Macroeconomic Variables and Stock Returns in Bangladesh: An Empirical Analysis in The Presence of Structural Breaks
4
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper examines the long-run relationship between stock market indices in Bangladesh using exchange rate (ER), domestic credit provided by banks (DCB), industrial production index (IPI), and crude oil price (COP) in the presence of structural breaks. The study used time series data from 2009 to 2017 and applied ARDL bounds testing approach. Both conventional unit root and unit root tests in the presence of structural breakpoints are conducted. ARDL bounds testing approach confirms the presence of a long-run relationship among the selected variables and the stock market crash of 2010 and oil price shock of 2011 are found to have a significant effect on the stock price fluctuations in both stock exchanges in Bangladesh. The error correction term suggests that 43.3% of the disequilibrium in Dhaka Stock Exchange (DSE) returns is adjusted monthly to get back to the long-run equilibrium, whereas the value is 34.9% for Chittagong Stock Exchange (CSE). Moreover, ER, DCB, and COP have a significant positive impact on stock prices for both stock exchanges. The policy guideline of this study is that the regulators in foreign exchange market, banking sector, and capital market should work together to make prudential regulatory framework with a view to transforming both stock exchanges into a robust one within the South Asian region.
Abstract
This paper examines the long-run relationship between stock market indices in Bangladesh using exchange rate (ER), domestic credit provided by banks (DCB), industrial production index (IPI), and crude oil price (COP) in the presence of structural breaks. The study used time series data from 2009 to 2017 and applied ARDL bounds testing approach. Both conventional unit root and unit root tests in the presence of structural breakpoints are conducted. ARDL bounds testing approach confirms the presence of a long-run relationship among the selected variables and the stock market crash of 2010 and oil price shock of 2011 are found to have a significant effect on the stock price fluctuations in both stock exchanges in Bangladesh. The error correction term suggests that 43.3% of the disequilibrium in Dhaka Stock Exchange (DSE) returns is adjusted monthly to get back to the long-run equilibrium, whereas the value is 34.9% for Chittagong Stock Exchange (CSE). Moreover, ER, DCB, and COP have a significant positive impact on stock prices for both stock exchanges. The policy guideline of this study is that the regulators in foreign exchange market, banking sector, and capital market should work together to make prudential regulatory framework with a view to transforming both stock exchanges into a robust one within the South Asian region.
참고문헌 (52)
- Abosedra, S., "The Links between Energy Consumption, Financial Development, and Economic Growth in Lebanon: Evidence from Cointegration with Unknown Structural Breaks", Journal of Energy, pp.1~15 (2015)
- Abugri, B. A., "Empirical Relationship between Macroeconomic Volatility and Stock Returns : Evidence from Latin American Markets", International Review of Financial Analysis, 17(2), pp.396~410 (2008)
- Ahmed, M. N., "Macroeconomic Factors and Bangladesh Stock Market : Impact Analysis through Co integration Approach", International Review of Business Research Papers, 3(5), pp.21~35 (2007)
- Do Structural Oil-Market Shocks Affect Stock Prices?, "Apergis, N.", University of Connecticut, ~, pp.Economics Working Papers No. 200851 (2008)
- Arouri, M. E., "Does Crude Oil Move Stock Markets in Europe? A Sector Investigation", Economic Modelling, 28(4), pp.1716~1725 (2011)
- Arouri, M. E., "On the Short-Term Influence of Oil Price Changes on Stock Markets in GCC Countries : Linear and Nonlinear Analyses", Economics Bulletin, 29, pp.806~815 (2009)
- "A manual for ARDL Approach to Cointegration" (2014)[URL]
- Bai, J., "Computation and Analysis of Multiple Structural Change Models", Journal of Applied Econometrics, 18(1), pp.1~22 (2003)
- Banda, K., "The Impact of Macroeconomic Variables on Industrial Shares Listed on the Johannesburg Stock Exchange", Macroeconomics and Finance in Emerging Market Economies, pp.1~23 (2019)
- Is the Capital Market of Bangladesh Efficient?, "Bangladesh Bank", Bangladesh Bank, Chief Economist’s Unit (CEU), ~, pp.Working Paper Series No. 1614 (2016)
- Brown, R. L., "Techniques for Testing the Constancy of Regression Relationships over Time", Journal of the Royal Statistical Society. Series B(Methodological), 37(2), pp.149~192 (1975)
- "Bangladesh Market Capitalization: % of GDP (2006-2019)" (2019)[URL]
- Chang, T., "A Note on Testing the Causal Link between Construction Activity and Economic Growth in Taiwan", Journal of Asian Economics, 15, pp.591~598 (2004)
- Choudhury, M. A., "Stock Market Crash in 2010 : An Empirical Study on Retail Investor’s Perception in Bangladesh", ASA University Review, 7(1), pp.107~121 (2013)
- Creti, A., "Oil Price and Financial Markets : Multivariate Dynamic Frequency Analysis", Energy Policy, 73, pp.245~258 (2014)
- The Impact of Oil Price Shocks on the Three BRIC Countries’Stock Prices, "Fang, C. R.", National Cheng-Chi University, Department of Economics, 1~28 (2010)
- Filis, G., "Dynamic Correlation between Stock Market and Oil Prices: The Case of Oil-Importing and Oil-Exporting Countries", International Review of Financial Analysis, 20(3), pp.152~164 (2011)
- Garcia, V. F., "Macroeconomic Determinants of Stock Market Development", Journal of Applied Economics, 2(1), pp.29~59 (1999)
- Hearn, B., "Barriers to the Development of Small Stock Markets : A Case Study of Swaziland and Mozambique", Journal of International Development, 22(7), pp.1018~1037 (2010)
- Hondroyiannis, G., "Macroeconomic Influences on the Stock Market", Journal of Economics and Finance, 25(1), pp.33~49 (2001)
- Islam, K., "Stock Market Crash and Stock Return Volatility : Empirical Evidence from Dhaka Stock Exchange", Bangladesh Development Studies, 38(3), pp.25~34 (2015)
- Kan, Y. Y., "Structural Break and Cointegration in Malaysian Stock Market", International Proceedings of Management and Economy, 84, pp.25~42 (2015)
- Khalid, W., "Effects of Macroeconomic Variables on the Stock Market Volatility : The Pakistan Experience", International Journal of Econometrics and Financial Management, 5(2), pp.42~59 (2017)
- Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market, "Khan, M. M.", University Library of Munich, ~, pp.MPRA Paper No. 46528 (2013)
- LeRoy, S. F., "The Present-Value Relation : Tests Based on Implied Variance Bounds", Econometrica, 49(3), pp.555~574 (1981)
- Lumsdaine, R. L., "Multiple Trend Breaks and the Unit-Root Hypothesis", Review of Economics and Statistics, 79(2), pp.212~218 (1997)
- Maysami, R. C., "Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices", Jurnal Pengurusan, 24(1), pp.47~77 (2004)
- Narayan, P. K., "The Saving and Investment Nexus for China : Evidence from Cointegration Tests", Applied Economics, 37, pp.1979~1990 (2005)
- Narayan, S., "An Empirical Analysis of Fiji’s Import Demand Function", Journal of Economic Studies, 32(2), pp.158~168 (2005)
- Nasr, Z. A., "Effect of Oil Price Changes on Stock Market Returns: an ARDL Approach", Master, pp.2016
- Nisha, N., "Macroeconomic Determinants of the Behavior of Dhaka Stock Exchange (DSE)", International Journal of Asian Business and Information Management, 7(1), pp.1~17 (2016)
- Odhiambo, N.M., "Are Banks And Stock Markets Positively Related? Empirical Evidence from South Africa", Journal of Applied Business Research, 26(6), pp.17~26 (2010)
- Palamalai, S., "Causal Nexus between Stock Market Return and Selected Macroeconomic Variables in India: Evidence from the National Stock Exchange (NSE)", IUP Journal of Financial Risk Management, VIII(4), pp.7~24 (2011)
- Pan, L., "Stock Market Development and Economic Growth : Empirical Evidence from China", Economic Modelling, 68, pp.661~673 (2018)
- Park, J., "Oil Price Shocks and Stock Markets in the U.S., and 13European Countries", Energy Economics, 30(5), pp.2587~2608 (2008)
- Peiró, A., "Stock Prices and Macroeconomic Factors : Some European Evidence", International Review of Economics and Finance, 41, pp.287~294 (2016)
- Perron, P., "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Econometrica, 57(6), pp.1361~1401 (1989)
- Pesaran, M. H., "Bounds Testing Approaches to the Analysis of Level Relationships", Journal of Applied Econometrics, 16(3), pp.289~326 (2001)
- Phillips, P. C., "Testing for a Unit Root in Time Series Regression", Biometrika, 75(2), pp.335~346 (1988)
- Pradhan, R. P., "The Dynamics of Economic Growth, Oil Prices, Stock Market Depth, and Other Macroeconomic Variables : Evidence from the G-20 Countries", International Review of Financial Analysis, 39, pp.84~95 (2015)
- Pradhan, R. P., "Causal Nexus between Economic Growth, Banking Sector Development, Stock Market Development, and Other Macroeconomic Variables : The Case of ASEAN Countries", Review of Financial Economics, 23(4), pp.155~173 (2014)
- Said, S. E., "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order", Biometrika, 71(3), pp.599~607 (1984)
- Macroeconomic Determinants of Stock Market Capitalization in Pakistan: Fresh Evidence from Cointegration with unknown Structural Breaks, "Shahbaz, M.", MPRA, ~, pp.Paper No. 52490 (2013)
- Shiller, R. J., "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?", American Economic Review, 71(3), pp.421~436 (1981)
- Stylianou, T., "Debt and Economic Growth: Is There Any Causal Effect? An Empirical Analysis with Structural Breaks and Granger Causality for Greece", Theoretical and Applied Economics, XXI(1), pp.51~62 (2014)
- Suleman, S., "Oil Prices and Asian Emerging Stock Markets : Pakistan and Bangladesh", European Journal of Economic Studies, 16(2), pp.353~357 (2016)
- "Press Release No: SAR/2019" (2019)[URL]
- Tiryaki, A., "Determinants of Stock Returns in Turkey under the Impacts of Capital Inflows and Global Economic Policy Uncertainty", Journal of Current Researches on Social Sciences(JoCReSS), 8(4), pp.413~436 (2018)
- Tiryaki, A., "The Causal Relationship between Selected Macroeconomic Variables and Stock Returns in Turkey", International Journal of Economic and Administrative Studies, 19 (2017)
- Tiwari, A. K., "Frequency Domain Causality Analysis of Stock Market and Economic Activity in India", International Review of Economics and Finance, 39, pp.224~238 (2015)
- Zakaria, M., "Stock Prices and Macroeconomic Variables Nexus in South Asian Countries", Argumenta Oeconomica, 37(2), pp.93~130 (2016)
- Zivot, E., "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis", Journal of Business and Economic Statistics, 10(3), pp.251~270 (1992)