PurposeThe purpose of this paper is of twofold: first, to empirically examine the short-run and long-run impact of macroeconomic variables such as industrial production, foreign direct investment (FDI), trade balance (TB), exchange rate, interest rate (IR) and consumer price index (CPI) on stock prices (SP) of KSE-100 index; and second, to examine whether this relationship changes as a result of the financial crisis.Design/methodology/approachThis study uses an autoregressive distributed lag model by using the full sample period data from 1997Q3 to 2018Q2 and the post-crisis period data from 2008Q3 to 2018Q2. Moreover, it uses variance decomposition analysis to examine the importance of each variable in explaining SP.FindingsThe findings of the full sample period indicate that in the long run, TB, exchange rate and IR negatively affect SP whereas CPI and industrial production positively affect SP. However, the post-crisis period data indicate that only CPI positively affects the SP ...

The broad objective of this study is to examine the pattern of fall in price and its recovery according to capitalization size in the Indian stock market during and after coronavirus recession and compare these patterns with each other so that we can evaluate the behaviour of all cap indices and COVID-19 recession impact on them. For this purpose, Daily Historical data of large-cap, mid-cap and small-cap indices from 1 January 2020 to 31 June 2021 is used for data analysis Statistical tools such as Average (Mean) returns, Standard deviation, Variance and Coefficient of variation in returns are used to study the pattern of movement in returns of large-cap, mid-cap and small-cap indices. And Covariance and F- test is used to study the relationship between Indices. In end, Bar charts are used to summarize and compare resultant patterns in returns. The result of the analysis carried out shows that the large-cap offers fewer returns than mid-cap and small-cap indices on average, and Large Cap returns variated most during the Corona recession, so this index was the riskiest index during the Corona recession. This study can be useful to Investors and Academicians as they can use it while making investment decisions and for further academic study on the related topic.

Many academic researchers, financial inverters and industry analysts and practitioners have tried to paid their attention to examine the dynamics and the direction of relation between macroeconomic variables and movements of stock price. They have gone through several empirical and descriptive studies to examine the extent and the direction of effect of macroeconomic variables on stock prices and the existing relationship between the two in the contemporary scenario. It is clearly explained that increasing integration of the financial markets and implementation of various stock market reformation measures in India, the activities of the stock markets and their relationships with the macro economy have assumed to be very significant. This study is an attempt to examine the causal relationships between the share price of Group A companies and some of crucial macroeconomic variables namely gold price, crude oil price, foreign exchange reserve, political turbulence and call money rate. ...

Stock markets stand as a financial mechanism that provides liquidity for firms and offers diversification benefits for investors. Stock markets in the Eastern European countries are weakform efficient which exposes them to speculative prices. This study investigates the influence of the macroeconomic and firm-specific factors on stock prices of the listed companies within the Visegrad Stock Markets. The study employs regression analyses based on a Pooled OLS and Fixed Effect models with year dummies and standard errors clustered at the country level, which are robust to autocorrelation and heteroscedasticity. Data collection consists of 55 listed companies based on the weekly stock prices, from January 2013 till December 2018. The results indicate that total equity is the only significant element that influences the individual stock prices of the companies in the four established models. Additionally, increase in supply of shares declines the current stock prices and the other way a...

This study investigates the long term relationship between the behaviour of stock markets during the 2008 crisis and some selected international macroeconomic variables using information from January 2005 to December 2015. The procedures of the Autoregressive Distributed Lag modeling techniques (ARDL) are employed for the analysis. The bounds testing procedure in the ARDL framework is used to test for the existence of long term relationships between stock market behaviour and global economic factors (interest rate, exchange rate, index of industrial production and oil price) as well as the direction of effects, while estimated coefficients are used to test the pattern of long term relationships among the variables. The study revealed that a significant long term relationship exists between stock price movements and these global economic trends while the stock market crash significantly impacted the efficiency of the markets under review. Thus, it is recommended that market fundament...

Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and also provides an extensive critical analysis of existing literature on the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear. Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which affect stock market performance can be identified, an exhaustive list of macroeconomic variables cannot be drawn. There has been a shift in econometric methods applied from basic tools to more advanced second generation financial econometric techniques Future researchers should focus on examining this relationship for emerging markets, consider a comprehensive set of macroeconomic and stock market performance variables, take a fairly long study period, apply modern financial econometric techniques, explore this relation at sectoral level and incorporate impact of recent global financial crisis in their study.

This paper recognizes that intuitively a clear understanding about security market pricing procedures from both long- and short-runs viewpoints are important to an astute investor. Here an attempt is made to identify the efficient method of empirical studies in asset pricing that are relevant under the integrated global market system. Accordingly, it has briefly reviewed recent studies in asset pricing that are particularly important from a security market standpoint under the prevailing global economic and financial market system. Through this survey using the cointegration approach one can efficiently analyze the long-run relationship between a priori variables that are considered as a proxy for systematic risk factors and security market prices from the perspective of any nation within the globe.