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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand

Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Persistent link: https://www.econbiz.de/10010406272

Stock market reaction to selected macroeconomic variables in the Nigerian economy

Abraham, Terfa Williams - In: CBN journal of applied statistics 2 (2011) 1, pp. 61-70

This study examines the relationship between the stock market and selected macroeconomic variables in Nigeria. The all share index was used as a proxy for the stock market while inflation, interest and exchange rates were the macroeconomic variables selected. Employing error correction model, it...

Persistent link: https://www.econbiz.de/10011477577

Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable...

Persistent link: https://www.econbiz.de/10012023365

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24

Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...

Persistent link: https://www.econbiz.de/10011590636

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...

Persistent link: https://www.econbiz.de/10011862130

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018

In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...

Persistent link: https://www.econbiz.de/10011812671

The interaction between stock prices and interest rates in Turkey : empirical evidence from ARDL bounds test cointegration

Tursoy, Turgut - In: Financial innovation : FIN 5 (2019) 7, pp. 1-12

Turkey’s financial markets for the period of 2001 M1 – 2017 M4. Cointegration analysis is investigated using the … autoregressive-distributed lag bounds (ARDL Bounds) test and vector autoregressive cointegration. Additionally, cointegrating … regression are applied to check the long-run elasticities in the concerned relationship. The ARDL Bounds and Johansen …

Persistent link: https://www.econbiz.de/10011972648

Analysing the macroeconomic drivers of stock market development in the Philippines

Ho, Sin-yu; Odhiambo, Nicholas M. - In: Cogent economics & finance 6 (2018) 1, pp. 1-18

This paper analyses the macroeconomic drivers of stock market development in the Philippines during the period 2001Q4–2016Q4. In particular, the paper examines the impact of banking sector development, inflation rate, exchange rate, economic growth, trade openness and stock market liquidity on...

Persistent link: https://www.econbiz.de/10011904250

The effect of global financial markets and local shocks on Turkey airlines market : new evidence from structural break cointegration and causality tests

Guliyev, Hasraddin - In: Research in globalization 5 (2022), pp. 1-9

employing Maki's (2012) cointegration test considering multiple unknown structural breaks. In addition, the Granger causality …

Persistent link: https://www.econbiz.de/10014331035

Impact of Khartoum Stock Exchange market performance on economic growth : an autoregressive distributed lag ARDL bounds testing model

Elhassan, Tomader; Braima, Bakhita - In: Economies : open access journal 8 (2020) 4/86, pp. 1-16

This study examines the impact of the Khartoum Stock Exchange market performance on economic growth in Sudan from Q1 1995 to Q4 2018. The data were collected from the Central Bank of Sudan (CBS) and Khartoum Stock Exchange (KSE). The autoregressive distributed lag (ARDL) bounds test was applied...

Persistent link: https://www.econbiz.de/10012311623

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