A Study Of Size Effect And Macroeconomics Factors In New York Stock Exchange Stock Returns
The purpose of this paper is to look at the ‘size-effect’ question using a large sample drawn from New York Stock Exchange prices. The impact of the stock returns' size is also examined and the validity of models explaining the observed negative relations between asset returns and inflation are addressed. The generalized impulse response functions are adopted. Further, The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on NYSE. Results reveal that size had an impact on stock returns. Further, it appears that there is reliable negative relationship between stock prices and inflation. The level of real economic activity affects stock prices positively. Finally, interest rates have a negative relationship with stock prices
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Volume (Year): 10 (2010)
Issue (Month): 2 ()
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