Macroeconomic Variables and Stock Market Evolution
This study investigates the relationship between local and global macroeconomic factors and stock market indices in Romania using the framework of the macroeconomic APT model. Many researchers have demonstrated that macroeconomic conditions affect risk factors and influence asset returns. However, it is well-known that emerging markets` asset returns are characterized by higher volatility than on developed markets. Using the stepwise analysis method we found some evidence of the effects of exchange rates, interest rates (global), gold price, global stock indices and oil prices on stock returns of the Bucharest Stock Exchange (BSE). We also investigate the effects of macroeconomic factors on the investment firm`s indices, BET-FI. The results of a Vector Autoregressive model (VAR) and Vector Error Correction Model (VECM) indicate the short and long run linkages between macroeconomic variables and BSE indices.
Volume (Year): 60 (2012)
Issue (Month): 2 (May)
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- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012.
"Oil prices, exchange rates and emerging stock markets,"
Elsevier, vol. 34(1), pages 227-240.
- Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2010. "Oil Prices, Exchange Rates and Emerging Stock Markets," Working Papers 1014, University of Otago, Department of Economics, revised Sep 2010.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
- Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
- Rangan Gupta & Mampho P. Modise, 2011. "Macroeconomic Variables and South African Stock Return Predictability," Working Papers 201107, University of Pretoria, Department of Economics.
- Birz, Gene & Lott Jr., John R., 2011. "The effect of macroeconomic news on stock returns: New evidence from newspaper coverage," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2791-2800, November. Full references (including those not matched with items on IDEAS)
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