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IJFS
Special Issues
Linkages between Equity Markets and International Macroeconomics
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Linkages between Equity Markets and International Macroeconomics

A special issue of International Journal of Financial Studies (ISSN 2227-7072).

Deadline for manuscript submissions: closed (31 October 2015) | Viewed by 12306

Special Issue Editor

Dr. George Filis

E-Mail Website
Guest Editor
Department of Accounting, Finance and Economics, Bournemouth University, The Executive Business Centre, 89 Holdenhurst Road, Bournemouth BH8 8EB, UK
Interests: financial economics; energy economics; business cycles

Special Issue Information

Dear Colleagues,

The relationship between the international equity markets and the macroeconomy is gaining much prominence in the relevant literature. Unsurprisingly, the importance of this relationship has been particularly underscored by the 2007–2009 financial crisis and the ongoing European debt crisis. On the basis that stock markets are key leading indicators of economic developments, it follows that equity price fluctuations provide valuable information on the perceptions of market participants of economic shocks, as well as, on the response of policy makers to these shocks.  In addition, equity markets have become one of the most important elements of the transmission mechanism of macroeconomic policies. Thus, this Special Issue focuses on further exploring these complex, and at times, concealed, interactions between equity markets and international macroeconomics. Topics in this Special Issue may include, but are not limited to, financial contagion, macro-financial linkages, spillover effects, and global financial crises.

Dr. George Filis
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. International Journal of Financial Studies is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.


Keywords

  • financial contagion
  • spillover effects
  • macro-financial linkages
  • global financial crisis
  • asset pricing
  • international equity portfolios

Published Papers (2 papers)

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Research

467 KiB  
Article
Fiscal Deficits and Stock Prices in India: Empirical Evidence
by Pooja Joshi and Arun Kumar Giri
Int. J. Financial Stud. 2015, 3(3), 393-410; https://doi.org/10.3390/ijfs3030393 - 27 Aug 2015
Cited by 3 | Viewed by 7162
Abstract
The study aims at examining how fiscal deficits affect the performance of the stock market in India by using annual data from 1988–2012. The study makes use of Ng-Perron unit root tests to check the non-stationarity property of the series; the Auto Regressive [...] Read more.
The study aims at examining how fiscal deficits affect the performance of the stock market in India by using annual data from 1988–2012. The study makes use of Ng-Perron unit root tests to check the non-stationarity property of the series; the Auto Regressive Distributed Lag (ARDL) bounds test and a Vector Error Correction Model (VECM) for testing both short and long run dynamic relationships. The variance decomposition (VDC) is used to predict the exogenous shocks of the variables. The findings of the bounds test reveal that the estimated equation and the series are co-integrated. The ARDL results suggest a long run negative relationship exists between budget deficit and stock prices and do not show any significant relationship in the short run. The VECM result shows that fiscal deficits influence the stock price only in the short run. The results of the Variance Decomposition show that stock price movement in the long run is mostly explained by shocks of fiscal deficits. The study implies that the government must adopt appropriate macroeconomic policies to reduce budget deficit, which will result in stock market growth and in turn will lead to the financial development of the country. Full article
(This article belongs to the Special Issue Linkages between Equity Markets and International Macroeconomics)
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943 KiB  
Article
A Probit Model for the State of the Greek GDP Growth
by Stavros Degiannakis
Int. J. Financial Stud. 2015, 3(3), 381-392; https://doi.org/10.3390/ijfs3030381 - 13 Aug 2015
Viewed by 4688
Abstract
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables [...] Read more.
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the state of the GDP growth. A contemporaneous, as well as a lagged, relationship between the explanatory variables and the state of the GDP growth is conducted. The mean absolute distance (MAD) between the probability of not being in recession and the probability estimated by the probit model is the function that evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as the explanatory variables has the lowest MAD value of 6.43% (7.94%) in the contemporaneous (lagged) relationship. Full article
(This article belongs to the Special Issue Linkages between Equity Markets and International Macroeconomics)
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