The Impact of Macroeconomic Variables on Stock Prices : Evidence from the United States
| المصدر: | مجلة جامعة دمشق للعلوم الاقتصادية والقانونية |
|---|---|
| الناشر: | جامعة دمشق |
| المؤلف الرئيسي: | Hassani, Abd Alrazzak (auth.) |
| مؤلفين آخرين: | Al Samman, Hazem. (co-auth.) , Mouselli, Sulaiman (co-auth.) |
| المجلد/العدد: | مج30, ع2 |
| محكمة: | نعم |
| الدولة: |
سوريا |
| التاريخ الميلادي: |
2014
|
| الصفحات: | 43 - 65 |
| ISSN: |
2072-2273 |
| رقم MD: | 626447 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | IslamicInfo, EcoLink |
| مواضيع: | |
| رابط المحتوى: |
| المستخلص: |
This paper aims to examine the relationship between stock prices and macroeconomic variables in the United States using quarterly data for the period 1988 to 2012. We dentify five macroeconomic variables (i.e, gross domestic product, inflation, real money supply, Treasury bill rate, and oil prices) that researchers have linked to stock prices. We then examine the relationship between these macroeconomic variables and the S & P500 by estimating cointegration system using Johansen technique. Moreover, this paper will use Vector Error Correction Model (VECM) to test the short run relationships. Also, we use variance decomposition technique to understand which macroeconomic variable have more explantory power of the variation in the S & P500. The cointegration test results suggest the existance of positive and significant long-run relationship between S&P500 and real money supply. However, It shows a negative and significant long run relationship between S&P500 and oil prices. On the short run, the VECM analysis illustrates a short-run relationship between real money supply on two quarter lag and S&P500. Moreover, variance decomposition technique shows that shocks to S&P500 explains approximately 85% of the variation of S&P500 at quarter ten whileshocks to real money supply explains more variations in S&P500 than any other variable at quarter 10 (8.49%). To sum up, the results confirms the influence of macro economy on the stock market especially when proxied by real money supply and oil prices. |
|---|---|
| وصف العنصر: |
النص باللغة الانجليزية |
| ISSN: |
2072-2273 |
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