Stock prices and domestic and international macroeconomic activity: a cointegration approach

Nasseh, Alireza; Strauss, Jack

doi:10.1016/s1062-9769(99)00054-x

Cited by 180 publications

(119 citation statements)

References 28 publications

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“…Then Asprem (1989) also found that real economic activity such as industrial production, exports, and money are positively correlated to stock prices. In another study Nasseh and Strauss (2000) found the existence of a strong, long-run relationship between stock prices and domestic and international economic activity in six European economies. Moreover, Campbell, Lettau, Malkiel, and Xu (2001) in their study on the macroeconomic determinants of stock market changes have concentrated on the industrial production growth rate as a measure of business-cycle fluctuations.…”

Section: Literature Reviewmentioning

confidence: 94%

The Role of Macroeconomic Variables on Stock Market Index in China and India

Hosseini¹,

Ahmad²,

Lai³

2011

IJEF

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This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries.

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Section: Literature Reviewmentioning

confidence: 94%

The Role of Macroeconomic Variables on Stock Market Index in China and India

Hosseini¹,

Ahmad²,

Lai³

2011

IJEF

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“…The results found that macroeconomic variables significantly influence stock market indices. However, the VEC equilibrium time-series model applied by others (Adeleke and Gbadebo, 2012;Agrawalla and Tuteja, 2008;Chaudhuri and Smiles, 2004;Filis, 2010;Herve et al, 2011;Hess, 2004;Hosseini et al, 2011;Karacaer and Kapusuzoglu, 2010;Kyereboah and Agyire, 2008;Maysami and Koh, 2000;Muradoglu et al, 2001;Nasseh and Strauss, 2000;Patra and Poshakwale, 2006;Wong et al, 2006) to explore the long-run and short-run equilibrium relationships between macroeconomic variables and stock market indices. These studies revealed that macroeconomic variables significantly change stock market indices.…”

Section: Review Of Previous Empirical Studiesmentioning

confidence: 99%

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Bekhet¹,

Mugableh²

2012

IJEF

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The current paper conducts an empirical examination into the long-run and short-run equilibrium relationships between macroeconomic variables and the Malaysian stock market index (SMI) for the 1977-2011 period. Specifically, it employs Ng and Perron (NP) bounds statistics test to detect the boundaries of variables stationarity. Subsequently, the co-integrating relationships among variables are tested using the bounds F-statistic test. Eventually, the long-run and short-run equilibrium relationships are analyzed using Pesaran, Shin, and Smith (PSS) bounds tests Approach. The results indicate that all macroeconomic variables are co-integrated with SMI. Besides, understanding the long-run and short-run equilibrium relationships between macroeconomic variables and SMI could be highly appreciable from the perspectives of policymakers, financial economists, domestic and international investors dealing with Malaysian stock market.

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“…Studies by Asprem (1989), Bodurtha et al (1989) and Canova and de Nicolo (1995) have shown the relevance of common factors in international stock market linkages. Nasseh and Strauss (2000) demonstrate that stock prices in European countries are determined by domestic economic variables and by German 5 economic variables for the period 1962. Fratzscher (2002 has shown that increasing integration in European equity markets in the 1990s was due mainly to the drive towards EMU.…”

Section: Introductionmentioning

confidence: 98%

Spillover effects from London and Frankfurt to Central and Eastern European stock markets

Harrison

Moore

2009

Applied Financial Economics

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This article investigates comovement in stock markets between the emerging economies of Central and Eastern Europe (CEE) and the developed markets of Western Europe. Three approaches are employed to examine this issue. The first two approaches, time-varying realized correlation ratios and cointegration statistics, use a two-step technique to derive time-varying estimates of the comovement between returns on CEE and EU stock exchanges. The first step uses common factor analysis to define the factors driving CEE stock exchanges, while the second step evaluates the relationship between the leading principal factor for CEE countries and the Deutsche Aktien Xchange (DAX) and Financial Times Stock Exchange (FTSE) using time-varying realized correlation and rolling cointegration statistics. The third approach employs Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) techniques to obtain estimates of mean and variance spillover effects.

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Stock prices and domestic and international macroeconomic activity: a cointegration approach

Cited by 180 publications

References 28 publications

The Role of Macroeconomic Variables on Stock Market Index in China and India

The Role of Macroeconomic Variables on Stock Market Index in China and India

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Spillover effects from London and Frankfurt to Central and Eastern European stock markets

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