Macroeconomic determinants of the stock market: A comparative study of Anglosphere and BRICS

IF 7.4 2区 经济学 Q1 BUSINESS, FINANCE
Andreas Humpe , David G. McMillan , Alfred Schöttl
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引用次数: 0

Abstract

This study examines and compares the macroeconomic determinants of stock markets in BRICS (Brazil, Russia, India, China, and South Africa) and Anglosphere (Australia, Canada, New Zealand, the United Kingdom, and the United States) countries given their different economic structures. Using quarterly data from 1995Q3 to 2023Q3, we employ a panel Autoregressive Distributed Lag (ARDL) cointegration approach to analyse the long-run relations between real stock prices and the key macroeconomic variables of real GDP, consumer price index (CPI), policy rates, and money supply. Our findings show that in Anglosphere countries, there is a significant positive elastic long-run relation between stock prices and real GDP, and a significant negative elastic relation with CPI. Thus, economic growth enhances stock market performance while inflation adversely affects it in these developed economies. For BRICS countries, we identify a significant positive inelastic long-run relation between stock prices and CPI, indicating that stock markets in these emerging economies act as an inflation hedge. Policy rates and money supply are not significant for either group. These results highlight that different macroeconomic dynamics influence stock markets across developed and emerging economies, implying different risk characteristics. The Anglosphere stock markets are driven by the competing macroeconomic effects arising from GDP and CPI, whereas for the BRICS stock markets, inflationary conditions are of primary importance. The study offers insights for investors and policymakers regarding asset allocation strategies and the formulation of policies tailored to different economic blocs.
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来源期刊
Finance Research Letters
Finance Research Letters BUSINESS, FINANCE-
CiteScore
11.10
自引率
14.40%
发文量
863
期刊介绍: Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance
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