Do Macroeconomic Variables have an Effect on the US Stock Market? - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Do Macroeconomic Variables have an Effect on the US Stock Market? write by Dennis Sauert. This book was released on 2010-10-12. Do Macroeconomic Variables have an Effect on the US Stock Market? available in PDF, EPUB and Kindle. Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
Do MacRoeconomic Variables Have an Effect on the Us Stock Market?
Do MacRoeconomic Variables Have an Effect on the Us Stock Market? - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Do MacRoeconomic Variables Have an Effect on the Us Stock Market? write by Dennis Sauert. This book was released on 2010-10. Do MacRoeconomic Variables Have an Effect on the Us Stock Market? available in PDF, EPUB and Kindle. Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
The Impact of Macro Economy on Stock Price Index
The Impact of Macro Economy on Stock Price Index - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Impact of Macro Economy on Stock Price Index write by Embun Prowanta. This book was released on 2017. The Impact of Macro Economy on Stock Price Index available in PDF, EPUB and Kindle. Objective - The objective of the study is to empirically investigate the relationship between macroeconomic variables as Gross Domestic Product (GDP), inflation, interest rates, exchange rates, foreign exchange reserves, current accounts and export-import towards the stock price index. Methodology/Technique - The data used is monthly data for macroeconomic and the stock price index of five ASEAN countries including Indonesia, Malaysia, Singapore, Thailand and the Philippines from 2006 to 2015. The analysis uses a regression estimation of panel data and a series of chow tests i.e. the Hausman test and the LM test as the selection process, with the aim of determining the macroeconomic variables that could significantly affect the stock price index of five ASEAN countries. Findings - The result show that of the seven macroeconomic variables affecting the stock price index, only four macroeconomic variables showed a significant effect. These are GDP, interest rates, exchange rates, and inflation. Meanwhile, three other variables (foreign exchange reserves, current accounts and export-import) did not show a significant effect. Novelty - The study looked at the effect of deregulation on stock markets, focusing on variables that significantly influence the stock price index.
Business, Economics, Financial Sciences, and Management
Business, Economics, Financial Sciences, and Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Business, Economics, Financial Sciences, and Management write by Min Zhu. This book was released on 2012-02-11. Business, Economics, Financial Sciences, and Management available in PDF, EPUB and Kindle. A series of papers on business, economics, and financial sciences, management selected from International Conference on Business, Economics, and Financial Sciences, Management are included in this volume. Management in all business and organizational activities is the act of getting people together to accomplish desired goals and objectives using available resources efficiently and effectively. Management comprises planning, organizing, staffing, leading or directing, and controlling an organization (a group of one or more people or entities) or effort for the purpose of accomplishing a goal. Resourcing encompasses the deployment and manipulation of human resources, financial resources, technological resources and natural resources. The proceedings of BEFM2011 focuses on the various aspects of advances in Business, Economics, and Financial Sciences, Management and provides a chance for academic and industry professionals to discuss recent progress in the area of Business, Economics, and Financial Sciences, Management. It is hoped that the present book will be useful to experts and professors, both specialists and graduate students in the related fields.
Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices
Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices write by Kudzanai Chakona. This book was released on 2022-11-07. Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices available in PDF, EPUB and Kindle. Research Paper (undergraduate) from the year 2017 in the subject Business economics - Investment and Finance, Birmingham City University, course: MSc Accountancy and Finance (ACCA), language: English, abstract: The purpose of this study is to analyse the changes in macroeconomic variables and evaluate the impact on a company’s stock prices, by examining the impact of changes macroeconomic variables, determining which macro-economic variables that have the least and most impact on stock prices and also suggest ways in which the impact on the macroeconomic variables on stock prices can be hedged against using agricultural futures, metal futures or a risk-free asset. The study will use five econometric models to test this impact, these include the Granger Causality test, Johansen Co-Integration test, Vector Error Model, Walt Test statistic, Multiple Regression Model. A review of a number of academic literature by notable analysis for both developed and developing markets will be provided. The FTSE share price index will be used in the study to represent the developed markets and the JSE share price index will be used in the study to represent the developing markets.
