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Regression Results (Log-Log Model) Log Aspi t = α + β 1 Log Gdp+ β 2 Log Wpi+ β 3 LogEr+ β 4 Log Bp+ β 5 Log Ir+ ei
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Investigations of relationship between macroeconomic factors and performance of stock markets at many emerging economies including that of Sri Lanka are relatively limited on one hand and required to be repeated as the underlying economic settings of such economies have rapidly changed over the years. Post war economic context and subsequent macroe...
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... log-log model was found to be relatively sound in consideration of model selection statistics of Adjusted ( 2 R ), the estimated F statistics (F), Durbin-Watson statistic (DW) and Variance inflating factor (VIF).Regression results of Log-Log model are presented in Table 02. * Significant at the alpha value of 10% ** Significant at the alpha value of 5% ***Significant at the alpha value of 1% Where, GDP = gross domestic product, IR= interest rate, WPI =wholesale price index which proxies inflation, ER= exchange rate, BP=balance of payment. ...Similar publications
CHINDICES’ environmental performance rating was used to proxy for the environmental performance of the sample companies in Chinese stock market. Portfolios analysis method and Ordinary Least Square(OLS)method was used to examine the relationship between the environmental performance and stock liquidity. Results based on the investigations indicated...
Citations
... However, inflation has no significant effect on the composite stock price index. Nijam et al. (2015) analyzed the effect on the stock market movement of five selected macro-economic variables, including the exchange rate, inflation rate, interest rate, crude oil price, and foreign portfolio investment. The findings showed that foreign exchange rate, interest rate, inflation rate, crude oil, and foreign portfolio investment are all significant in determining the performance of equity market capitalization. ...
The study examines the determinants of stock price volatility in Nepalese enterprises. Coefficient of variation of market price per share and market capitalization are selected as dependent variables. The selected independent variables are interest rate, inflation rate, gross domestic product, money supply, financial leverage, company size and earnings per share. The study is based on secondary data of 5 commercial banks, development bank and manufacturing companies with 120 observations for the study period from 2015/16 to 2022/23. The data were collected from the annual reports of the respective companies, annual report of Nepal Rastra Bank (NRB) and the website of Merolagani. The correlation coefficients and regression models are estimated to test the significance and importance of firm specific and macroeconomic factors on the stock price volatility in Nepalese enterprises. The study showed that interest rate has a negative effect on coefficient of variation of market price per share (CVMPS) and market capitalization (MCAP). It means that increase in interest rate leads to decrease in CVMPS and MCAP. Similarly, earnings per share have a negative effect on CVMPS and MCAP. It indicates that increase in earnings per share leads to decrease in CVMPS and MCAP. However, money supply has a positive impact on CVMPS and MCAP. Moreover, leverage has a negative effect on CVMPS and MCAP. It indicates that increase in leverage leads to decrease in CVMPS and MCAP. However, money supply has a positive impact on CVMPS and MCAP. It means that higher the money supply, higher would be the CVMPS and MCAP. In contrast, gross domestic product has a negative impact on CVMPS. It shows that larger the gross domestic product, lower would be the CVMPS. Moreover, company size has a positive impact on MCAP. It means that larger the company size, higher would be the MCAP. Likewise, gross domestic product has a positive impact on MCAP. It indicates that larger the gross domestic product, larger would be the MCAP. In contrast, inflation rate has a negative impact on CVMPS. It shows that increase in inflation rate leads to decrease in CVMPS.
... These results imply that a rise in interest rates makes borrowing more expensive for cement sector firms, which lowers their profit margins and, eventually, their performance. Nijam et al., (2015) and Mwenda et al., (2023) also found similar results. Similarly, the outcomes also advocate that the inflation rate is adversely related with the ROA, ROE and ROI. ...
This study examines the macroeconomic factors of the financial performance of cement sector firms in Pakistan. For this purpose, the data from 2011 to 2020 of cement sector firms listed on PSX is used in a study. The financial performance of cement sector firms is measured using ROA, ROI and ROE. For data analysis, panel unit root test, correlation matrix and pooled ordinary least square method are applied. The outcomes also point out that interest rate is negatively and significantly related to the ROE. Similarly, inflation rate is negatively associated with the ROA and ROE. Similarly, exchange rate is negatively and significantly related to the ROA and ROI. Lastly, GDP growth rate is positively and significantly associated to the ROA, ROE and ROI. Based on the results, it is inferred that macroeconomic factors are crucial to influence the financial performance of the cement sector in Pakistan. Therefore, these firms should take into consideration the macroeconomic factors to improve their financial performance.
... It collects deposits from a variety of individual individuals and allocates the money to useful and lucrative investment opportunities. The stock market provides national and international, individual and institutional investors with multiple investment alternatives in order to maximise their return and wealth (Nijam et al., 2015). On the one hand, the stock market mobilises money for the business sector. ...
The movement of the index of stocks is very illuminating to changes in the underlying economic structure as well as changes in predictions for the future. It is assumed that domestic economic fundamentals control the stock market’s performance. However, domestic economic factors are also subject to change in the globally connected economy because of the policies implement or to be implementing by other nations, as well as some external occurrences. The present study attempts to find out the instability caused by the chosen macroeconomic indicators of the Indian share market between the years of the research from1 April 1991 till 30 July 2023 using ARCH family model.
... From the perspective of Bangladesh, although there are several studies on micro and macro-level indicators of the privately owned insurance companies' performance (Datta, 2018;Khan et al., 2016;Alam et al., 2019;Nijam et al., 2020), there is a scarcity of studies conducted on the macroeconomic variable's impacts on the state-owned insurance companies' performance in the country. Thus, this study is an attempt to shed light on the macroeconomic variable's impact on the performances of the state-owned insurance companies of Bangladesh. ...
The aim of this study is to investigate the impact of some selected macroeconomic variables on the performance of state-owned insurance companies operating in Bangladesh. The state-owned companies are observed from the year of 2013 to 2022. In this study, we have used five performance measures such as Net Profit Margin, Solvency Ratio, Claim/ Loss Ratio, Underwriting/Gross Profit Ratio and Dividend pay-out Ratio as dependent variables. The explanatory variables used in this study are categorized as macroeconomic factors such as GDP growth rate, inflation rate, employment rate and interest rate. Firm-specific factors such as the age of the firms, firm size (measured as total asset), net premium are used as control variables. The research employs Pooled Ordinary Least Square (POLS) Regression to investigate the impact of macroeconomic variables on the performance of the state-owned insurance companies. The results of our study suggest that interest rate has significant impact on the performance of state-owned insurance companies. Also, the size of the company has statistically significant impact on the performance of the companies. So, the interest rate along with firm size have been considered as important determinants of the performance of the state-owned insurance companies in Bangladeshi. The findings of the study are expected to be useful for the investors in making decisions while selecting stocks of insurance companies and policymakers can also use the findings to formulate policies aiming at economic development of the country.
... In addition, an increase in the interest rate raises the cost of borrowing for businesses, which reduces their profit margins and, ultimately, their performance. These results are consistent with those of other researchers (Alibabaee & Khanmohammadi, 2016;Ismail et al., 2015). On the other hand, the results contradict the findings of Ismail et al. (2018) and Gatsi et al. (2013), who demonstrated that interest rate had a considerable beneficial effect on business performance. ...
... These results parallel those of Rehman (2016), Gatsimbazi et al. (2018), andZeitun et al (2007). In contrast, Alibabaee & Khanmohammadi (2016) and Ismail et al. (2015) discovered a favorable association between exchange rate and company performance. ...
Purpose: This article analysed the effect of macroeconomic variables on 21 DSE-listed firms from 2006 to 2021 due to past inconclusive results from other research across the globe. Methodology: Mixed-sequential explanatory research design was used. Secondary panel data were collected from DSE while qualitative data was collected via semi structured interviews. Random effect model and thematic analysis were utilized for data analysis. Findings: The study found that GDP, inflation, and money supply had significant positive coefficients, while interest rates and exchange rates had significant negative coefficients, indicating that macroeconomic conditions have a substantial effect on firm performance. Practical implications: The findings suggest that firms should proactively manage macroeconomic conditions to remain competitive and sustainable Originality/Value: The study's uniqueness lies in its use of qualitative data to support quantitative findings and its examination of the link between macroeconomic conditions and listed firm performance in Tanzania, where little similar research has been conducted.
... This provides the companies with the opportunity to expand their businesses, while also offering alternative investment opportunities for investors (Ullah, Islam, Alam, & Khan, 2017). The stock market is a vital component of an economy, responsible for aggregating capital for corporations and providing investment opportunities for domestic and international institutional as well as individual investors, who primarily aim to maximize their returns and wealth (Nijam, Ismail, & Musthafa, 2015). ...
... The study also revealed the existence of a weak form of efficient hypothesis in the Indian stock market, as the stock market index did not have any relationship with the factors examined during the study period (Gurloveleen & Bhatai, 2015). Nijam et al. (2015) used the ordinary least square (OLS) technique to investigate the impact of macroeconomic factors on the performance of the stock market in Sri Lanka from 1980 to 2012. The findings of the study revealed a strong relationship between the stock market index and macroeconomic factors in Sri Lanka. ...
... The findings of the study revealed a strong relationship between the stock market index and macroeconomic factors in Sri Lanka. The research also established that GDP, exchange rate, and interest rate had a significant impact on all share price indices, while the balance of payments did not have any effect (Nijam, Ismail, & Musthafa, 2015). Giri and Joshi (2017) expanded their study on the Indian stock market in order to investigate the longterm and short-term connections between macroeconomic factors and stock prices in India from 1979 to 2014. ...
This paper investigates macroeconomic determinants of capital market performance in South Asia using the Arbitrage Pricing theory and multiple panel regression from 2010-2019. It fills a gap in previous research by examining the effects on the entire capital market, including non-stock components like bonds and money market instruments. Results show GDP positively impacts capital market performance while the exchange rate, real interest rate, and inflation rate have an insignificant negative impact. Long-run time series and country-wise analysis are needed for a better understanding of the mechanism behind the relationship. Policymakers and investors can benefit from this comprehensive understanding of the factors influencing capital market performance in South Asia. Overall, this study contributes to the literature and offers insights for navigating the complex relationship between macroeconomic variables and the capital market.
... Dalam sebuah penelitian oleh Nisha (2015), Nijam et al. (2015), Haque & Sarwar (2012), memberitahukan bahwa inflasi sedikit (negatif) berhubungan dengan return indeks saham. Inilah penyebab meningkatnya inflasi, pengetatan prosedur moneter maupun fiskal. ...
Tujuan dari penelitian ini adalah untuk mengetahui dan menganalisis apakah tingkat suku bunga, nilai tukar, inflasi dan COVID-19 berpengaruh terhadap harga saham perusahaan yang terdaftar di indeks saham LQ45 yang terdaftar di Bursa Efek Indonesia. Data yang digunakan dalam penelitian ini adalah data sekunder. Populasi yang digunakan dalam penelitian ini adalah seluruh perusahaan yang termasuk dalam indeks LQ45 yaitu 45 perusahaan dari sektor lain, dan sampel untuk penelitian ini diambil secara intensional sampling. Metode analisis yang digunakan dalam penelitian ini adalah metode statistik deskriptif dan uji asumsi klasik. Kesimpulan dari penelitian ini adalah efek negatif dari tingkat suku bunga yang meningkat dapat membuat investor enggan untuk mengalokasikan dananya pada Indeks Saham LQ45. Sedangkan kenaikan nilai tukar mata uang asing dan peningkatan inflasi mempengaruhi saham di Indeks LQ45 menjadi menarik bagi investor. Dan tingkat wabah COVID-19 yang meningkat memiliki pengaruh negatif terhadap Saham Indeks LQ45.
... The authors used the Pearson regression and correlation method and found that market capitalization was negatively correlated with all independent variables; the non-significant positive relationship between the exchange rate and stock yield, the relationship between the inflation rate and stock yield was negatively insignificant, the treasury bill rate was insignificant and negatively correlated with stock yield, gold prices were the negatively insignificant and gross domestic product has a positively insignificant relationship with a stock return in Pakistan. Nijam et al. (2015) described a relationship between five independent variables, namely gross domestic product, the proxy of inflation by the wholesale price index, the interest rate, the balance of payments and the exchange rate and the development of the Colombo stock market as a dependent variable. They applied correlation and multiple regression techniques to analyze the data for the period 1980 to 2011. ...
This study is poised to critically analyze the impact of economic recovery management on market capitalization in Nigeria. The specific objectives of the study include: examining the effect of the Gross Domestic Product (GDP) growth rate on market capitalization, determining the influence of the Inflation rate on market capitalization, and assessing the impact of the Exchange rate on market capitalization. To achieve the objective of the study, the ex-post facto research design was adopted. The researcher used secondary data in collating the required data. The data were collected from CBN statistical bulletin. In testing the hypotheses, multiple regression analysis was used. The findings revealed that the GDP growth rate has a positive impact on market capitalization while the inflation rate and exchange rate harm market capitalization. The study recommends that the Nigerian government should devise a means of increasing the gross domestic product growth rate through effective utilization of their revenue allocation and expending. The study also recommends that during the economic recovery, the Nigerian government should ensure that their inflation rate is reduced. Inflation is the major economic factor that can be hampered by the economic recession can reduce market capitalization in Nigeria.
... Also, it contributed to the existing literature on the MRP puzzle and serve as a 'light shedding' study within the South African context. Finally, this study adds to the evidence of Bancel and Mittoo (2014), Damodaran (2012), Nijam et al. (2015) and Westlund et al. (2011) on the impact of macroeconomic variables on the MRP, both in the developed and the developing countries. ...
... --------------------(4) The best model was selected based on model selection statistics criteria namely Adjusted (R 2 ), estimated F statistics (F), Variance Inflation Factor (VIF) and Durbin-Watson statistic (DW). These model selection criteria cover for the misspecifications that could arise from multicollinearity, autocorrelation and non-stationarity of time series data (Obadire, Moyo & Munzhelele, 2022;Nijam et al., 2015). Table 1 presents the results of model selection criteria which are based on Adjusted R 2 , VIF, DW, estimated F value and the p-value. ...
... Table 1 presents the results of model selection criteria which are based on Adjusted R 2 , VIF, DW, estimated F value and the p-value. The selection criteria in the Table considers the regression equation with the highest Adjusted R 2 , highest F-value with significance of P<0.05 as the most appropriate model to fit the time series data for the current study (Obadire, 2018;Nijam et al., 2015). This Table shows ...
The relationship between the Equity Market Risk Premium (MRP) and macroeconomic variables has been extensively debated in the finance literature. The MRP is a central component of the leading asset pricing models which are used to estimate the cost of equity which is mainly used in investment appraisal, performance measurement and valuation of equity assets. Prior studies have identified a number of macroeconomic variables such as inflation rate, interest rate, foreign exchange rate and political risk as the key macroeconomic variables that determine the size of the MRP. Grounded on previous literature, the test of the impact of these macroeconomic variables on the MRP is mainly based on data obtained from developed countries and a few emerging countries, leaving a considerable knowledge gap in African-based literature. This necessitated the investigation of the inflation rate, interest rate, foreign exchange rate and political risk on MRP within the South African context, as these fundamental variables vary across countries. Using secondary time series data for the period 2002 to 2017, a total of 192 observations per variable was used in the study. The model used was tested for possible misspecification errors that could arise from using secondary time series data and the regression model was fitted using the Ordinary Least Square (OLS) estimator. The results show that the inflation rate, interest rate and foreign exchange rate have a negative impact on the MRP whilst political risk has a positive impact on the MRP. Furthermore, the result shows that the inflation rate is the only variable among other variables tested that has a significant influence on the MRP for the study period. The study recommends that the inflation rate should be monitored and kept within the inflation target to increase investors' confidence in the security market and also foster economic growth.
... Within the Sri Lankan context, a significant positive association between gross domestic production, interest rates, foreign exchange rate, and inflation rate, and CSE's performance was identified over the period from 1980 to 2012 [46]. However, from January 1986 to December 2014, there are significant long-run and short-run effects in determining the stock market indices [47]. ...
... Prior studies revealed a significant association between share market performance and independent macroeconomic variables such as gross domestic production, interest rates, foreign exchange rates, and inflation rate [46,47,49,57]. However, the current study confirmed that, when considering the volatility of gold price, oil price, money supply, exchange rate, and gross domestic production together as a common factor, those have no significant influence on share market performance. ...
This research aims to understand the effect of macroeconomic factors on the performance of the share market, which would attract the attention of economic policymakers in terms of enhancing investments within Sri Lanka. The study followed a positivism research philosophy and applied a deductive research approach. Thereby, the quantitative data was used to reach conclusions. The study derived two macroeconomic factors based on the key macroeconomic variables by using Principal Component Factoring: Economic Growth Factor and Time Value of Money Factor for the analysis. Based on the monthly data collected for 213 months from January 2002 to September 2019, the study developed GARCH (1,1) model to understand the time-series impact of the macroeconomic factors on the All-Share Price Index. The results of the GARCH (1,1) model revealed that the All-Share Price Index of the previous month and the time value of money factor are more deterministic when forecasting the share market performance in the forthcoming month. However, the economic growth factor showed an insignificant impact on the performance of the Colombo Stock Exchange. In conclusion, better share market performance of the previous month and time value of money factor together are significantly impacting to motivate investors in the Sri Lankan stock exchange than other macroeconomic variables (ceteris paribus).
