Stock Market Performance and Macroeconomic Factors: The Study of Indian Equity Market

Tripathi, Vanita; Seth, Ritika

doi:10.1177/0972150914523599

Cited by 62 publications

(50 citation statements)

References 16 publications

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“…It should be understood that if the value of the rupiah exchange rate against the US dollar increases, it will indicate that the rupiah exchange rate weakens against the US dollar; conversely, if the value of the rupiah exchange rate against the US dollar declines, it will indicate that the rupiah exchange rate strengthens against the US dollar. These results support the results of Tripathi and Seth's (2014) study that there is a significant correlation between capital market indicators and macroeconomic factors.…”

Section: Effects Of Macroeconomic Variables (Oil Prices Exchange Ratsupporting

confidence: 91%

The Effects of Macroeconomic Variables and Corporate Financial Performance on Stock Prices of Palm Oil Companies in Indonesia

Putri¹,

Achsani

Pranowo

2019

JMA

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Palm oil commodity is still one of the largest foreign exchange contributors to the Indonesian states and remains as an attractive industry. In 2016, Indonesia was the main exporter of CPO with the highest production volume in the world. Palm oil issuers face business challenges from external and internal factors. This research was conducted to analyze whether the stock price of oil palm issuer in Indonesia was influenced by macroeconomic variables (crude oil price, exchange rate, inflation, and interest rate) and financial performance variables (DER, ROA, ROE, EPS, and AUR). This is important because if the macroeconomic variables and financial performance of the company have an impact on the company's performance reflected in the stock price movement of the issuer, this will be an important consideration for investors to take decisions. The results of this research using panel data regression (2010-2016 with quarter data) indicated that only one macroeconomic variable of Exchange Rate that had a negative significant effect on the price of palm oil stock while the financial performance variables in this research affecting the palm oil stock price significantly were DER, ROA, ROE, EPS, EPS t-1, and Stock Price t-1. All variables used in this research can represent the influence of the stock price of palm oil by 99.21%. Abstrak: Komoditi kelapa sawit masih menjadi salah satu kontributor devisa terbesar bagi negara Indonesia dan menjadi industri yang menarik bagi investor. Tahun 2016 Indonesia merupakan eksportir utama CPO dengan volume produksi tertinggi di dunia (35 juta metrik ton). Dalam industri kelapa sawit, para emiten kelapa sawit menghadapi tantangan usaha baik berupa faktor eksternal dan faktor internal. Penelitian ini bertujuan untuk menganalisis pengaruh fluktuasi variabel makroekonomi (harga minyak mentah/Oil, Kurs, Inflasi, dan Suku Bunga) dan variabel kinerja keuangan (DER,ROA,ROE,EPS,AUR) terhadap harga saham emiten kelapa sawit di Indonesia. Variabel tersebut yang memberikan dampak terhadap prestasi perusahaan tergambar dari pergerakan harga saham emiten akan menjadi bahan pertimbangan bagi investor untuk mengambil keputusan berinvestasi. Penelitian ini menggunakan regresi data panel (data kuartal tahun 2010-2016) dengan hasil menunjukkan bahwa hanya satu variabel makroekonomi yaitu Kurs yang memiliki pengaruh signifikan negatif terhadap harga saham emiten kelapa sawit. Sementara variabel kinerja keuangan dalam penelitian ini yang ditemukan mempengaruhi harga saham emiten kelapa sawit secara signifikan adalah DER, ROA, ROE, EPS, EPS t-1, dan Harga Saham t-1. Seluruh variabel yang digunakan dalam penelitian ini dapat mewakili pengaruh harga saham emiten kelapa sawit sebesar 99,21%. Kata kunci: kinerja keuangan, emiten kelapa sawit, variabel makroekonomi, data panel,harga saham

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Section: Effects Of Macroeconomic Variables (Oil Prices Exchange Ratsupporting

confidence: 91%

The Effects of Macroeconomic Variables and Corporate Financial Performance on Stock Prices of Palm Oil Companies in Indonesia

Putri¹,

Achsani

Pranowo

2019

JMA

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“…Market capitalization is the share price times the number of shares outstanding, and can be written as in the below formula: Pakistan (1990Pakistan ( -2017. The interest rate has been proxy by the discount rate/bank rate, commonly known as the SBP's Reverse Repo (Ceiling) rate 1 . The interest rate change has been calculated by taking log-difference to bank rate, and can be written as: Pakistan (2017).…”

Section: Data Descriptionmentioning

confidence: 99%

“…Such market performance is highly influenced by many variables, but especially due to interest rate as well as exchange rate [1]. The stock market development level, domestic currency value and the interest rate level give details of the dynamics in the development level of an economy [2].…”

Section: Introductionmentioning

confidence: 99%

Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan: A Cointegration Approach

Khalid¹

2017

JFE

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This research paper is an endeavor to empirically investigate the economic effects of interest rates and exchange rates on stock market capitalization by considering annual data for Pakistan covering the 1990-2017 periods. The main intention of this research is to analyze the short-run together with the long-run interconnections between the aggregate market capitalization and macroeconomic variables by employing the econometric tools of Johansen approach, Error Correction Model (ECM) and then inspection of Variance Decomposition. And finally, causal linkages have been explored by the application of Granger-Causality test. By applying the Johansen Jeselius approach, it is detected that the whole series of data are co-integrated showing the long-term relationships among the examined variables. The long-term coefficient shows that a 1% increase in interest rate and in exchange rate contributes 0.23% decrease and 3.17% increase in market capitalization, respectively. The estimated ECM lagged value illustrates that in the short period, 22.07% volatility of market capitalization are corrected per annum to reach at the steady-state. And the analysis of Granger-causality tool reports the existence of a unidirectional causality from foreign exchange rate to interest rate. The further reduction of bank rate in the economy has been recommended in this study to facilitate the financial sector development as well as to stimulate the investment level both nationally and internationally.

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“…The stock market performance is one of the leading dynamics which affects the economic progress of a nation and may have practical implications for macroeconomic variables to accomplish the preferred outcomes. This market performance is highly influenced by many macro variables, for instance, interest rate, exchange rate and inflation rate [3]. The stock market development level, domestic currency value and the interest rate level give details of the dynamics in the development level of an economy [69].…”

Section: International Journal Of Econometrics and Financial Managementmentioning

confidence: 99%

Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience

Khalid¹,

Khan²

2017

IJEFM

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This research paper empirically investigates the effects of interest rates, exchange rates and inflation rates on stock market performance of Pakistan by using annual time series data covering the 1991-2017 periods. The prime intention of this research was to inspect the long-run and short-run relationships between the KSE-100 index and macroeconomic variables by employing the econometric techniques of Autoregressive Distributed Lag (ARDL) bounds testing procedure to cointegration and the Error Correction Model (ECM), respectively. By applying the ARDL model, the empirical results revealed the fact that there was a negative and significant impact of interest rate on the market index, whereas; the exchange rate and the inflation rate have a positive impact on stock market volatility in the long-run. Furthermore, the ECM analysis pointed out that an estimated coefficient of the error correction term was significant with expected negative sign and showed that 46.53% deviation of the stock market index are corrected in the short-run per year. The study recommended that the monetary authorities should further reduce the bank rate up to the lowest rate in order to stimulate the stock market performance, which in turn; will boost the existing investment level and will encourage the new investment into the stock market. In addition, this policy will also ensure in the reduction of higher inflation rates. And the study found that the reduction in bank rate and stabilization in exchange rate is essential to local and foreign investors in the short-run.

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Stock Market Performance and Macroeconomic Factors: The Study of Indian Equity Market

Cited by 62 publications

References 16 publications

The Effects of Macroeconomic Variables and Corporate Financial Performance on Stock Prices of Palm Oil Companies in Indonesia

The Effects of Macroeconomic Variables and Corporate Financial Performance on Stock Prices of Palm Oil Companies in Indonesia

Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan: A Cointegration Approach

Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience

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