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Macroeconomic indicators and their impact on stock markets in ASIAN 3: A pooled mean group approach

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  • Amith Vikram Megaravalli
  • Gabriele Sampagnaro

Abstract

The objective of this paper is to examine the long-run and the short-run relationship between India, China and Japanese stock markets and key macroeconomic variables such as exchange rates and inflation (proxied by consumer price index) of ASIAN 3 economies (India, China and Japan). Monthly time series data spanning the period from 2008 January to November 2016 has been used. The unit root test, the cointegration test, Granger causality test and pooled mean group estimator have been applied to derive the long-run and short-run statistical dynamics. The findings of pooled estimated results of ASIAN 3 countries show that exchange rate has a positive and significant long-run effect on stock markets while the inflation has a negative and insignificant long-run effect. In the short run, there is no statistically significant relationship between macroeconomic variables and stock markets. This study emphasises on the impact of macroeconomic variables on the stock market performance of a developing economy (India and China) and developed economy (Japan).

Suggested Citation

  • Amith Vikram Megaravalli & Gabriele Sampagnaro, 2018. "Macroeconomic indicators and their impact on stock markets in ASIAN 3: A pooled mean group approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1432450-143, January.
    • Handle: RePEc:taf:oaefxx:v:6:y:2018:i:1:p:1432450
    DOI: 10.1080/23322039.2018.1432450
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    Cited by:

    1. Cordelia Onyinyechi Omodero & Sunday Mlanga, 2019. "Evaluation of the Impact of Macroeconomic Variables on Stock Market Performance in Nigeria," Business and Management Studies, Redfame publishing, vol. 5(2), pages 34-44, June.
    2. Khan, Muhammad Imran & Teng, Jian-Zhou & Khan, Muhammad Kamran & Jadoon, Arshad Ullah & Khan, Muhammad Fayaz, 2021. "The impact of oil prices on stock market development in Pakistan: Evidence with a novel dynamic simulated ARDL approach," Resources Policy, Elsevier, vol. 70(C).
    3. Shweta Ahalawat & Archana Patro, 2019. "Does spot Nifty fluctuate with macroeconomic indicators?," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 9(7), pages 175-187, July.
    4. Jabłoński Bartłomiej & Kika Dorota, 2022. "The Impact of Macroeconomic Indicators on the Share Prices of Dividend Companies – A Comparative Analysis of Polish and US Issuers for the Period 2016–2020," Folia Oeconomica Stetinensia, Sciendo, vol. 22(2), pages 78-96, December.
    5. Gu, Jianqiang & Yue, Xiao-Guang & Nosheen, Safia & Naveed -ul-Haq, & Shi, Lei, 2022. "Does more stringencies in government policies during pandemic impact stock returns? Fresh evidence from GREF countries, a new emerging green bloc," Resources Policy, Elsevier, vol. 76(C).
    6. Nurudeen Abu & Awadh Ahmed Mohammed Gamal & Musa Abdullahi Sakanko & Ana Mateen & David Joseph & Ben-Obi Onyewuchi Amaechi, 2021. "How have COVID-19 Confirmed Cases and Deaths Affected Stock Markets? Evidence from Nigeria," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 15(1), February.
    7. Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).

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