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Suisse stock return, Macro Factors, and Efficient Market ‎Hypothesis: evidence from ARDL model

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  • NEIFAR, MALIKA

Abstract

This study investigates the short run and the long run equilibrium ‎relationship between Suisse stock market (SSM) prices and a set of ‎macroeconomic variables (inflation, interest rate, and exchange rate) using ‎Monthly data for the period 1999:1 to 2018:4. Different specifications and ‎tests will be carried out, namely unit root tests (ADF and PP), Vector Auto ‎Regression (VAR) to select the optimal lag length and for Granger causality ‎and Toda and Yamamoto (TY) Wald non causality testing, VEC Model and ‎‎(Johansen, 1988)’ test for no cointegration, and ARDL framework and FPSS ‎test of no cointegration hypothesis. ECM representation of the ARDL ‎model confirm temporal causality between (inflation, interest rate, exchange ‎rate) and the stock price. There is dynamic short run adjustment and long ‎run stable equilibrium relationship between macroeconomic variables ‎‎(except exchange rate) and stock prices in the SSM. This imply that the ‎SSM is informationally inefficient because publicly available information on ‎macroeconomic variables (inflation and interest rate) can be potentially used ‎in predicting Suisse stock prices.‎

Suggested Citation

  • Neifar, Malika, 2021. "Suisse stock return, Macro Factors, and Efficient Market ‎Hypothesis: evidence from ARDL model," MPRA Paper 105717, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:105717
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    References listed on IDEAS

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    1. NEIFAR, MALIKA & Dhouib, Salma ‎ & Bouhamed, Jihen ‎ & Ben Abdallah, Fatma ‎ & Arous, Islem ‎ & Ben Braiek, Fatma ‎ & Mrabet, Donia ‎, 2021. "The impact of macroeconomic variables on Stock ‎market in United Kingdom," MPRA Paper 106246, University Library of Munich, Germany.

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    More about this item

    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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