Macroeconomic factors and stock prices in the emerging Cypriot equity market

Abstract

This study examines the relationships between macroeconomic factors and stock prices in Cyprus. Estimating a reduced form Vector Autoregressive model (VAR) we determine Granger causality between stock returns and the predictor variables. We find strong evidence of predictability (which implies inefficiency) in stock returns, which is similar to the pattern observed in developed stock markets. In common with prior studies in this area, we cannot use our results as evidence of market inefficiency or deficiencies in the asset-pricing model.

Macroeconomic Indicators and Their Impact on Stock Market Performance in the Short and Long Run: The Case of the Baltic States / Makroekonominiai Rodikliai Ir Jų Įtaka Akcijų Rinkos Indeksui Trumpuoju Ir Ilguoju Laikotarpiu: Baltijos Šalių Atvejis

“…More and more researches take place in developing financial markets, including the works written by Mookerjee and Yu (1997), Maysami and Koh (2000), who analyzed the dependence of changes of stock market indices quoted in Singapore stock market from macroeconomic factors, also Kwon and Shin (1999), who analyzed such connection in the stock market of South Korea, and Chong and Goh (2004), who analyzed the stock market in Malaysia. An influence of macroeconomic indicators on the country's stock market index in developing stock markets is analyzed in the works with a focus on Athens (Dritsaki 2005) or Cyprus (Tsoukalas 2003). There is a lack of such type of researches especially in less developed stock markets in East and Central Europe, including the Baltic stock market Pilinkus and Boguslauskas 2009).…”

Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets

“…Some researchers found that there is a significant relationship between macroeconomic variables and stock market (Bilson et al, 2001;Hondroyiannis & Papapetrou, 2001;Ibrahim & Aziz, 2003;Tsoukalas, 2003;Maysami et al, 2004;Coleman & Tettey, 2008;Horobet & Dumitr, 2009;Buyuksalvarci, 2010;Geetha et al, 2011;Ali, 2011;Rafique et al, 2013;Lakshmi & Tuwajri, 2014;Wongbangpo & Sharma, 2002;Masuduzzaman, 2012;& Ray, 2012). Other found no significant relationship between macroeconomic variables and stock market (Mohammad et al, 2009;Bhattacharya et al, 2001;Ali, 2011).…”

Relações entre os Retornos das Ações e Variáveis Macroeconômicas: um Estudo entre Empresas do Setor de Alimentos e Bebidas através de Modelos APT

“…• Taxa de juros (ver Abdullah e Hayworth, 1993;Kwon, Shin e Bacon, 1997;Tsoukalas e Sil, 1999;Muradoglu, Taskin e Bigan, 2000;Fifield, Power e Sinclair 2002;Burmeister, Roll, e Ross, 2003;Mavrides, 2003;Dritsaki, 2005); • Taxa de inflação (ver Abdullah e Hayworth, 1993;Kwon, Shin e Bacon, 1997;Muradoglu, Taskin e Bigan, 2000, Fifield, Power e Sinclair 2002, Tsoukalas, 2003Burmeister, Roll, e Ross, 2003;Mavrides, 2003;Dritsaki, 2005), • Taxa de câmbio (ver Kwon, Shin e Bacon, 1997, Muradoglu, Taskin e Bigan, 2000Ibrahim, 2000;Tsoukalas, 2003;Mishra, 2004). A taxa de inflação foi representada pelo Índice Nacional de Preços ao Consumidor (INPC).…”