Special Issue "Impact of Macroeconomic Indicators on Stock Market"

A special issue of Economies (ISSN 2227-7099).

Deadline for manuscript submissions: closed (15 December 2018)

Special Issue Editors

Guest Editor
Prof. Dr. Andreia Dionísio

Departamento de Gestão de Empresas, CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal
Website | E-Mail
Interests: Econometrics; Econophysics; Financial Markets
Guest Editor
Prof. Dr. Paulo Ferreira

VALORIZA - Research Center for Endogenous Resource Valorization, Instituto Politécnico de Portalegre, Portugal
CEFAGE, Universidade de Évora, Portugal
Website | E-Mail
Interests: Econometrics; Monetary and Financial Economics; Entrepreneurship and Innovation; Econophysics

Special Issue Information

Dear Colleagues,

Stock markets are currently engines of the Economy. Its dynamics are largely based on the behavior of investors, whose sacred rationality is oftenly questioned. Looking to the last years’ stock markets behaviour, it is easy to verify a strong turbulence, a huge volatility and crucial moments that’s important to define, to explore, to explain… What influences stock markets behavior? What drives investors to make certain decisions? What information can be used to better understand these markets? What is the impact of macroeconomic indicators on stock markets? Do these impacts put into question the efficient market hypothesis? Is it possible to predict the behavior of a stock market in the long, medium or short term, based on the existing economic information? Do economic cycles dictate the behavior of markets? In this issue, we try to get answers to these and other questions. In essence, the aim of this special issue is to understand, to explore and to try to explain the impact of macroeconomic indicators on stock markets.

We invite investigators to contribute original research articles in theory, practice and applications of Impact of Macroeconomics Indicators on Stock Market. All submissions must contain original unpublished work not being considered for publication elsewhere.

Prof. Dr. Andreia Dionísio
Prof. Dr. Paulo Ferreira
Guest Editors

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 papers will be 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. Economies 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) is waived for well-prepared manuscripts submitted to this issue. 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

  • stock markets
  • macroeconomic indicators
  • efficient market hypothesis

Published Papers (4 papers)

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Research

Open AccessArticle Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis
Received: 13 December 2018 / Revised: 6 February 2019 / Accepted: 10 February 2019 / Published: 26 February 2019
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Abstract
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically [...] Read more.
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises. Full article
(This article belongs to the Special Issue Impact of Macroeconomic Indicators on Stock Market)
Open AccessArticle Loom of Symmetric Pass-Through
Received: 1 September 2018 / Revised: 25 October 2018 / Accepted: 19 November 2018 / Published: 12 February 2019
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Abstract
This paper analyzes the effects of the real policy interest rate on the banking sector lending rate, the deposit rate, real stock prices, and the real exchange rate using the Engle Granger cointegration method (EG), the vector error-correction model (VECM), and the nonlinear [...] Read more.
This paper analyzes the effects of the real policy interest rate on the banking sector lending rate, the deposit rate, real stock prices, and the real exchange rate using the Engle Granger cointegration method (EG), the vector error-correction model (VECM), and the nonlinear vector error-correction model (NVECM) with monthly Turkish data over the period January 2002–April 2018. (1) EG results indicate bivariate cointegration relationships between the real interest rate, lending rates, and the deposit rate. The real interest rate increases all lending rates, mainly the housing rate. However, the long-run coefficient for the real exchange rate is not statistically significant. The pass-through is higher for the deposit rate than for lending rates. Moreoever, real stock prices shrink substantially where the finance sector has been affected the most. (2) VECM results indicate a cointegration relationship between all the variables except for the real exchange rate, which has a statistically non-significant pass-through coefficient. The real interest rate has a noteworthy long-run positive effect on the housing loans lending rate compared to others. The affirmative effect on real stock prices is the highest for the technology sector. The short-run effect of the real interest rate on lending rates, real stock prices and the real exchange rate are statistically non-significant except for the overall stock price index, and the vehicle loans lending rate which has a higher coefficient than the deposit rate. (3) NVECM results allow testing of eleven hypotheses and highlight the symmetric relationship and the valid pass-through effect, and reject the strong exogeneity assumption for all variables. Full article
(This article belongs to the Special Issue Impact of Macroeconomic Indicators on Stock Market)
Open AccessArticle Detrended Correlation Coefficients Between Exchange Rate (in Dollars) and Stock Markets in the World’s Largest Economies
Received: 20 September 2018 / Revised: 27 December 2018 / Accepted: 9 January 2019 / Published: 1 February 2019
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Abstract
The purpose of this paper is to verify the long-range correlation between the stock markets of the largest economies in the world and the respective exchange rate with the USD. According to theory, a negative correlation is expected, meaning that an increase in [...] Read more.
The purpose of this paper is to verify the long-range correlation between the stock markets of the largest economies in the world and the respective exchange rate with the USD. According to theory, a negative correlation is expected, meaning that an increase in the return of one of the assets will cause a decrease in the return of the other. Using detrended cross-correlation and detrended moving average cross-correlation analyses and the respective correlation coefficients, we analysed this possibility, analysing behaviour according to different time scales. Our main results showed that in European markets, the exchange rate does not have a significant effect. This significant effect just occurs in the case of the Indian stock market, while in the case of the Japanese one, the relationship is positive. Japanese authorities’ monetary policy could be the reason for this different result. Full article
(This article belongs to the Special Issue Impact of Macroeconomic Indicators on Stock Market)
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Open AccessArticle Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-100
Received: 3 December 2018 / Revised: 25 January 2019 / Accepted: 28 January 2019 / Published: 1 February 2019
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Abstract
The purpose of this study is to analyze the impacts of some prominent macroeconomic factors on the Turkish Stock Market index, BIST-100 (Borsa Istanbul-100). For centuries, and mostly since the 20th century, stock markets are at the heart of economies. In our era, [...] Read more.
The purpose of this study is to analyze the impacts of some prominent macroeconomic factors on the Turkish Stock Market index, BIST-100 (Borsa Istanbul-100). For centuries, and mostly since the 20th century, stock markets are at the heart of economies. In our era, the largest economic crises arise from the stock market instabilities and thus, the stock markets are the focus of interest of the economy. Economists, investors, and policymakers try to predict the tendency of share prices, which substantially depend on foreign and domestic macroeconomic factors. Within this purpose, this study tries to investigate the impact of some selected macroeconomic factors on BIST-100 index over the 2003Q1–2017Q4 period. The findings obtained from the quarterly data via the ARDL Bounds Test suggest that economic growth, the relative value of the domestic currency, portfolio investments and foreign direct investments raise the stock market index while interest rate and crude oil prices negatively affect it. The results briefly reveal that the Istanbul Stock Exchange Market needs stronger domestic currency, higher international capital inflows, and lower energy and investment costs. Full article
(This article belongs to the Special Issue Impact of Macroeconomic Indicators on Stock Market)
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