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The dynamics of macroeconomic variables in Indian stock market: a Bai–Perron approach
8 references·1 citing·46 second hop
The dynamics of macroeconomic variables in Indian stock market: a Bai–Perron approach (2019)The dynamics of macroeconomic variables i…Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand (2012)Macroeconomic Factors of Emer…‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables (2012)‘Déjà vol’: Predictive regres…Accruals Quality, Stock Returns, and Macroeconomic Conditions (2010)Accruals Quality, Stock Retur…On the Economic Sources of Stock Market Volatility (2007)On the Economic Sources of St…Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan (2007)Can Macroeconomic Variables E…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Selecting macroeconomic variables as explanatory factors of emerging stock market returns (2001)Selecting macroeconomic varia…Impact of macroeconomic variables on sustainability indices using ARDL model (2021)Impact of macroeconomic varia…An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2005)Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)The Determinants of Stock and Bond Return Comovements (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Common risk factors in the returns on stocks and bonds (1993)Time-Varying Integration and International Diversification Strategies (2007)State Space Models and MIDAS Regressions (2013)Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond (2022)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Macroeconomic Factors and Stock Market Movement: Evidence from Ghana (2008)The Short-Run Relationship between Stock Market Prices and Macroeconomic Variables in Lithuania: An Application of the Impulse Response Function (2009)US Stock Market And Macroeconomic Factors (2015)The relationship between return and market value of common stocks (1981)Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance (2006)The Determinants of Stock and Bond Return Comovements (2010)Investor Attention and Stock Market Volatility (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)The Review of Macroeconomic Factors and Stock Returns (2012)Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships (2016)Dynamic Linkages Between Macroeconomic Factors and Islamic Stock Indices in a Non-Islamic Country India (2017)The Cross-Section of Expected Stock Returns (1992)Constructing and Testing Alternative Versions of the Fama–French and Carhart Models in the UK (2013)Going green: Market reaction to CSRwire news releases (2013)Climate Change and Asset Prices: Are Corporate Carbon Disclosure and Performance Priced Appropriately? (2016)Testing for a Unit Root in Time Series Regression (1988)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Comparing Predictive Accuracy (1994)An intertemporal CAPM with stochastic volatility (2018)The impact of sentiment and attention measures on stock market volatility (2019)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)The Varimax Criterion for Analytic Rotation in Factor Analysis (1958)Efficient Capital Markets: II (1991)Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets (2006)Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM (2010)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)Bounds testing approaches to the analysis of level relationships (2001)Economic and Political Weekly (2017)
this work references cited by second hop

References

  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns826 cited
  • 2012‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables486 cited
  • 2001Selecting macroeconomic variables as explanatory factors of emerging stock market returns279 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns235 cited
  • 2010Accruals Quality, Stock Returns, and Macroeconomic Conditions174 cited
  • 2007On the Economic Sources of Stock Market Volatility162 cited
  • 2007Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan110 cited
  • 2012Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand47 cited

Cited by

  • 2021Impact of macroeconomic variables on sustainability indices using ARDL model22 cited

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