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Macroeconomic Factors and Share Returns: An Analysis Using Emerging Market Data

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  • Fifield, S G M
  • Power, D M
  • Sinclair, C D
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    Abstract

    This paper investigates the extent to which global and local economic factors explain returns in emerging stock markets (ESMs). The economic factors are determined using principal components analysis. The results suggest that the local economic variables included in this study can be summarized by GDP, inflation, money and interest rates, while the selected global variables can be sufficiently characterized by world industrial production and world inflation. These components are then used as inputs into a regression analysis in order to explain the index returns of 13 ESMs over the period 1987-96. The analysis indicates that while world factors are significant in explaining ESM returns, local factors may also play a crucial role. Copyright @ 2002 by John Wiley & Sons, Ltd. All rights reserved.

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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

    Volume (Year): 7 (2002)
    Issue (Month): 1 (January)
    Pages: 51-62

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    Handle: RePEc:ijf:ijfiec:v:7:y:2002:i:1:p:51-62

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    Cited by:
    1. Asmy, Mohamed & Rohilina, Wisam & Hassama, Aris & Fouad, Md., 2009. "Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model," MPRA Paper 20970, University Library of Munich, Germany.
    2. Elizabeth Ann Maharaj & Pierpaolo D’Urso & Don Galagedera, 2010. "Wavelet-based Fuzzy Clustering of Time Series," Journal of Classification, Springer, vol. 27(2), pages 231-275, September.
    3. Lina Escobar Rangel & François Lévêque, 2012. "Revisiting the cost escalation curse of nuclear power: New lessons from the French experience," Working Papers hal-00780566, HAL.
    4. Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
    5. Liow, Kim Hiang & Webb, James R., 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, Elsevier, vol. 18(2), pages 80-89, April.
    6. Pyemo Afego, 2012. "Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 340-347.
    7. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
    8. Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.
    9. Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 275-294, March.
    10. Mónica Fuentes & Sergio Godoy, 2005. "Sovereign Spread in Emerging Markets: A Principal Component Analysis," Working Papers Central Bank of Chile 333, Central Bank of Chile.

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