Prices and macroeconomic variables in Lithuania: an application of the impulse response function. Engineering Economics, 5.
Pilinkus and Boguslauskas (2009) apply the impulse response function to identify the short-run equilibrium between stock market prices and macroeconomics variables of Lithuania. Their study employs the monthly data of six macroeconomic variables, namely GDP, CPI, money supply, unemployment rate, short-term interest rates, and exchange rates, and the main Lithuanian stock market index. Their findings indicate that macroeconomic variables are significant determinants for stock market prices. GDP and money supply positively affects the stock market prices. On the other hand, unemployment rate, exchange rate, and short-term interest rates negatively affect the stock market prices.
Maghayereh, A. (2003). Causal relations among stock prices and macroeconomic variables in
the small, open economy of Jordan. Journal of King Abdulaziz University, 17(2), 3 - 12.
Maghayereh (2003) examine the long run relationships between stock market prices and selected macroeconomic variables in the Jordan market. The aim of this study is to provide an insight on whether there is a fundamental link between stock market and real economic activity. The monthly data were analyzed by applying the Johansen cointegration method. According to the findings of his study, there is a negative relationship between interest rate changes and stock prices in Jordan.
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ÒªaÄŸli, E., HalaÒ«, U., and TaÅŸkin, D. (2010). Testing long-run relationship between stock
market and macroeconomic variables in the presence of structural breaks: The Turkish case. International Journal of Finance and Economics, 48, 49 - 60.
ÒªaÄŸli et al. (2010) studied for any possible long-run relationship between seven macroeconomic variables (exchange rate, GDP, industrial production, inflation rate, money supply, interest rate, and oil price) and stock market in the presence of structural breaks in Turkey. Monthly data for the period from January 1998 to December 2008 were observed. Unit root tests were conducted o determined the order of integration. Results from the unit root test suggest that exchange rate and interest rate are stationary, and therefore cannot be applied to the series. GH cointegration test indicate that GDP, oil price, and industrial production are significantly cointegrated with stock index level.
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Gjerde, Ø., and Sættem, F. (1999). Causal relations among stock returns and
macroeconomic variables in a small, open economy. Journal of International Financial Markets, Institutions and Money, 9, 61 - 74.
Gjerde and Sættem (1999) focused on the causal relationships between macroeconomic variables (interest rate, inflation, production, and consumption) and stock returns in the small and open Norwegian economy. Their study utilized the multivariate vector autoregressive (VAR) approach on the monthly data. Findings from their study suggest that stock returns response negatively to changes in the real interest rates.
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Nasseh, A., and Strauss, J. (2000). Stock prices and domestic and international
macroeconomic activity: a cointegration approach. The Quarterly Review of Economics and Finance, 40, 229 - 245.
Nasseh and Strauss (2000) conducted their study on six European economies on the relationship between levels of stock prices and domestic and international macroeconomic activity. Johansen cointegration method is adopted to test the possibility of long-run relationship between stock prices and the macroeconomic variables. Quarterly data were obtained from the period of 1962 to 1995. Results from their study indicate that there are long-run relationships between stock prices and interest rates, consumer prices, real domestic macroeconomic innovations and international activity.
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Rahman, A. A., Sidek, N. Z. M., and Tafri, F. H. (2009). Macroeconomic determinants of
Malaysian stock market. African Journal of Business Management, 3(3), 095 - 106.
Rahman et al. (2009) investigates the interactions between stock prices and macroeconomic variables (industrial production, real exchange rate, M2, reserves, and interest rates) for Malaysia. Their findings suggest that positive equilibrium exist between stock prices and levels, reserves, and interest rate. Granger causality test show that KLCI and interest rates are bidirectional, while other variables are unidirectional with KLCI. However, their study concludes that Malaysian stock market has stronger dynamic interaction with reserve and industrial production index, compared to money supply, exchange rate, and interest rate.
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Paul, S. and Mallik, G. (2001). Macroeconomic Factors and the Bank and Finance Stock
Prices: The Australian Experience and Lessons for GCC Countries. Conference Paper. International Conference on Structure, Performance and Future of Financial Institutions in Member States of GCC, Quarter 7-9, April.
Paul and Mallik (2001) in their research, examine the long-run relationship between stock prices and three pre-specified macroeconomic factors in the banking and finance sector in Australia. Cointegration method was used to analyze the quarterly data of the period 1980 to 1999. There was no significant relationship between inflation and stock prices. However, the results indicate that interest rate and GDP respectively negatively and positively affect the banking and finance sector's stock prices.
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Wong, W. K., Khan, H., and Du, J. (2005). Money, interest rate, and stock prices: new
evidence from Singapore and the United States. U21 Global Working Paper. No. 007/2005.
In 2005, Wong et al. investigate the long-run and short-run relationships between the stock indices and selected macroeconomic variables of Singapore and the United States. Cointegration methods are used to analyze the monthly data which were divided into three sub-periods from January 1982 to December 2002. The findings from their research show that there is long-run equilibrium between stock prices with interest rates and money supply (M1). However, similar relationships do not exist in the United States.
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Acikalin, S., Aktas, R., and Unal, S. (2008). Relationships between stock markets and
macroeconomic variables: an empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8 - 16.
Acikalin et al. (2008) investigate whether long-term relationship exists between stock market returns and key macroeconomic indicators (exchange rate, interest rate, GDP, and current account balance) for Turkey. From their studies, long-run cointegration exists between stock price index and the set of macroeconomic variables. The ISE index and macro indicators are unidirectional.
