宏观经济变量与股市表现:金砖国家经济的PMG/ARDL方法

IF 1.1 Q3 ECONOMICS

Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-10-12 DOI:10.1080/17520843.2021.1983704

U. Lone, M. A. Darzi, K. Islam

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引用次数: 4

摘要

摘要本研究旨在检验选定的宏观经济变量对金砖国家股市表现的影响。该研究使用了2011年至2021年期间的月度数据。本研究采用了ARDL边界检验模型和PMG/ARDL模型来衡量短期和长期关系。这两个模型都为除南非以外的所有金砖国家经济提供了短期和长期关系的验证性结果。此外，在样本期间，这些变量已被发现彼此之间存在因果关系。这项研究对政策制定者、监管者、学术界和投资者都有启示意义。

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Macroeconomic variables and stock market performance: a PMG/ARDL approach for BRICS economies

ABSTRACT The present study seeks to examine the impact of select macroeconomic variables on stock market performance in the BRICS economies. The study has used monthly data over the period 2011–2021. The study has employed both ARDL bounds testing model and PMG/ARDL model to measure the short and long-run relationships. Both the models provide the confirmatory results regarding short as well as long-run relationships for all the BRICS economies excluding South Africa. Also, the variables have been found to be causally related with each other during the sample period. The study has implications for policymakers, regulators, academia and investors.

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来源期刊

Macroeconomics and Finance in Emerging Market Economies ECONOMICS-

CiteScore

2.40

自引率

7.70%

发文量