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Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR

Author

Listed:
  • Babita Panda

    (Pillai HOC College of Arts, Science and Commerce)

  • Ajaya Kumar Panda

    (National Institute of Industrial Engineering (NITIE))

  • Pradiptarathi Panda

    (National Institute of Securities Markets (NISM))

Abstract

This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select macroeconomic variables collected from February 1997 to December 2019. In addition to the traditional macroeconomic variables, the study used the new age macroeconomic variables like- economic policy uncertainty index, Crude oil volatility index, Global financial stress index, and SENTIX global index. Using Panel VAR and Granger causality, the study finds that market returns positively influence exchange rates. In contrast, the market tends to react negatively to changes in consumer price inflation and foreign portfolio investment. However, the equity market is susceptible to the economic growth (IIP) of BRICS economies. These macroeconomic indicators exhibit significant influence on the stock markets.

Suggested Citation

  • Babita Panda & Ajaya Kumar Panda & Pradiptarathi Panda, 2023. "Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 259-272, March.
    • Handle: RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-023-09399-7
    DOI: 10.1007/s10690-023-09399-7
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    References listed on IDEAS

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    Cited by:

    1. Simran, & Sharma, Anil Kumar, 2024. "Asymmetric nexus between economic policy uncertainty and the Indian stock market: Evidence using NARDL approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 91-101.
    2. Li, Rong & Tang, Guangyuan & Hong, Chen & Li, Sufang & Li, Bingting & Xiang, Shujian, 2024. "A study on economic policy uncertainty, geopolitical risk and stock market spillovers in BRICS countries," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).

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    More about this item

    Keywords

    Macroeconomic variables; BRICS stock market; Panel VAR;
    All these keywords.

    JEL classification:

    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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