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Impact of Macroeconomic Factors on Stock Exchange Prices: Evidence from USA Japan and China

Author

Listed:
  • Mondher bellalah
  • Umie Habiba

    (THEMA, Universite de Cergy-Pontoise)

Abstract

This paper investigates the long run relationship between macroeconomic indicators of terms of trade, oil prices, rate of interest, money supply (M3), index of industrial production and stock exchange prices indices for the USA Japan and China by focusing on the global financial recession. This study examines whether the same model can explain USA, Japanese and Chinese stock markets, while yielding consistent factors loading. Using monthly time series data of the respective variables of the range 2005-1 to 2010-5 Autoregressive Distributive Lag ARDL co-integration approach used for data analysis. Our results vary from one country to another. An explanation of the difference in behavior between the three stock markets may lie as USA economy is most affected by financial crises, 2007 and Japanese economy slump after 1990, china is least affected economy by financial crises, 2007. In the context of recent global financial recession, no study has so far been traced which explains the causal relationship between macroeconomic variables and stock markets of USA, Japan and China. Our results are helpful for investors, national policy makers and corporate managers etc.

Suggested Citation

  • Mondher bellalah & Umie Habiba, 2013. "Impact of Macroeconomic Factors on Stock Exchange Prices: Evidence from USA Japan and China," THEMA Working Papers 2013-15, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    • Handle: RePEc:ema:worpap:2013-15
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    References listed on IDEAS

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    Cited by:

    1. Altaf Hussain & Musrat Rafique & Ambar Khalil & Maryam Nawaz, 2013. "Macroeconomic Determinants Of Stock Price Variations: An Economic Analysis Of Kse-100 Index," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), vol. 1(1), pages 28-46, June.
    2. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu [Money supply and US stock market causality]," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.

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    More about this item

    Keywords

    Macro-economic indicators; co-integration; index of industrial production; money supply.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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