IDEAS home Printed from https://ideas.repec.org/a/hin/complx/5534856.html
   My bibliography  Save this article

Market Premium and Macroeconomic Factors as Determinants of Industry Premium: Evidence from Emerging Economies

Author

Listed:
  • Muhammad Imran
  • Mengyun Wu
  • Linrong Zhang
  • Yun Zhao
  • Noor Jehan
  • Hee Cheol Moon
  • Baogui Xin

Abstract

In this study, we examine the equity (industry) premium of seventeen nonfinancial sectors covering sample 306 firms using monthly data from January 2002 to December 2018. Two-stage least square (2SLS) method is applied to estimate the macro-based multifactor model. It is found that the market premium and the interest rate factors are significantly affecting the industry equity premium of all the nonfinancial sectors. However, there exists a positive effect of other macroeconomic variables such as money supply, foreign direct investment, and industrial production which is different for the different sectors based on its nature of product and services they offered. The industries based on their product development which are linked to particular macroeconomic variables have more effect than others such as increase in money supply which cannot increase the sale of pharmaceutical products until needed. Similarly, an interesting insight reveals that industries producing seasonal goods, e.g., food producing, are not very much affected by macroeconomic variables but the change in seasons and similar results also revealed for tobacco industry.

Suggested Citation

  • Muhammad Imran & Mengyun Wu & Linrong Zhang & Yun Zhao & Noor Jehan & Hee Cheol Moon & Baogui Xin, 2021. "Market Premium and Macroeconomic Factors as Determinants of Industry Premium: Evidence from Emerging Economies," Complexity, Hindawi, vol. 2021, pages 1-11, April.
    • Handle: RePEc:hin:complx:5534856
    DOI: 10.1155/2021/5534856
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/complexity/2021/5534856.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/complexity/2021/5534856.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2021/5534856?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:complx:5534856. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.