Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market Report as inadecuate




Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market - Download this document for free, or read online. Document in PDF available to download.

Abstract

The study examines the influence of a selective set of macroeconomic forces on stock market prices in Bangladesh. The Dhaka Stock Exchange All-Share Price Index DSI is used to represent the prices in the stock market while deposit interest rates, exchange rates, consumer price index CPI, crude oil prices and broad money supply M2 are selected to represent the macroeconomic variables affecting the stock prices. Using monthly data from 1992m1-2011m6, several time-series techniques were used which include Cointegration, Vector Error Correction Model VECM, Impulse Response Functions IRF and Variance Decompositions VDC. Cointegration analysis, along with the VECM, suggests that interest rates, crude oil prices and money supply are positively related to stock prices, exchange rates are negatively related to stock prices, and CPI is insignificant in influencing the stock prices, in the long-run. Both the IRF and VDC suggest that shocks to macroeconomic variables explain a small proportion of the forecast variance error of the DSI, but these effects persist for a long period.



Item Type: MPRA Paper -

Original Title: Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market-

English Title: Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market-

Language: English-

Keywords: Asset Prices, Macroeconomic Factors, Dhaka Stock Exchange, Cointegration, VEC-

Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion ProcessesE - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the MacroeconomyE - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their PoliciesG - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates-





Author: Khan, Mashrur Mustaque

Source: https://mpra.ub.uni-muenchen.de/46528/







Related documents