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.

KEYWORDS:

• Macroeconomic variables
• stock market performance
• BRICS
• PMG/ARDL

Disclosure statement

No potential conflict of interest was reported by the author(s).

Correction Statement

This article has been republished with minor changes. These changes do not impact the academic content of the article.

Additional information

Funding

There is no funding for this research work.

Notes on contributors

Umer Mushtaq Lone

Umer Mushtaq Lone is a full-time Ph. D scholar at the Department of Management Studies, University of Kashmir, Srinagar, (India). His research interests include corporate finance, investment management, asset pricing, market efficiency, financial economics, risk management and accounting. Umer Mushtaq Lone is the corresponding author and can be reached at: [email protected].

Mushtaq Ahmad Darzi

Mushtaq Ahmad Darzi is Professor at Department of Management Studies, University of Kashmir, Srinagar, Jammu & Kashmir, (India). His research areas include business financial management, portfolio management, accounting, social marketing, e-retailing, and CRM. He has published research works both in the national and international journals. He can be reached at: [email protected].

Khalid Ul Islam

Khalid Ul Islam is faculty at the Department of Management Studies, University of Kashmir, Srinagar, Jammu & Kashmir, (India). He has Ph. D (finance) from Delhi School of Economics, University of Delhi. His research interests include asset pricing, market efficiency, risk management and Islamic finance. He has published research works both in the national and international journals. He can be reached at: [email protected].