Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison
Using monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan, and Si...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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UUM Press
2010-01-01
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| Series: | International Journal of Management Studies |
| Online Access: | https://www.scienceopen.com/document?vid=1047703f-ba38-4ac0-ac67-1ecd837de6ff |
| _version_ | 1797896382170791936 |
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| author | Wai Ching Poon Gee Kok Tong |
| author_facet | Wai Ching Poon Gee Kok Tong |
| author_sort | Wai Ching Poon |
| collection | DOAJ |
| description | Using monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan, and Singapore) and four emerging markets who experienced a crisis before (Malaysia, India, Korea, and Philippines). It is found that economic volatility, as measured by movement in inflation, output growth, and interest rate, have a weak predictor power for stock market volatility and returns. In line with the evidence reported in Davis and Kutan (2003), the findings suggest that there is no support for the Fisher effect in stock returns among the seven mature and emerging markets. Keywords: Predictive power; output; inflation; interest rate; stock return volatility. |
| first_indexed | 2024-04-10T07:40:47Z |
| format | Article |
| id | doaj.art-24a04902e5e1460f934aed576318527c |
| institution | Directory Open Access Journal |
| issn | 2232-1608 2180-2467 |
| language | English |
| last_indexed | 2024-04-10T07:40:47Z |
| publishDate | 2010-01-01 |
| publisher | UUM Press |
| record_format | Article |
| series | International Journal of Management Studies |
| spelling | doaj.art-24a04902e5e1460f934aed576318527c2023-02-23T11:40:02ZengUUM PressInternational Journal of Management Studies2232-16082180-24672010-01-0110.32890/ijms.17.2010.10188Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A ComparisonWai Ching PoonGee Kok TongUsing monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan, and Singapore) and four emerging markets who experienced a crisis before (Malaysia, India, Korea, and Philippines). It is found that economic volatility, as measured by movement in inflation, output growth, and interest rate, have a weak predictor power for stock market volatility and returns. In line with the evidence reported in Davis and Kutan (2003), the findings suggest that there is no support for the Fisher effect in stock returns among the seven mature and emerging markets. Keywords: Predictive power; output; inflation; interest rate; stock return volatility. https://www.scienceopen.com/document?vid=1047703f-ba38-4ac0-ac67-1ecd837de6ff |
| spellingShingle | Wai Ching Poon Gee Kok Tong Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison International Journal of Management Studies |
| title | Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison |
| title_full | Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison |
| title_fullStr | Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison |
| title_full_unstemmed | Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison |
| title_short | Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison |
| title_sort | predictive power of output growth inflation and interest rate on stock return and volatility a comparison |
| url | https://www.scienceopen.com/document?vid=1047703f-ba38-4ac0-ac67-1ecd837de6ff |
| work_keys_str_mv | AT waichingpoon predictivepowerofoutputgrowthinflationandinterestrateonstockreturnandvolatilityacomparison AT geekoktong predictivepowerofoutputgrowthinflationandinterestrateonstockreturnandvolatilityacomparison |