An investigation on the impact of macroeconomic variables on stock market performance of G7 countries

This study intends to investigate the impact of exchange rate, interest rate and inflation rate on stock market performance of G7 countries which are United States, UK, Canada, Japan, Italy, Germany and France. The stock indices used in this study are Dow Jones Industrial stock index, FTSE all stock...

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Main Author:	Zhang, Long Fei
Format:	Thesis
Language:	eng eng
Published:	2017
Subjects:	HB Economic Theory
Online Access:	https://etd.uum.edu.my/7157/1/s819021_01.pdf https://etd.uum.edu.my/7157/2/s819021_02.pdf
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id	my-uum-etd.7157
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Nordin, Sabariah
topic	HB Economic Theory
spellingShingle	HB Economic Theory Zhang, Long Fei An investigation on the impact of macroeconomic variables on stock market performance of G7 countries
description	This study intends to investigate the impact of exchange rate, interest rate and inflation rate on stock market performance of G7 countries which are United States, UK, Canada, Japan, Italy, Germany and France. The stock indices used in this study are Dow Jones Industrial stock index, FTSE all stock index, DAX stock index, SBF 250 index, Tokyo stock exchange index, Toronto stock exchange and Comit indices. This study employs annual data for 15 years which is from 2001 to 2015. The data is obtained from the Datastream database. An ordinary least square, fixed effect model, random effect model and fixed effect with robust standard error model are the tests used to achieve the objectives of the study. Empirical results of the fixed effect model with robust standard error show that inflation rate has a significant impact and positive relationship with the stock index movement. In particular, the regression result shows that for 1 percent increase in inflation rates the stock price would increase by 38 percent. The exchange rate and interest rate do not have any significant impact on the stock market index.
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Zhang, Long Fei
author_facet	Zhang, Long Fei
author_sort	Zhang, Long Fei
title	An investigation on the impact of macroeconomic variables on stock market performance of G7 countries
title_short	An investigation on the impact of macroeconomic variables on stock market performance of G7 countries
title_full	An investigation on the impact of macroeconomic variables on stock market performance of G7 countries
title_fullStr	An investigation on the impact of macroeconomic variables on stock market performance of G7 countries
title_full_unstemmed	An investigation on the impact of macroeconomic variables on stock market performance of G7 countries
title_sort	investigation on the impact of macroeconomic variables on stock market performance of g7 countries
granting_institution	Universiti Utara Malaysia
granting_department	School of Economics, Finance & Banking
publishDate	2017
url	https://etd.uum.edu.my/7157/1/s819021_01.pdf https://etd.uum.edu.my/7157/2/s819021_02.pdf
_version_	1747828164713775104
spelling	my-uum-etd.71572021-08-18T08:47:16Z An investigation on the impact of macroeconomic variables on stock market performance of G7 countries 2017 Zhang, Long Fei Nordin, Sabariah School of Economics, Finance & Banking School of Economics, Finance and Banking HB Economic Theory This study intends to investigate the impact of exchange rate, interest rate and inflation rate on stock market performance of G7 countries which are United States, UK, Canada, Japan, Italy, Germany and France. The stock indices used in this study are Dow Jones Industrial stock index, FTSE all stock index, DAX stock index, SBF 250 index, Tokyo stock exchange index, Toronto stock exchange and Comit indices. This study employs annual data for 15 years which is from 2001 to 2015. The data is obtained from the Datastream database. An ordinary least square, fixed effect model, random effect model and fixed effect with robust standard error model are the tests used to achieve the objectives of the study. Empirical results of the fixed effect model with robust standard error show that inflation rate has a significant impact and positive relationship with the stock index movement. In particular, the regression result shows that for 1 percent increase in inflation rates the stock price would increase by 38 percent. The exchange rate and interest rate do not have any significant impact on the stock market index. 2017 Thesis https://etd.uum.edu.my/7157/ https://etd.uum.edu.my/7157/1/s819021_01.pdf text eng public https://etd.uum.edu.my/7157/2/s819021_02.pdf text eng public masters masters Universiti Utara Malaysia Abdelbaki, H. H. (2013). Causality relationship between macroeconomic variables and stock market development: Evidence from Bahrain. The International Journal of Business and Finance Research, 7(1), 69-84. Addo, A., & Sunzuoye, F. (2013). The Impact of Treasury Bill rate and interest rate on the stock market returns: Case of Ghana stock exchange. 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An investigation on the impact of macroeconomic variables on stock market performance of G7 countries

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