Related papers: Macroeconomic factors and Stock exchange return: A…
The objective of this paper is to find the existence of a relationship between stock market prices and the fundamental macroeconomic indicators. We build a Vector Auto Regression (VAR) model comprising of nine major macroeconomic indicators…
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to…
Stock market investment have been an ideal form of investment for many years. Investing capitals smartly in stock market yields high profit returns. But there are many companies available in a market. Currently there are more than $345$…
We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpose we use a cointegration analysis with one structural break…
The study investigates the effects of crude oil prices on inflation and interest rate in Ghana using data obtained from Bank of Ghana data repository. The Augmented Dickey-Fuller and the Phillips-Perron tests were used to test the presence…
Share market is one of the most important sectors of economic development of a country. Everyday almost all companies issue their shares and investors buy and sell shares of these companies. Generally investors want to buy shares of the…
Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that takes into account price returns, logarithmic variation of…
Through this paper, an attempt has been made to quantify the underlying relationships between the leading macroeconomic indicators. More clearly, an effort has been made in this paper to assess the cointegrating relationships and examine…
Financial inclusion is touted one of the principal drivers for economic growth for an economy. The study aims to explore the impact of financial inclusion on economic growth in Bangladesh. In my study, I used the number of loan accounts as…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
The paper intends to perform a relevant study on the closed-end fund puzzle in the perspective of an emerging market. Quarterly data of 36 closed-end mutual funds traded in Dhaka Stock Exchange are collected over the sample period of 2016…
This study analyzes the impacts of exchange rate and inflation on exports in Turkiye. Annual data for the period 1995-2023 were used in the analysis. The Johansen cointegration analysis and Dynamic Least Squares (DOLS) method were employed…
This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as their coordinates on economic space. Aggregates of economic…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…
This paper examines the influence of low-frequency macroeconomic variables on the high-frequency returns of copper futures and the long-term correlation with the S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
Purpose With an emphasis on elements like financial knowledge, financial attitude, social influence, financial self-efficacy, and financial management practices, this study explores the factors that influence employees' saving behavior in…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
The intricate dynamics of stock markets have led to extensive research on models that are able to effectively explain their inherent complexities. This study leverages the econometrics literature to explore the dynamic factor model as an…
The study investigates the relationship between bank profitability and a comprehensive list of bank specific, industry specific and macroeconomic variables using unique panel data from 23 Bangladeshi banks with large market shares from 2005…