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Determinants of Stock Prices

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  • T. Oyama
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    Abstract

    This paper examines the general relationship between stock prices and macroeconomic variables in Zimbabwe, using the revised dividend discount model, error-correction model, and multi-factor return-generating model. Despite the large fluctuation in stock prices since 1991, this analysis indicates that the Zimbabwe Stock Exchange has been functioning quite consistently during this period. Whereas sharp increases in stock prices during 1993-94 were mainly due to the shift of risk premium that was caused by the partial capital account liberalization, the recent rapid increase in stock prices can be explained by the movements of monetary aggregates and market interest rates.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=2335
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 97/117.

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    Length: 44
    Date of creation: 01 Sep 1997
    Date of revision:
    Handle: RePEc:imf:imfwpa:97/117

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    Cited by:
    1. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.

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