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)
|Contact details of provider:|| Postal: |
Phone: 004 021 336 2691
Fax: 004 021 3124873
Web page: http://www.revistadestatistica.ro
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Rangan Gupta & Mampho P. Modise, 2011.
"Macroeconomic Variables and South African Stock Return Predictability,"
201107, University of Pretoria, Department of Economics.
- Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012.
"Oil prices, exchange rates and emerging stock markets,"
Elsevier, vol. 34(1), pages 227-240.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:rsr:supplm:v:60:y:2012:i:2:p:197-203. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Adrian Visoiu)
If references are entirely missing, you can add them using this form.