Stock market integration in the presence of the leading macroeconomic indicators: empirical evidence from 30 countries
<p>This study aims to determine the integration of stock markets in the presence of the</p><p>leading macroeconomic indicators. Specifically, this study aims to determine the causal</p><p>effect of the leading macroeconomic indica...
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| Format: | thesis |
| Language: | eng |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://ir.upsi.edu.my/detailsg.php?det=7333 |
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| Summary: | <p>This study aims to determine the integration of stock markets in the presence of the</p><p>leading macroeconomic indicators. Specifically, this study aims to determine the causal</p><p>effect of the leading macroeconomic indicators on the stock market, the cointegration</p><p>relationship between the stock market and the leading macroeconomic indicators, and</p><p>the integration of stock markets across national borders. This study is underpinned by</p><p>the information efficient market at semi-strong form. The data used in this study are</p><p>from 30 countries based on the year 1995 quarter one to the year 2018 quarter one. The</p><p>methods employed are Toda-Yamamoto causality analysis, Granger causality analysis,</p><p>panel heterogeneous cointegration analysis and catching-up analysis. The findings</p><p>show that the leading macroeconomic indicators have a causal effect on the stock</p><p>markets, the stock market and leading macroeconomic indicators have a long-run and</p><p>short-run cointegration relationship, and the stock markets across national borders are</p><p>integrated especially during post-recession periods. Overall, the findings of this study</p><p>show that the leading macroeconomic indicators may foster stock market integration.</p><p>The policy implication from the findings of this study are, this study may help fund</p><p>managers, investors, and investment agencies to predict changes in the stock market;</p><p>this study may serve as an information guide to stakeholders to optimise stock market</p><p>returns from investments; and this study may serve as a guide to help policymakers to</p><p>develop a better economic policy in efforts to minimise the negative impact during</p><p>financial turbulence.</p> |
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