IDEAS home Printed from https://ideas.repec.org/p/ema/worpap/2013-15.html
   My bibliography  Save this paper

Impact of Macroeconomic Factors on Stock Exchange Prices: Evidence from USA Japan and China

Author

Listed:
  • Mondher bellalah
  • Umie Habiba

    () (THEMA, Universite de Cergy-Pontoise)

Abstract

This paper investigates the long run relationship between macroeconomic indicators of terms of trade, oil prices, rate of interest, money supply (M3), index of industrial production and stock exchange prices indices for the USA Japan and China by focusing on the global financial recession. This study examines whether the same model can explain USA, Japanese and Chinese stock markets, while yielding consistent factors loading. Using monthly time series data of the respective variables of the range 2005-1 to 2010-5 Autoregressive Distributive Lag ARDL co-integration approach used for data analysis. Our results vary from one country to another. An explanation of the difference in behavior between the three stock markets may lie as USA economy is most affected by financial crises, 2007 and Japanese economy slump after 1990, china is least affected economy by financial crises, 2007. In the context of recent global financial recession, no study has so far been traced which explains the causal relationship between macroeconomic variables and stock markets of USA, Japan and China. Our results are helpful for investors, national policy makers and corporate managers etc.

Suggested Citation

  • Mondher bellalah & Umie Habiba, 2013. "Impact of Macroeconomic Factors on Stock Exchange Prices: Evidence from USA Japan and China," THEMA Working Papers 2013-15, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  • Handle: RePEc:ema:worpap:2013-15
    as

    Download full text from publisher

    File URL: http://thema.u-cergy.fr/IMG/documents/2013-15.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Xiaoqiang Hu & Thomas Willett, 2000. "The variability of inflation and real stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 655-665.
    2. Arjun Chatrath & Sanjay Ramchander & Frank Song, 1997. "Stock prices, inflation and output: evidence from India," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 439-445.
    3. Tony Caporale & Chulho Jung, 1997. "Inflation and real stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 265-266.
    4. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    5. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
    6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    7. Mookerjee, Rajen & Yu, Qiao, 1997. "Macroeconomic variables and stock prices in a small open economy: The case of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 377-388, July.
    8. Fama, Eugene F, 1982. "Inflation, Output, and Money," The Journal of Business, University of Chicago Press, vol. 55(2), pages 201-231, April.
    9. Lintner, John, 1975. "Inflation and Security Returns," Journal of Finance, American Finance Association, vol. 30(2), pages 259-280, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu
      [Money supply and US stock market causality]
      ," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.

    More about this item

    Keywords

    Macro-economic indicators; co-integration; index of industrial production; money supply.;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ema:worpap:2013-15. 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: (Stefania Marcassa). General contact details of provider: http://edirc.repec.org/data/themafr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.