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Economic forces and stock exchange prices: pre and post impacts of global financial recession of 2008

Author

Listed:
  • Bellalah, Mondher
  • Masood, Omar
  • Thapa, Priya Darshini Pun
  • Levyne, Olivier
  • Triki, Rabeb

Abstract

This study examine the long run as well as short run relationship between China’s macroeconomic factors such as industrial production index, imports, exports, inflation rate and interest rate and Shanghai Composite Index and to explore which macroeconomic variables have significant influence on stock exchange prices. To examine the relationships between China’s macroeconomic factors and Shanghai Composite Index, Auto-regressive Distributed Lag (ARDL) approach to co-integration has been employed. In the long run, industrial production index and imports have significant impact on stock exchange prices. For the short run; past stock prices, industrial production index, previous inflation rate and interest rate are important determinants for stock exchange prices.

Suggested Citation

  • Bellalah, Mondher & Masood, Omar & Thapa, Priya Darshini Pun & Levyne, Olivier & Triki, Rabeb, 2012. "Economic forces and stock exchange prices: pre and post impacts of global financial recession of 2008," MPRA Paper 50942, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:50942
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    File URL: https://mpra.ub.uni-muenchen.de/50942/1/MPRA_paper_50942.pdf
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    References listed on IDEAS

    as
    1. Issam Abdalla & Victor Murinde, 1997. "Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 25-35.
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    3. Guglielmo Maria Caporale & Nicola Spagnolo, 2004. "Modelling East Asian exchange rates: a Markov-switching approach," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 233-242.
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    5. Tony Caporale & Chulho Jung, 1997. "Inflation and real stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 265-266.
    6. Robert Faff & Howard Chan, 1998. "A multifactor model of gold industry stock returns: evidence from the Australian equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 21-28.
    7. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
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    9. 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.
    10. Naeem Muhammad & Abdul Rasheed, 2002. "Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(4), pages 535-550.
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    More about this item

    Keywords

    financial recession; stock exchange prices; co-integration; unit root; Auto-regressive Distributed Lag model;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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