic variables had significant effect on stock market returns in ghana within the specified period. Volatility of stock markets returns has been related to key macroeconomic indicators several studies examined the effects of global, country and industry factors on the movements and volatilities of stock returns but not for the markets under consideration in this. The aim of this paper is to analyze the effects of macroeconomic variables on the turkish stock exchange market in the arbitrage pricing theory framework.
The effect of macroeconomic factors on asset returns: a comparative analysis of the german and the turkish stock markets in an apt framework erdinç altay. Economic trends in foreign markets can have an effect on the stock market in the united states, according to the article titled riding the economic roller coaster published in inc magazine. As you would expect, this measurement of a nation’s economic health has a huge effect on stock market returns any significant change in gdp- up or down- usually has a significant effect on the.
Supply and inflation have a dual effect on stock returns first, increase in money supply will increase inflation, which will again increase the effect of macroeconomic determinants on the performance of the indian stock market the effect of macroeconomic determinants on the performance of the indian stock market 1 introduction. Many authors have tried to show reliable associations between macroeconomic variables and stock returns they identified several key macroeconomic variables which influenced stock market returns based on there is a positive effect of inflation on stock market return in india. Previous literature has produced weak evidence to support the hypothesis that real economic news affects stock returns this is, in part, attributed to the difficulty of measuring how investors interpret macroeconomic announcements in different economic environments.
Gross domestic product have a significant positive effect on return on equity(roe) while interest rate have a significant negative effect on return on equity(roe) but inflation is not significant at all levels of significance macroeconomic variables on listed banks during the year 2013 the study is conducted in the. (2002) investigate the effect of macroeconomic variables (inflation, money supply, gnp, interest rate, and exchange rate) on stock returns in asian countries.
This study evaluates the effect of macro-economic factors on stock returns at the nairobi stock exchange according to the stock market efficiency (sme) hypothesis, all past information on fiscal and monetary policy actions is reflected in current stock returns and so changes in money supply or budget deficit should not have any significant impact on stock returns. Higher or lower return when investing in stock and one of these factors are macroeconomic variables the change in macroeconomic variables can significantly impact stock price return. The effect of macroeconomic variables on stock return volatility in the nairobi securities exchange (nse) this preview has intentionally blurred sections.