The relationship between South Asian stock returns and macroeconomic variables

On the Relationship between Monetary Policy Instruments, Macroeconomic Variables and Stock Market Returns

The purpose of this paper is to study the impact of the monetary policy instruments and to explore the extent to which macroeconomic variables affect the Romanian stock market’s behaviour in the 2000 – 2011 period with a GARCH-family system of simultaneous equations. Another rational of this research is to determine whether stocks are a good hedge against inflation on the Romanian financial mar...

The Relationship between Stock Market and Macroeconomic Variables: a Case Study for Iran

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for t...

The Relationship Between Stock Market And Macroeconomic Variables: A Case Study For Iran

Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets

We examined the effects of trading volume on the persistence of the time-varying conditional volatility of returns and the dynamic relations between trading volume and returns (and volatility) for both domestic and cross-country markets. We considered daily prices and trading volume in four Asian stock exchanges (Korea, Japan, China, and Hong Kong). For the analysis, we used the GARCH model, wh...

An Empirical Analysis of the Relationship between Macroeconomic Variables and Stock Prices in Bangladesh

Establishing the relationship between stock prices and macroeconomic variables is very important for formulating current economic stabilisation policies. This paper investigates the causal relationship between four macroeconomic variables and Dhaka Stock Exchange (DSE) stock prices using cointegration and Granger causality test. The results suggest that cointegration exists between stock prices...