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THE EFFECT OF MACROECONOMIC VARIABLES ON STOCK RETURNS ON DHAKA STOCK EXCHANGE
16 references·3 citing·40 second hop
THE EFFECT OF MACROECONOMIC VARIABLES ON STOCK RETURNS ON DHAKA STOCK EXCHANGE (2012)THE EFFECT OF MACROECONOMIC VARIABLES ON …Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and t…Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Stock market and macroeconomi…Macroeconomic influences on the stock market (2001)Macroeconomic influences on t…A vector error correction model of the Singapore stock market (2000)A vector error correction mod…Cointegration and causality between macroeconomic variables and stock market returns (1999)Cointegration and causality b…Causal relations among stock returns and macroeconomic variables in a small, open economy (1999)Causal relations among stock …International evidence on the stock market and aggregate economic activity (1998)International evidence on the…Random Walks in Stock Market Prices (1995)Random Walks in Stock Market …DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…MACROECONOMIC FACTORS AND THE UK STOCK MARKET (1991)MACROECONOMIC FACTORS AND THE…Expected stock returns and volatility (1987)Expected stock returns and vo…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…The Great Crash* (1979)The Great Crash*The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…PENGARUH TINGKAT SUKU BUNGA, INFLASI DAN NILAI TUKAR TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA (2018)PENGARUH TINGKAT SUKU BUNGA, …The Effect of Macroeconomic Variables on Stock Market Returns in Ghana (2000-2013) (2014)The Effect of Macroeconomic V…Determinants of Stock Market Performance in Nepal (2014)Determinants of Stock Market …MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)PENGARUH INFLASI, SUKU BUNGA, KURS, DAN PERTUMBUHAN PDB TERHADAP INDEKS HARGA SAHAM GABUNGAN (2012)Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)The Behavior of Stock-Market Prices (1965)Middle‐Status Conformity: Theoretical Restatement and Empirical Demonstration in Two Markets (2001)Text mining for market prediction: A systematic review (2014)A systematic review of fundamental and technical analysis of stock market predictions (2019)Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)The Role of Macroeconomic Variables on Stock Market Index in China and India (2011)Understanding Recent Trends in House Prices and Home Ownership (2007)No Price Like Home: Global House Prices, 1870–2012 (2017)Extrapolation and bubbles (2018)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1995Random Walks in Stock Market Prices1,227 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 1979The Great Crash*571 cited
  • 2000A vector error correction model of the Singapore stock market446 cited
  • 2002Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries400 cited
  • 1999Cointegration and causality between macroeconomic variables and stock market returns361 cited
  • 1998International evidence on the stock market and aggregate economic activity329 cited
  • 1999Causal relations among stock returns and macroeconomic variables in a small, open economy289 cited
  • 2003Macroeconomic variables and the Malaysian equity market248 cited
  • 1991MACROECONOMIC FACTORS AND THE UK STOCK MARKET147 cited

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  • 2001Macroeconomic influences on the stock market138 cited
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    • 2014Determinants of Stock Market Performance in Nepal42 cited
    • 2014The Effect of Macroeconomic Variables on Stock Market Returns in Ghana (2000-2013)28 cited
    • 2018PENGARUH TINGKAT SUKU BUNGA, INFLASI DAN NILAI TUKAR TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA25 cited