Macroeconomic influences on the stock market

Hondroyiannis, George; Papapetrou, Evangelia

doi:10.1007/bf02759685

Cited by 95 publications

(59 citation statements)

References 22 publications

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“…Additionally, Jones and Kaul (1996) through examining developed countries such as USA, the United Kingdom, Canada, and Japan confirm the negative relationships between oil prices and these countries' stock index returns. Through applying Johansen's co-integration method to analyze Greece overall economic activities, this finding is further supported by Hondroyiannis and Papapetrou (2001) that rising oil prices strongly reduce stock index returns. In line with this, Maghyereh and Kandari (2007) through adopting rank tests of nonlinear co-integration analysis for testing the relationships between prices and stock index returns on member countries of Gulf Cooperation Council (GCC) propose that oil price changes have a negative impact on stock index returns.…”

Section: Use Vector Auto Regression (Var) To Analyze Monthly Data Of mentioning

confidence: 75%

“…The more active stock market trade of a country shows the more prosperous on its economy. Due to this fact, numerous previous studies have explored the factors of affecting stock volatility, including stock trading value (Assogbavi et al, 1995;Saatcioglu and Starks, 1998;Chen et al, 2001;Lee and Rui, 2002;Statman et al, 2006;Xu et al, 2006;Rashid, 2007;Chuang et al, 2009;Chen, 2012) oil price (Jones and Kaul, 1996;Maghyereh and Kandari, 2007;Aloui and Jammazi, 2009;Qinbin et al, 2012;Mollick and Assefa, 2013) manufacturing industry production index (Mohanty et al, 2011) economic prosperity (Fan et al, 2003;Basher and Sadorsky, 2006;Driesprong et al, 2008;Tang et al, 2010) investment inclination (Faff and Brailsford, 1999;Hondroyiannis and Papapetrou, 2001;Henriques and Sadorsky, 2008;Mollick and Assefa, 2013) interest rate (Kagraoka and Moussa, 2013) the total value of import and export prices (Chen et al, 2001) exchange rate (Lyonnet and Werner, 2012) money supply (Eichengreen, 2013;Karras, 2013) price variation (Girardin and Moussa, 2011;Naifar and Dohaiman, 2013) unemployment rate (Nguyen and Bhatti, 2012;Schenkelberg and Watzka, 2013).…”

Section: Introductionmentioning

confidence: 99%

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Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

Hsu

Tsai

2017

Asian Economic and Financial Review

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Section: Use Vector Auto Regression (Var) To Analyze Monthly Data Of mentioning

confidence: 75%

Section: Introductionmentioning

confidence: 99%

Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

Hsu

Tsai

2017

Asian Economic and Financial Review

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“…Grorge Handroyiannis and Evangelia Papapetrou [13] in this paper they have collected the data for checking the stationary of data from France stock exchange. For this purpose they have used the GARCH model and taken the results that there is long run relationship between oil prices and France stock exchange.…”

Section: Literature Reviewmentioning

confidence: 99%

Gold and Oil Prices Versus Stock Exchange: A Case Study of Pakistan

Najaf¹,

Najaf²,

Yousaf³

2016

J Account Mark

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Due to global financial crisis, around the all over the world all developing and under developing countries are facing the low trading profit. In most of the developing country like Pakistan, there is low investment level due to political instability. Due to this condition Karachi stock exchange has the worst sell. Karachi stock exchange is known as the oldest and more profitable stock exchange of Pakistan. Oil and gold prices are attracting investors towards there not in the stock exchange. This thing is the barrier for the progress of the development of the country. This paper is trying to expose that stock market is going to down due to these variables. For checking the impact of oil and gold prices on the Karachi stock exchange we have used that secondary data for this study. For this purpose we have taken data from Karachi stock exchanges from the period of 1996 to 2013. We have applies correlation matrix for this purpose. The result has shown that KSE 100 has return is 0.014503 and GDP 0.058793, gold 0.012026 and oil 0.00919. Karachi stock exchange return has standard value is 0.089982, while gold standard deviation 0.038716 and oil standard deviation value is 0.103375. The correlations have shown that in these markets there is not positive relationship. Karachi stock exchange and GDP have inverse relationship with gold market. These results have also shown that oil growth has a significant relationship with KSE100 and GDP. For the predication correlation is not considering an authentic measure.

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“…He points that this information is useful for strategic asset allocation in different sectors in order to control the macroeconomic risks. Hondroyiannis and Papapetrou (2001) study the interaction among macroeconomic variables and stock market in Greece. The result shows that the stock market movement cannot be the leading indicator of macroeconomic fluctuation whereas the macroeconomic can partially explain the fluctuation in stock market.…”

Section: Macroeconomic Factors and Stock Returnmentioning

confidence: 99%

Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand

Tangjitprom¹

2012

International Journal of Financial Research

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This paper aims to examine the importance of macroeconomic factors to determine the performance of stock market. The regression analysis is used to examine this relationship. The result shows that macroeconomic variables can explain stock return significantly after adjusting for some lags of data availability. Moreover, the lead-lag relationship is examined by Vector Autoregression model and Granger causality test. They reveal that macroeconomic variables are less important to predict future stock return whereas stock return can be used to predict macroeconomic variables more. In the other word, stock return is good candidate as a leading economic indicator. Finally, the variance decomposition technique reveals that interest rate is the most important macroeconomic variable to explain the variance in stock return. However, it is clearly noticed that all macroeconomic variables can explain only a little variance in stock return.

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Macroeconomic influences on the stock market

Cited by 95 publications

References 22 publications

Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

Gold and Oil Prices Versus Stock Exchange: A Case Study of Pakistan

Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand

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