An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets Returns
The stock exchange is one of the most powerful sectors, which contribute significantly to the economy's wealth. It plays a crucial role in economic growth and economic development, to which industry, trade and trade as a whole would be benefiting. Therefore, a significant number of research pro...
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| Format: | Article |
| Language: | English |
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Ferdowsi University of Mashhad
2022-01-01
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| Series: | Iranian Journal of Accounting, Auditing & Finance |
| Subjects: | |
| Online Access: | https://ijaaf.um.ac.ir/article_41456_5d392df20b07916e52cca7238090c1e6.pdf |
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| author | MARAN K Padma Prabha C Mickel Aancy H VENKATESH P Senthilnathan C.R |
| author_facet | MARAN K Padma Prabha C Mickel Aancy H VENKATESH P Senthilnathan C.R |
| author_sort | MARAN K |
| collection | DOAJ |
| description | The stock exchange is one of the most powerful sectors, which contribute significantly to the economy's wealth. It plays a crucial role in economic growth and economic development, to which industry, trade and trade as a whole would be benefiting. Therefore, a significant number of research projects have been devoted not surprisingly to understanding the nature of stock market movements and their general performance. A number of studies have shown that macroeconomic variables have a significant impact on stock market performance, while other studies have at best found an inconclusive relationship. It is also worth noting that most of these studies were conducted on developed markets and rarely touched on the combination of emerging and developed markets. Hence this study aims at understanding the impact of selected macroeconomic variables such as Export growth, Import growth, Trade balance, Inflation rate, Broad money growth and exchange rate on the stock market chosen Indices of five Asian countries such as India, Japan, China, Hong Kong and Singapore. The Augmented Dickey-Fuller test (ADF), Granger causality test, Johansen cointegration test the short-run and long-run cointegration between the variables. Variance decomposition analysis is also used to determine how much of the variability in stock returns is lagged by its own variance. The study's findings reveal a substantial long-run cointegration among the macroeconomic variables and stock indices in the case of Japan, China, Hong Kong, and Singapore. All the macroeconomic variables are integrated into I (1) except for the trade balance in the case of Japan, which is integrated into I (2). |
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| institution | Directory Open Access Journal |
| issn | 2717-4131 2588-6142 |
| language | English |
| last_indexed | 2025-02-17T13:54:21Z |
| publishDate | 2022-01-01 |
| publisher | Ferdowsi University of Mashhad |
| record_format | Article |
| series | Iranian Journal of Accounting, Auditing & Finance |
| spelling | doaj.art-9ef683e1020a4c01ad7d24a099f785a32024-12-25T06:52:21ZengFerdowsi University of MashhadIranian Journal of Accounting, Auditing & Finance2717-41312588-61422022-01-0161152410.22067/ijaaf.2022.4145641456An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets ReturnsMARAN K0Padma Prabha C1Mickel Aancy H2VENKATESH P3Senthilnathan C.R4Sri Sairam Institute of Management Studies, Sri Sairam Engineering College, Sai Leo NagarDepartment of MBA ,Panimalar Engineering College,Chennai, IndiaDepartment of MBA ,Panimalar Engineering College,Chennai, IndiaAssistant Professor, Sri Sairam Engineering College, Chennai, IndiaSri Sairam Institute of Technology, Chennai, IndiaThe stock exchange is one of the most powerful sectors, which contribute significantly to the economy's wealth. It plays a crucial role in economic growth and economic development, to which industry, trade and trade as a whole would be benefiting. Therefore, a significant number of research projects have been devoted not surprisingly to understanding the nature of stock market movements and their general performance. A number of studies have shown that macroeconomic variables have a significant impact on stock market performance, while other studies have at best found an inconclusive relationship. It is also worth noting that most of these studies were conducted on developed markets and rarely touched on the combination of emerging and developed markets. Hence this study aims at understanding the impact of selected macroeconomic variables such as Export growth, Import growth, Trade balance, Inflation rate, Broad money growth and exchange rate on the stock market chosen Indices of five Asian countries such as India, Japan, China, Hong Kong and Singapore. The Augmented Dickey-Fuller test (ADF), Granger causality test, Johansen cointegration test the short-run and long-run cointegration between the variables. Variance decomposition analysis is also used to determine how much of the variability in stock returns is lagged by its own variance. The study's findings reveal a substantial long-run cointegration among the macroeconomic variables and stock indices in the case of Japan, China, Hong Kong, and Singapore. All the macroeconomic variables are integrated into I (1) except for the trade balance in the case of Japan, which is integrated into I (2).https://ijaaf.um.ac.ir/article_41456_5d392df20b07916e52cca7238090c1e6.pdfmacro-economic variablesaugmented dickey-fuller test (adf)granger causality testjohansen cointegration test |
| spellingShingle | MARAN K Padma Prabha C Mickel Aancy H VENKATESH P Senthilnathan C.R An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets Returns Iranian Journal of Accounting, Auditing & Finance macro-economic variables augmented dickey-fuller test (adf) granger causality test johansen cointegration test |
| title | An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets Returns |
| title_full | An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets Returns |
| title_fullStr | An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets Returns |
| title_full_unstemmed | An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets Returns |
| title_short | An Empirical Study on The Impact of Macro-Economic Varables on Asian Stock Markets Returns |
| title_sort | empirical study on the impact of macro economic varables on asian stock markets returns |
| topic | macro-economic variables augmented dickey-fuller test (adf) granger causality test johansen cointegration test |
| url | https://ijaaf.um.ac.ir/article_41456_5d392df20b07916e52cca7238090c1e6.pdf |
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