Macroeconomic Variables and Stock Market Evolution
Journal Title: Revista Romana de Statistica - Year 2012, Vol 60, Issue 2
Abstract
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.
Authors and Affiliations
Lóránd István KRÁLIK
Keywords
Related Articles
- EP ID EP135406
- DOI -
- Views 144
- Downloads 0
Model of Matrix-based Regression used in Economic Analyses
The emergence of new patterns of conflict with globalization has led to the re-configuration of the security agreement and the emergence of a "new security paradigm" in recent years. Securing could still lead to neglect...
The European Union Budget – evolution, perspectives
By means of the European Union Budget, the activities that take place between the member states are coordinated every year, the trends of the community politics and their priorities. The annual budgets are parts of the...
INVESTIGATING MACROECONOMIC STABILITY USING THE OUTPUT GAP
The purpose of the article is to illustrate the importance of the output gap in analysing macroeconomic stability in general and business cycle dynamics in particular. Ten EU countries are considered, with five old member...
Fundamental Principles and Conduct Rules in Audit
This paper presents the main principles applicable in audit activity. Those people involve in audit activities are obliged to respect these principles, therefore engaging themselves in the achievement of ethical and legi...
The Economic Dimension Of Environmental Risk Management in Knowledge-Based Society
Environmental risk for the majority of companies is the deterioration of bottom-line performance from: increased regulation on energy usage, eroded reputation, brand name and market share from an environmental incident,...