Macroeconomic Determinants of the Stock Market Index for a Major Latin American Country and Policy Implications

Hsing, Yu; Budden, Michael C.; Phillips, Antoinette S.

doi:10.5296/ber.v2i1.1152

Cited by 16 publications

(19 citation statements)

References 27 publications

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“…(2012) and Makan et al (2012) used the VECM to model the relationship between the stock prices and macroeconomic variables and, hence, a long-run equilibrium relationship exists between them. Hsing and Budden (2012) applied the exponential GARCH model and found that the Argentine stock market index is positively associated with real GDP, the ratio of M2 money supply to GDP, the peso/USD exchange rate and the U.S. stock market index. Bekhet and Matar (2013) found the existence of a long-term equilibrium relationship between the Stock Price Index and the macroeconomic variables.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis

Giri

Joshi

2017

Studies in Business and Economics

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The purpose of the present study is to examine the long run and the short run relationship between stock price and a set of macroeconomic variables for Indian economy using annual data from 1979 to 2014. The long run relationship is examined by implementing the ARDL bounds testing approach to co-integration. VECM method is used to test the short and long run causality and variance decomposition is used to predict long run exogenous shocks of the variables. The results confirm a long run relationship among the variables. Evidence suggests that Economic growth, inflation and exchange rate influence stock prices positively. However, crude oil price influences the stock price negatively. This implies that the increase in oil price induces inflationary expectation in the mind of investors and hence stock prices are adversely affected. The VECM result indicates that short run and long run unidirectional causality running from economic growth and FDI to stock prices in India. The result of the variance decomposition shows that stock market development in India is mostly explained by its own shocks. The Government can take steps to control the crude oil price in India and Investors’ confidence has to be gained by boosting the economic growth of the economy through appropriate policy tools.

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Section: Literature Reviewmentioning

confidence: 99%

The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis

Giri

Joshi

2017

Studies in Business and Economics

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“…4.Abugri (2008) and Hsing, Budden and Phillips (2011) suggest that macro- economic variables, such as inflation and the risk-free rate are important determinants of stock returns for Latin American countries.…”

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confidence: 99%

Do Domestic Sentiment and the Spillover of US Investor Sentiment Impact Mexican Stock Market Returns?

Perez-Liston

Huerta

Gutierrez

2018

Journal of Emerging Market Finance

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We examine the relationship between sentiment and Mexican stock market returns. Results suggest a positive dynamic relationship between rational Mexican sentiment and equity market returns. Results also reveal a spillover of US sentiment on the return-generating process of the Mexican stock market that is distinct from domestic sentiment. This effect may be attributed to close economic ties and ease of capital flows between the two countries. Additionally, we find that rational sentiment and market returns are inversely related to the Peso/US dollar exchange rate. Our findings suggest that sentiment is a significant risk factor in the Mexican stock market.

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“…7. Abugri (2008) and Hsing et al (2012) suggest that macroeconomic variables, such as inflation and the risk-free rate, are important determinants of stock returns for Latin American countries.…”

Section: Notesmentioning

confidence: 99%

Does investor sentiment predict Mexican equity returns?

Liston-Perez

Torres-Palacio

Bayram

2018

IJMF

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Purpose The purpose of this paper is to test whether investor sentiment is a significant predictor of future Mexican stock market returns. It also estimates the dynamic correlation between investor sentiment and equity returns. Finally, it examines if investor sentiment innovations impact unexpected returns for a variety of portfolios. Design/methodology/approach This study utilizes predictive regressions to determine if sentiment can predict Mexican equity returns. Multivariate GARCH models are estimated to examine the time-varying correlations between investor sentiment and equity returns. Findings The results show that Mexican investor sentiment is a significant predictor of Mexican equity returns for up to 24 months ahead. The findings show that high levels of sentiment today are associated with lower equity returns over the near term. Furthermore, multivariate GARCH estimations indicate that the correlation between investor sentiment and equity returns is not static and varies considerably over time. Finally, the findings indicate that sentiment innovations are significantly correlated with unexpected returns, reinforcing the notion that unexplained sentiment fluctuations lead to unexplained changes in stock market returns. Overall, these results suggest that investor sentiment is a significant source of risk for the Mexican stock market. Originality/value This study seeks to further our understanding of how behavioral factors influence and predict Mexican equity returns.

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Macroeconomic Determinants of the Stock Market Index for a Major Latin American Country and Policy Implications

Cited by 16 publications

References 27 publications

The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis

The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis

Do Domestic Sentiment and the Spillover of US Investor Sentiment Impact Mexican Stock Market Returns?

Does investor sentiment predict Mexican equity returns?

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