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Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan

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Cited by:

  1. Ali Al-Ameer & Khaled Alshehri, 2021. "Conditional Value-at-Risk for Quantitative Trading: A Direct Reinforcement Learning Approach," Papers 2109.14438, arXiv.org.
  2. Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014. "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Macroeconomics Working Papers 24516, East Asian Bureau of Economic Research.
  3. Veronika Kajurová & Petr Rozmahel, 2016. "Stock Market Development and Economic Growth: Evidence from the European Union," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 1927-1936.
  4. Ahmad Hamidi, Hakimah Nur & Khalid, Norlin & Abdul Karim, Zulkefly, 2018. "Revisiting Relationship Between Malaysian Stock Market Index and Selected Macroeconomic Variables Using Asymmetric Cointegration," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(1), pages 311-319.
  5. Camilleri, Silvio John & Scicluna, Nicolanne & Bai, Ye, 2019. "Do stock markets lead or lag macroeconomic variables? Evidence from select European countries," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 170-186.
  6. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  7. Terence Tai-Leung Chong & Shiyu Lin, 2017. "Predictive models for disaggregate stock market volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 261-288, August.
  8. Halil Altintas & Kassouri Yacouba, 2018. "Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks in Turkey: New Evidence from a Nonlinear ARDL Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 45-53.
  9. Peiró, Amado, 2016. "Stock prices and macroeconomic factors: Some European evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 287-294.
  10. Veronika Kajurová, 2017. "A Note on Relationship between Economic Activity and Stock Market Development: a Case of Euro Area Countries," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(6), pages 1953-1965.
  11. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.
  12. Yüksel İLTAŞ & Gülbahar ÜÇLER, 2019. "The Influence of Institutional Quality and Financial Risk on Stock Market Index: An Empirical Study for TurkeyAbstract: This paper aims to analyze the -possible- effects of institutional quality and (," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(41).
  13. Yu Hsing, 2011. "Macroeconomic Variables and the Stock Market: the Case of Lithuania," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 031-037, June.
  14. NEIFAR, MALIKA & HarzAllah, AMIRA, 2024. "Effet du ROP, RIP, et R sur RSP: Symétrie ou Asymétrie? Cas des pays exportateurs et importateurs de pétrole [ROP, RIP, and R effects on RSP, symmetric or asymmetric? case of oil exporter and impor," MPRA Paper 120938, University Library of Munich, Germany.
  15. Celebi, Kaan & Hönig, Michaela, 2018. "Dynamic macroeconomic effects on the German stock market before and after the financial crisis," Working Paper Series 13, Frankfurt University of Applied Sciences, Faculty of Business and Law.
  16. Sakariyahu, Rilwan & Johan, Sofia & Lawal, Rodiat & Paterson, Audrey & Chatzivgeri, Eleni, 2023. "Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  17. Adeel Riaz & Ouyang Hongbing & Shujahat Haider Hashmi & Muhammad Asif Khan, 2018. "The Impact of Economic Policy Uncertainty on US Transportation Sector Stock Returns," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 8(4), pages 163-170, October.
  18. Lennart Oelschlager & Timo Adam, 2020. "Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models," Papers 2007.14874, arXiv.org.
  19. Kaan Celebi & Michaela Hönig, 2019. "The Impact of Macroeconomic Factors on the German Stock Market: Evidence for the Crisis, Pre- and Post-Crisis Periods," IJFS, MDPI, vol. 7(2), pages 1-13, March.
  20. Shawtari, Fekri Ali & Masih, Mansur, 2017. "Granger-causal relationship between macroeconomic variables and stock prices: evidence from South Africa," MPRA Paper 99848, University Library of Munich, Germany.
  21. Kvainickas Tomas Sovijus & Stankevičienė Jelena, 2019. "Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables," Economics and Culture, Sciendo, vol. 16(2), pages 5-20, December.
  22. Pär Österholm, 2016. "The Long-run Relationship Between Stock Prices and GDP in Sweden," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 45(2), pages 283-297, July.
  23. Rilwan Sakariyahu & Audrey Paterson & Eleni Chatzivgeri & Rodiat Lawal, 2024. "Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 135-169, January.
  24. Husam RJOUB & Irfan CIVCIR & Nil Gunsel RESATOGLU, 2017. "Micro and Macroeconomic Determinants of Stock Prices: The Case of Turkish Banking Sector," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 150-166, March.
  25. Bouzgarrou, Houssam & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2023. "What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 64(C).
  26. Donggyu Lee & Jungho Baek, 2018. "Stock Prices of Renewable Energy Firms: Are There Asymmetric Responses to Oil Price Changes?," Economies, MDPI, vol. 6(4), pages 1-8, November.
  27. Nguyet Nguyen & Dung Nguyen, 2020. "Global Stock Selection with Hidden Markov Model," Risks, MDPI, vol. 9(1), pages 1-18, December.
  28. Shweta Ahalawat & Archana Patro, 2019. "Does spot Nifty fluctuate with macroeconomic indicators?," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 9(7), pages 175-187, July.
  29. Tomić, Bojan & Sesar, Andrijana, 2015. "Interdependence of Industrial Production Index and capital market in Croatia: VAR model," MPRA Paper 66816, University Library of Munich, Germany.
  30. Bhuiyan, Erfan M. & Chowdhury, Murshed, 2020. "Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 62-74.
  31. NEIFAR, MALIKA & HarzAllah, AMIRA, 2020. "Can Canadian Stock market provide complete hedge against Inflation ?," MPRA Paper 99093, University Library of Munich, Germany.
  32. Rajabrata Banerjee & Tony Cavoli & Ron McIver & Shannon Meng & John K. Wilson, 2023. "Predicting long‐run risk factors of stock returns: Evidence from Australia," Australian Economic Papers, Wiley Blackwell, vol. 62(3), pages 377-395, September.
  33. I. E. Okorie & A. C. Akpanta & J. Ohakwe & D. C. Chikezie & C. U. Onyemachi & M. C. Ugwu, 2021. "Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis," Annals of Data Science, Springer, vol. 8(2), pages 295-329, June.
  34. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries," MPRA Paper 43306, University Library of Munich, Germany.
  35. Wang, Lu & Wu, Jiangbin & Cao, Yang & Hong, Yanran, 2022. "Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?," Energy Economics, Elsevier, vol. 111(C).
  36. repec:cpn:umkeip:2012:v3:p:153-167 is not listed on IDEAS
  37. Lu Wang & Feng Ma & Guoshan Liu, 2020. "Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 797-810, August.
  38. Shabir Mohsin Hashmi & Bisharat Hussain Chang, 2023. "Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1006-1024, January.
  39. Hassanzadeh , Ali & Kianvand , Mehran, 2012. "The Impact of Macroeconomic Variables on Stock Prices:The Case of Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 6(2), pages 171-190, December.
  40. Francisco JAREÑO & Ana ESCRIBANO & Alberto CUENCA, 2019. "Macroeconomic Variables And Stock Markets: An International Study," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 19(1), pages 43-54.
  41. Mirza Muhammad Naseer & Muhammad Asif Khan & József Popp & Judit Oláh, 2021. "Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector," JRFM, MDPI, vol. 14(5), pages 1-18, April.
  42. Mihovil An?elinovi? & Livija Valenti? & Ana Pavkovi?, 2020. "Equity Fund Performance and Sector Diversification," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 9(1), pages 25-43, June.
  43. Matthew Serfling & Dragan Miljkovic, 2011. "Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1117-1134.
  44. Joseph Ato Forson & Jakkaphong Janrattanagul, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 8(2), June.
  45. Kishor K. Guru-Gharana & Matiur Rahman & Anisul M. Islam, 2021. "Japan s Stock Market Performance: Evidence from Toda-Yamamoto and Dolado-Lutkepohl Tests for Multivariate Granger Causality," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 107-122.
  46. Yu Hsing, 2011. "The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications," International Journal of Economics and Financial Issues, Econjournals, vol. 1(1), pages 12-18.
  47. Ansgar Belke & Marcel Wiedmann, 2013. "Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models," Ruhr Economic Papers 0435, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  48. Prem Vaswani & Padmaja M, 2023. "Asymmetric relationship between macroeconomic uncertainty and stock market performance: a study of the Indian stock market," Economics Bulletin, AccessEcon, vol. 43(4), pages 1887-1895.
  49. repec:zbw:rwirep:0435 is not listed on IDEAS
  50. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
  51. Ansgar Belke & Marcel Wiedmann, 2018. "Dissecting long-run and short-run causalities between monetary policy and stock prices," International Economics and Economic Policy, Springer, vol. 15(4), pages 761-786, October.
  52. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
  53. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
  54. Fehmi Özsoy & Nükhet Doðan, 2022. "Deterministic Effects of Volatility on Mixed Frequency GARCH in Means MIDAS Model: Evidence from Turkey," International Econometric Review (IER), Econometric Research Association, vol. 14(1), pages 1-20, March.
  55. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
  56. Ahmed, Walid M.A., 2020. "Stock market reactions to domestic sentiment: Panel CS-ARDL evidence," Research in International Business and Finance, Elsevier, vol. 54(C).
  57. Emre Cevik & Buket Kirci Altinkeski & Emrah Ismail Cevik & Sel Dibooglu, 2022. "Investor sentiments and stock markets during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-34, December.
  58. Hartwell, Christopher A., 2022. "Populism and financial markets," Finance Research Letters, Elsevier, vol. 46(PB).
  59. Shahid Raza & Sun Baiqing & Pwint Kay-Khine & Muhammad Ali Kemal, 2023. "Uncovering the Effect of News Signals on Daily Stock Market Performance: An Econometric Analysis," IJFS, MDPI, vol. 11(3), pages 1-25, August.
  60. Tolga Aydin & Hakan Oner, 2020. "Comparative Analysis for the Relationship between Stock Performance and Macroeconomic Indicators: The Case of Turkey," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(3), pages 146-154, September.
  61. Isma Zaighum, 2014. "Impact of Macroeconomic Factors on Non-financial firms Stock Returns: Evidence from Sectorial Study of KSE-100 Index," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 35-48, March.
  62. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
  63. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.
  64. Shang, Jin & Hamori, Shigeyuki, 2024. "Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU," Energy Economics, Elsevier, vol. 132(C).
  65. Rangga Handika & Sania Ashraf, 2018. "Financialized Commodities and Stock Indices Volatilities," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 153-164.
  66. Andreas Humpe & David McMillan, 2020. "The Covid-19 stock market puzzle and money supply in the US," Economics Bulletin, AccessEcon, vol. 40(4), pages 3104-3110.
  67. Pramesti Getut, 2023. "Parameter least-squares estimation for time-inhomogeneous Ornstein–Uhlenbeck process," Monte Carlo Methods and Applications, De Gruyter, vol. 29(1), pages 1-32, March.
  68. Aref Emamian, 2021. "Monetary-Fiscal policies and stock market performance: Evidence from linear ARDL framework," GATR Journals jber201, Global Academy of Training and Research (GATR) Enterprise.
  69. Alexius, Annika & Spång, Daniel, 2015. "Stocks and GDP in the long run," Research Papers in Economics 2015:5, Stockholm University, Department of Economics.
  70. Ruqayya Aljifri, 2020. "The Macroeconomy, Oil and the Stock Market: A Multiple Equation Time Series Analysis of Saudi Arabia," Economics Discussion Papers em-dp2020-27, Department of Economics, University of Reading.
  71. Riza Erdugan & Nada Kulendran & Riccardo Natoli, 2019. "Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(4), pages 417-445, December.
  72. Onneetse L Sikalao-Lekobane, 2014. "Do Macroeconomic Variables Influence Domestic Stock Market Price Behaviour in Emerging Markets? A Johansen Cointegration Approach to the Botswana Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 6(5), pages 363-372.
  73. Yu Hsing & Wen-jen Hsieh, 2011. "Impacts of macroeconomic variables on the stock market index in Poland: new evidence," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(2), pages 334-343, May.
  74. David Cronin, 2021. "How Do Broad Money and the Stock Market Interact in Times of Crisis and of Calm?," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 22(3), pages 7-28, July.
  75. Caner Demir, 2019. "Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-100," Economies, MDPI, vol. 7(1), pages 1-14, February.
  76. Rilwan Sakariyahu & Mohamed Sherif & Audrey Paterson & Eleni Chatzivgeri, 2021. "Sentiment‐Apt investors and UK sector returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3321-3351, July.
  77. Bellalah, Mondher & Masood, Omar & Thapa, Priya Darshini Pun & Levyne, Olivier & Triki, Rabeb, 2012. "Economic forces and stock exchange prices: pre and post impacts of global financial recession of 2008," MPRA Paper 50942, University Library of Munich, Germany.
  78. Fromentin, Vincent, 2022. "Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?," Finance Research Letters, Elsevier, vol. 49(C).
  79. Abbas Ghulam & Bhowmik Roni & Koju Laxmi & Wang Shouyang, 2017. "Cointegration and Causality Relationship Between Stock Market, Money Market and Foreign Exchange Market in Pakistan," Journal of Systems Science and Information, De Gruyter, vol. 5(1), pages 1-20, February.
  80. Shah Saeed Hassan Chowdhury & Hassan Ahmed, 2023. "The Effects of Economic Policy Uncertainty on the Indian Stock Market," International Business Research, Canadian Center of Science and Education, vol. 16(1), pages 1-54, January.
  81. Syed Jawad Hussain Shahzad & Dene Hurley & Román Ferrer, 2021. "U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3569-3587, July.
  82. Kenneth R. Szulczyk & Changyong Zhang, 2020. "Switching-regime regression for modeling and predicting a stock market return," Empirical Economics, Springer, vol. 59(5), pages 2385-2403, November.
  83. Abdić Adem & Abdić Ademir & Lazović-Pita Lejla & Kanlić Fahir, 2024. "Is There a Relationship between Macroeconomic Variables and Stock Market Indices in Bosnia and Herzegovina?," Naše gospodarstvo/Our economy, Sciendo, vol. 70(3), pages 48-70.
  84. Yu Hsing, 2013. "Effects of Fiscal Policy and Monetary Policy on the Stock Market in Poland," Economies, MDPI, vol. 1(3), pages 1-7, October.
  85. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
  86. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  87. Ogbulu & Onyemachi Maxwell & Ajibola & Nwakanma, 2014. "Equity Risk Premium, Macro-Economic Variables and Co-Integration: Evidence from Nigeria," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 2(2), pages 83-95.
  88. Rudra P. PRADHAN & Mak B. ARVIN & Bele SAMADHAN & Shilpa TANEJA, 2013. "The Impact of Stock Market Development on Inflation and Economic Growth of 16 Asian Countries: A Panel VAR Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(1), pages 203-218.
  89. Belke, Ansgar & Wiedmann, Marcel, 2013. "Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models," Ruhr Economic Papers 435, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  90. Huthaifa Alqaralleh & Ahmad Al-Majali & Abeer Alsarayrh, 2021. "Analyzing the Dynamics Between Macroeconomic Variables and the Stock Indexes of Emerging Markets, Using Non-linear Methods," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 193-204, May.
  91. Annika Alexius & Daniel Spang, 2018. "Stock prices and GDP in the long run," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(4), pages 1-7.
  92. Lauren LoRe & Mahfuz Raihan, 2016. "Corporate Payouts, Macroeconomic Influences and Industry Effects," Applied Finance and Accounting, Redfame publishing, vol. 2(2), pages 100-112, August.
  93. Piotr Fiszeder & Sebastian Rowinski, 2012. "Modeling relations between selected macroeconomic processes and the Warsaw Stock Exchange index," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 10(3), pages 153-167, September.
  94. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
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