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A Study Of Size Effect And Macroeconomics Factors In New York Stock Exchange Stock Returns

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  • SHUBITA, Moade Fawzi
  • AL-SHARKAS, Adel A.

Abstract

The purpose of this paper is to look at the ‘size-effect’ question using a large sample drawn from New York Stock Exchange prices. The impact of the stock returns' size is also examined and the validity of models explaining the observed negative relations between asset returns and inflation are addressed. The generalized impulse response functions are adopted. Further, The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on NYSE. Results reveal that size had an impact on stock returns. Further, it appears that there is reliable negative relationship between stock prices and inflation. The level of real economic activity affects stock prices positively. Finally, interest rates have a negative relationship with stock prices

Suggested Citation

  • SHUBITA, Moade Fawzi & AL-SHARKAS, Adel A., 2010. "A Study Of Size Effect And Macroeconomics Factors In New York Stock Exchange Stock Returns," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(2).
    • Handle: RePEc:eaa:aeinde:v:10:y:2010:i:2_11
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    Cited by:

    1. Rangan GUPTA & Roula INGLESI-LOTZ, 2012. "Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(2).
    2. METAXAS, Theodore & TROMPATZI, Georgia, 2015. "From The Bank Panic Of 1907 To The Great Depression Of 1929 And The Savings And Loan Crisis Of The 1980s: Comparative Analysis And Lessons For The Future," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 79-96.
    3. Yutaka Kurihara & Akio Fukushima & Shinichiro Maeda, 2020. "Can Bitcoin’S Price Be A Predictor Of Stock Prices?," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 5(4), pages 50-55, April.

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    More about this item

    Keywords

    Inflation; Growth Rate; Stock Returns; Positive Accounting; Market Capitalization and Portfolio Size.;
    All these keywords.

    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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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