面板VAR对金砖国家股市的宏观经济响应

IF 2.5 Q2 ECONOMICS
Babita Panda, Ajaya Kumar Panda, Pradiptarathi Panda
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引用次数: 2

摘要

本研究测量了金砖国家宏观经济变量与股票收益之间的关系。该研究使用了从1997年2月到2019年12月收集的精选宏观经济变量的月度数据。在传统宏观经济变量的基础上,采用了经济政策不确定性指数、原油波动率指数、全球金融压力指数、SENTIX全球指数等新时代宏观经济变量。运用面板VAR和格兰杰因果关系,研究发现市场收益对汇率有正向影响。相比之下,市场往往对消费者价格通胀和外国证券投资的变化做出负面反应。然而,股票市场容易受到金砖国家经济增长的影响。这些宏观经济指标对股票市场的影响显著。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR

Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR

This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select macroeconomic variables collected from February 1997 to December 2019. In addition to the traditional macroeconomic variables, the study used the new age macroeconomic variables like- economic policy uncertainty index, Crude oil volatility index, Global financial stress index, and SENTIX global index. Using Panel VAR and Granger causality, the study finds that market returns positively influence exchange rates. In contrast, the market tends to react negatively to changes in consumer price inflation and foreign portfolio investment. However, the equity market is susceptible to the economic growth (IIP) of BRICS economies. These macroeconomic indicators exhibit significant influence on the stock markets.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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