The relationship between South Asian stock returns and macroeconomic variables

References

• Abugri, B. A. (2008) Empirical relationship between macroeconomic volatility and stock returns: evidence from Latin American markets, International Review of Financial Analysis, 17, 396–410. doi:10.1016/j.irfa.2006.09.002
   Google Scholar
• Acikalin, S., Aktas, R. and Unal, S. (2008) Relationships between stock markets and macroeconomic variables: an empirical analysis of the Istanbul Stock Exchange, Investment Management and Financial Innovations, 5, 8–16.
   Google Scholar
• Ahmed, M. N. and Imam, M. O. (2007) Macroeconomic factors and Bangladesh stock market: impact analysis through cointegration approach, International Review of Business Research Papers, 3, 21–35.
   Google Scholar
• Ahmed, S. (2008) Aggregate economic variables and stock markets in India, International Research Journal of Finance and Economics, 14, 141–64.
   Google Scholar
• Ajayi, R. A. and Mougoue, M. (1996) On the dynamic relation between stock prices and exchange rates, Journal of Financial Research, 19, 193–207. doi:10.1111/j.1475-6803.1996.tb00593.x
   Google Scholar
• Alexander, C. (2001) Market Models: A Guide to Financial Data Analysis, John Wiley & Sons, London.
   Google Scholar
• Bekaert, G. and Harvey, C. R. (1995) Time-varying world market integration, The Journal of Finance, 50, 403–44. doi:10.1111/j.1540-6261.1995.tb04790.x
   Web of Science ®Google Scholar
• Bilson, C. M., Brailsford, T. J. and Hooper, V. J. (2001) Selecting macroeconomic variables as explanatory factors of emerging stock market returns, Pacific-Basin Finance Journal, 9, 401–26. doi:10.1016/S0927-538X(01)00020-8
   Google Scholar
• Birz, G. and Lott Jr, J. R. (2011) The effect of macroeconomic news on stock returns: new evidence from newspaper coverage, Journal of Banking and Finance, 35, 2791–800. doi:10.1016/j.jbankfin.2011.03.006
   Web of Science ®Google Scholar
• Brollier, J. and Kelly, K. (2010) Post unrest in Pakistan: moving beyond U.S. national interest, The Public Record. Available at http://pubrecord.org/special-to-the-public-record/7873/unrest-pakistan-moving-beyond-national/ (accessed 21 December 2014).
   Google Scholar
• Chen, G.-M., Firth, M. and Rui, O. M. (2002) Stock market linkages: evidence from Latin America, Journal of Banking and Finance, 26, 1113–41. doi:10.1016/S0378-4266(01)00160-1
   Web of Science ®Google Scholar
• Chen, N., Roll, R. and Ross, S. A. (1986) Economic forces and the stock market, The Journal of Business, 59, 383–403. doi:10.1086/296344
   Web of Science ®Google Scholar
• Choudhry, T. (2001) Inflation and rates of return on stocks: evidence from high inflation countries, Journal of International Financial Markets, Institutions and Money, 11, 75–96. doi:10.1016/S1042-4431(00)00037-8
   Google Scholar
• Click, R. W. and Plummer, M. G. (2005) Stock market integration in ASEAN after the Asian financial crisis, Journal of Asian Economics, 16, 5–28. doi:10.1016/j.asieco.2004.11.018
   Google Scholar
• Dhrymes, P. J., Friend, I., Gultekin, M. N. et al. (1985) New tests of the APT and their implications, The Journal of Finance, 40, 659–74.
   Web of Science ®Google Scholar
• Dumas, B. and Solnik, B. (1995) The world price of foreign exchange risk, The Journal of Finance, 50, 445–79. doi:10.1111/j.1540-6261.1995.tb04791.x
   Web of Science ®Google Scholar
• Dunteman, G. H. (1994) Principal components analysis, in factor analysis and related techniques, in International Handbooks of Quantitative Applications in the Social Sciences, 5th edn, Lewis-Beck, M. S. (Ed), Sage Publications, London, pp. 157–245.
   Google Scholar
• Fama, E. F. (1981) Stock returns, real activity, inflation and money, American Economic Review, 71, 545–65.
   Web of Science ®Google Scholar
• Fama, E. F. (1991) Efficient capital markets: II, The Journal of Finance, 46, 1575–617. doi:10.1111/j.1540-6261.1991.tb04636.x
   Web of Science ®Google Scholar
• Fama, E. F. and Schwert, G. W. (1977) Asset returns and inflation, Journal of Financial Economics, 5, 115–46. doi:10.1016/0304-405X(77)90014-9
   Web of Science ®Google Scholar
• Ferson, W. and Harvey, C. R. (1994) Sources of risk and expected returns in global equity markets, Journal of Banking and Finance, 18, 775–803. doi:10.1016/0378-4266(93)00020-P
   Web of Science ®Google Scholar
• Fifield, S. G. M. and Power, D. M. (2006) The role of economic and fundamental factors in emerging market share returns: a comparison of Asian and Non-Asian countries, Journal of Accounting and Finance, 5, 1–18.
   Google Scholar
• Fifield, S. G. M., Power, D. M. and Sinclair, C. D. (2002) Macroeconomic factors and share returns: an analysis using emerging market data, International Journal of Finance and Economics, 7, 51–62. doi:10.1002/ijfe.173
   Web of Science ®Google Scholar
• Firth, M. (1979) The relationship between stock market returns and rates of inflation, The Journal of Finance, 34, 743–9. doi:10.1111/j.1540-6261.1979.tb02139.x
   Web of Science ®Google Scholar
• Flannery, M. J. and James, C. M. (1984) The effect of interest rate changes on the common stock returns of financial institutions, The Journal of Finance, 39, 1141–53. doi:10.1111/j.1540-6261.1984.tb03898.x
   Web of Science ®Google Scholar
• Flannery, M. J. and Protopapadakis, A. A. (2002) Macroeconomic factors do influence aggregate stock returns, The Review of Financial Studies, 15, 751–82. doi:10.1093/rfs/15.3.751
   Web of Science ®Google Scholar
• Gujarati, D. (2004) Basic Econometrics, 4th edn, McGraw Hill, New York.
   Google Scholar
• Gultekin, N. B. (1983) Stock market returns and inflation: evidence from other countries, The Journal of Finance, 38, 115–46.
   Google Scholar
• Gunasekarage, A., Pisedtasalasai, A. and Power, D. M. (2004) Macroeconomic influences on the stock market: evidence from an emerging market in South Asia, Journal of Emerging Market Finance, 3, 285–304. doi:10.1177/097265270400300304
   Google Scholar
• Hanousek, J., Kocenda, E. and Kutan, A. M. (2009) The reaction of asset prices to macroeconomic announcements in new EU markets: evidence from Intra-day data, Journal of Financial Stability, 5, 199–219. doi:10.1016/j.jfs.2008.01.003
   Web of Science ®Google Scholar
• Harvey, C. R. (1995) Predictable risk and returns in emerging markets, Review of Financial Studies, 8, 773–816. doi:10.1093/rfs/8.3.773
   Web of Science ®Google Scholar
• Hondroyiannis, G. and Papapetrou, E. (2001) Macroeconomic influences on the stock market, Journal of Economics and Finance, 25, 33–49. doi:10.1007/BF02759685
   Google Scholar
• Humpe, A. and Macmillan, P. (2009) Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, Applied Financial Economics, 19, 111–19. doi:10.1080/09603100701748956
   Google Scholar
• Jolliffe, I. T. (1972) Discarding variables in a principal component analysis. I: artificial data, Applied Statistics, 21, 160–73. doi:10.2307/2346488
   Web of Science ®Google Scholar
• Kaiser, H. F. (1960) The application of electronic computers to factor analysis, Educational and Psychological Measurement, 20, 141–51. doi:10.1177/001316446002000116
   Web of Science ®Google Scholar
• Khan, M. N. (2013) An analysis of market efficiency in the South Asian emerging stock markets: Bangladesh, India, Pakistan and Sri Lanka, Unpublished PhD Thesis, School of Business, University of Dundee.
   Google Scholar
• Kim, K. (2003) Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model, Review of Financial Economics, 12, 301–13. doi:10.1016/S1058-3300(03)00026-0
   Google Scholar
• Lamba, A. S. (2005) An analysis of the short- and long-run relationships between South Asian and developed equity markets, International Journal of Business, 10, 383–402.
   Google Scholar
• LeRoy, S. F. and Porter, R. D. (1981) The present value relation: tests based on implied variance bounds, Econometrica, 49, 555–74. doi:10.2307/1911512
   Web of Science ®Google Scholar
• Mahmood, M. W. and Dinniah, M. N. (2009) Stock returns and macroeconomic variables: evidence from six Asian-Pacific countries, International Research Journal of Finance and Economics, 30, 154–64.
   Google Scholar
• Mangi, F., Patterson M. and Balwani, S. (2012) Pakistan stocks best as violence ignored: riskless return, Bloomberg. Available at http://www.bloomberg.com/news/2012-11-20/pakistan-stocks-best-as-violence-ignored-riskless-return.html (accessed 21 December 2014).
   Google Scholar
• Mun, K.-C. (2012) The joint response of stock and foreign exchange markets to macroeconomic surprises: using US and Japanese data, Journal of Banking and Finance, 36, 383–94. doi:10.1016/j.jbankfin.2011.07.014
   Web of Science ®Google Scholar
• Mundell, R. (1963) Inflation and real interest, Journal of Political Economy, 71, 280–3.
   Web of Science ®Google Scholar
• Nasseh, A. and Strauss, J. (2000) Stock prices and domestic and international macroeconomic activity: a cointegration approach, The Quarterly Review of Economics and Finance, 40, 229–45. doi:10.1016/S1062-9769(99)00054-X
   Google Scholar
• Nelson, C. R. (1976) Inflation and rates of return on common stocks, The Journal of Finance, 31, 471–83. doi:10.1111/j.1540-6261.1976.tb01900.x
   Web of Science ®Google Scholar
• Poon, S. and Taylor, S. J. (1991) Macroeconomic factors and the UK stock market, Journal of Business Finance and Accounting, 18, 619–36. doi:10.1111/j.1468-5957.1991.tb00229.x
   Google Scholar
• Rapach, D. E., Woharb, M. E. and Rangvid, J. (2005) Macro variables and international stock return predictability, International Journal of Forecasting, 21, 137–66. doi:10.1016/j.ijforecast.2004.05.004
   Web of Science ®Google Scholar
• Ross, S. A. (1976) The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13, 341–60. doi:10.1016/0022-0531(76)90046-6
   Web of Science ®Google Scholar
• Shiller, R. J. (1981) Do stock prices move too much to be justified by subsequent changes in dividends?, American Economic Review, 71, 421–36.
   Web of Science ®Google Scholar
• Shiller, R. J. (1984) Theories of aggregate stock price movements, The Journal of Portfolio Management, 10, 28–37. doi:10.3905/jpm.1984.408954
   Web of Science ®Google Scholar
• Sing, T. F. and Low, S. H. Y. (2000) The inflation-hedging characteristics of real estate and financial assets in Singapore, Journal of Real Estate Portfolio Management, 6, 373–85.
   Google Scholar
• Sohail, N. and Hussain, Z. (2009) Long-run and short-run relationships between macroeconomic variables and stock prices in Pakistan: the case of Lahore stock exchange, Pakistan Economic and Social Review, 47, 183–98.
   Google Scholar
• Srinivasan, T. N. (2002) South Asia in the world economy – some issues, in Trade, Finance and Investment in South Asia, Srinivasan, T. N. (Ed), Social Science Press, New Delhi, pp. 1–27.
   Google Scholar
• Verma, R. and Ozuna, T. (2005) Are emerging equity markets responsive to cross-country macroeconomic movements? Evidence from Latin America, Journal of International Financial Markets, Institutions and Money, 15, 73–87. doi:10.1016/j.intfin.2004.02.003
   Google Scholar
• Walti, S. (2005) The macroeconomic determinants of stock market synchronization, Journal of International Banking Law, 11, 436–41.
   Google Scholar
• Wongbangpo, P. and Sharma, S. C. (2002) Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries, Journal of Asian Economics, 13, 27–51. doi:10.1016/S1049-0078(01)00111-7
   Google Scholar
• World Bank (2010) Moving Up, Looking East, South Asia Economic Update, World Bank, Washington, DC.
   Google Scholar
• World Bank (2012) Global Economic Prospects: South Asia, World Bank, Washington, DC.
   Google Scholar
• World Bank (2013a) Trends and Determinants of Foreign Direct Investment in South Asia, June, World Bank, Washington, DC.
   Google Scholar
• World Bank (2013b) Regaining Momentum: South Asia Economic Focus, Spring, World Bank, Washington, DC.
   Google Scholar
• Zhou, T. T., Gunasekarage, A. and Power, D. M. (2005) Do real estate assets hedge inflation better than financial assets? Some New Zealand evidence, Briefings in Real Estate Finance, 5, 39–46. doi:10.1002/bref.155
   Google Scholar