Empirical Test of Macroeconomic Variables and Stock Market Returns in Asian Emerging Market
There has been a number of documented evidence examining the relationship between macroeconomic variables and stock returns in developed countries. However, the effect of changes in macroeconomic variables on Asian stock markets is an interesting area to research with, therefore there is a need t...
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| 主要作者: | |
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| 格式: | Thesis |
| 語言: | English English |
| 出版: |
2001
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| 主題: | |
| 在線閱讀: | http://psasir.upm.edu.my/id/eprint/7945/1/GSM_2001_15.pdf |
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| 總結: | There has been a number of documented evidence examining the relationship between
macroeconomic variables and stock returns in developed countries. However, the effect
of changes in macroeconomic variables on Asian stock markets is an interesting area to
research with, therefore there is a need to address such issue in these developing
countries.
This study attempts to investigate the relationships among stock prices, exchange rates,
interest rates, trade balances, expected inflation, industrial production and money supply,
by using data from six selected Asian countries namely Hong Kong, Singapore,
Malaysia, Thailand, Philippines and Indonesia. The Multi index model (MIM) and the
Error Correction Model (ECM) were applied to capture the dynamic relationship among
these variables over the period of 1 990- 1 to 2000-4. The analysed were divided into two
specifications -efficient market (Hong Kong, Singapore and Malaysia) and the less
efficient market (Thailand, Philippines and Indonesia).
The empirical results of this study indicate that consistent with many studies in developed
markets, stock prices and macroeconomic variables are integrated in the long run.
However in the short run, the results are country specific. The general performance of
Hong Kong market is caused by interest rates and money supply. For Singapore, the
results showed that trade balances, interest rates and money supply were the factors for
stock pricing. Interest rates, exchange rates and money supply appeared to be the factors
influencing the stock price fluctuations in Malaysia. While for Philippines the results
indicated that stock prices are affected by lag exchange rate, lag trades balances and lag
interest rates. For Thailand the results found that expected inflation, exchange rate and
interest rate were the factors for stock pricing. For Indonesia, the finding showed that
interest rates and money supply were dominant factors in pricing stock returns.
Overall, for the efficient market the findings found that interest rates and money supplies
appeared to be the major common factors affecting stock price fluctuations. However, in
the less efficient market, the result indicated that interest rates were the only common
factor affecting prices in Thailand, Philippines and Indonesia stock market.
The results documented in this study provide better insights on the relationship between
stock markets and major economic variables in selected Asian countries. Such evidence,
lead to better decisions for investors with cross border investments and to policy marker
on how to adjust policies in order to minimize stock prices volatility subsequently
improve market's performance. These findings raise several important implications for
stabilizing the stock market. Firstly, the result appeared to suggest country specific
macroeconomic variables influencing stock markets and secondly, there was one or two
common macro economic variables influencing the Asian countries. |
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