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Stock market consequences of macro economic fundamentals

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  • Ayub, Mehar

Abstract

It is concluded in the study that the Valuation Ratio will be independent from the Equities if equity-elasticity is equal to one. However, Market Capitalization depends on the investment in equities and the market liquidity. The model has been tested in the context of Pakistan and the Monetary and Fiscal policies have been found as the significant determinants of the Market Capitalization.

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File URL: http://mpra.ub.uni-muenchen.de/442/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 442.

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Date of creation: 2000
Date of revision: 2001
Publication status: Published in Conference Proceedings, Montreal: McGill University, (Canadian Economic Association) 2001.1(2002): pp. 1-17
Handle: RePEc:pra:mprapa:442

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Related research

Keywords: Co-integration; Granger’s Causality; Liquidity-Elasticity; Equity-Elasticity; Market Capitalization; Simulation;

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  1. Fair, Ray C, 1979. "An Analysis of a Macro-Econometric Model with Rational Expectations in the Bond and Stock Markets," American Economic Review, American Economic Association, vol. 69(4), pages 539-52, September.
  2. Demsetz, Harold, 1983. "The Structure of Ownership and the Theory of the Firm," Journal of Law and Economics, University of Chicago Press, vol. 26(2), pages 375-90, June.
  3. Myers, Stewart C., 1984. "Capital structure puzzle," Working papers 1548-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  4. Holmstrom, Bengt & Tirole, Jean, 1993. "Market Liquidity and Performance Monitoring," Journal of Political Economy, University of Chicago Press, vol. 101(4), pages 678-709, August.
  5. Myers, Stewart C, 1984. " The Capital Structure Puzzle," Journal of Finance, American Finance Association, vol. 39(3), pages 575-92, July.
  6. Stewart C. Myers, 1984. "Capital Structure Puzzle," NBER Working Papers 1393, National Bureau of Economic Research, Inc.
  7. Shleifer, Andrei & Vishny, Robert W., 1986. "Large Shareholders and Corporate Control," Scholarly Articles 3606237, Harvard University Department of Economics.
  8. Blanchard, Olivier J, 1981. "Output, the Stock Market, and Interest Rates," American Economic Review, American Economic Association, vol. 71(1), pages 132-43, March.
  9. Adler, Michael & Detemple, Jerome B, 1988. " On the Optimal Hedge of a Nontraded Cash Position," Journal of Finance, American Finance Association, vol. 43(1), pages 143-53, March.
  10. Barry Bosworth, 1975. "The Stock Market and the Economy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 6(2), pages 527-300.
  11. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
  12. de Bandt, Olivier & Jacquinot, Pascal, 1992. "The financing of corporate firms in France : An econometric model," Economic Modelling, Elsevier, vol. 9(3), pages 253-269, July.
  13. Jensen, Michael C. & Meckling, William H., 1976. "Theory of the firm: Managerial behavior, agency costs and ownership structure," Journal of Financial Economics, Elsevier, vol. 3(4), pages 305-360, October.
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