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Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia
Abdullah, Ahmad Monir; Saiti, Buerhan; Masih, Abul Mansur M. - Volkswirtschaftliche Fakultät, … - 2014
The causal relations and dynamic interactions among macroeconomic variables and stock market index are important in the formulation of a country’s macroeconomic policy. In this study, to investigate the lead-lag relationship between stock market index and macroeconomic variables, we employ...
Persistent link: https://www.econbiz.de/10011108410
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The causal link between Polish stock market and key macroeconomic aggregates
Gurgul, Henryk; Lach, Łukasz - Volkswirtschaftliche Fakultät, … - 2010
This paper with the application of linear, nonlinear and long–run Granger causality tests, examines the causal links between the main Polish market price index (WIG) of the Warsaw Stock Exchange and four macroeconomic aggregates, namely the value of sold industrial production, the unemployment...
Persistent link: https://www.econbiz.de/10011259785
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The New Information Age & the Stock Market Growth Puzzle
Kamat, Manoj; Kamat, Manasvi - Volkswirtschaftliche Fakultät, … - 2007
The New Information Age & the Stock Market Growth Puzzle Mr. Manoj Subhash Kamat* Mrs. Manasvi Manoj Kamat** Abstract We investigate the nexus between developments in financial intermediation with the growth in capital market activity and implications for the retail investors in India, over the...
Persistent link: https://www.econbiz.de/10005622109
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Do macroeconomic variables play any role in the stock market movement in Ghana?
Adam, Anokye M.; Tweneboah, George - Volkswirtschaftliche Fakultät, … - 2008
macroeconomic variables. We analyse quarterly data for the above variables from 1991.1 to 2007.4. employing cointegration test … stock market index and the economic variables. The paper established that there is cointegration between macroeconomic …
Persistent link: https://www.econbiz.de/10005623389
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Informational inefficiency of the Brazilian stockmarket
Guttler, Caio; Meurer, Roberto; Da Silva, Sergio - Volkswirtschaftliche Fakultät, … - 2006
Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian …
Persistent link: https://www.econbiz.de/10005621378
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On the Temporal Causal Relationship between Macroeconomic Variables: Empirical Evidence from India
P., Srinivasan; M., Kalaivani - Volkswirtschaftliche Fakultät, … - 2013
bounds test for cointegration, Johansen and Juselius (1990) multivariate cointegration test, Granger causality …
Persistent link: https://www.econbiz.de/10011112036
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Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand
Forson, Joseph Ato; Janrattanagul, Jakkaphong - Volkswirtschaftliche Fakultät, … - 2014
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/10011113078
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Empirical Investigation of the Twin Deficits Hypothesis: The Egyptian Case (1990-2012)
El-Baz, Osama - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the relationship between current account and government budget balances. We tested the validity of the Twin Deficits Hypothesis (TDH)in Egypt, using annual time series data for the period (1990-2012). We rejected the TDH, as granger causality tests proved a reverse causal...
Persistent link: https://www.econbiz.de/10011110280
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Stock Market Linkages in Emerging Asia-Pacific Markets
P., Srinivasan; M., Kalaivani - Volkswirtschaftliche Fakultät, … - 2013
. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China and Indonesia. Johansen and Juselius (1990 …) multivariate cointegration test, Granger causality/Block exogeneity Wald test based on VECM approach and Variance Decomposition … Analysis was employed to investigate the dynamic linkages between markets. Cointegration test confirmed a well defined long …
Persistent link: https://www.econbiz.de/10011110634
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Dynamic relationships between stock market performance and short term interest rate Empirical evidence from Sri Lanka
Pallegedara, Asankha - Volkswirtschaftliche Fakultät, … - 2012
econometric techniques namely Unit root test, cointegration test, vector auto correction model (VECM), Granger-Causality test and …
Persistent link: https://www.econbiz.de/10011113055