Impact of Macroeconomic Factors on Stock Exchange Prices: Evidence from USA Japan and China

Mondher Bellalah and Umie Habiba ()
Additional contact information
Umie Habiba: THEMA, Universite de Cergy-Pontoise

No 2013-15, THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Abstract: This paper investigates the long run relationship between macroeconomic indicators of terms of trade, oil prices, rate of interest, money supply (M3), index of industrial production and stock exchange prices indices for the USA Japan and China by focusing on the global financial recession. This study examines whether the same model can explain USA, Japanese and Chinese stock markets, while yielding consistent factors loading. Using monthly time series data of the respective variables of the range 2005-1 to 2010-5 Autoregressive Distributive Lag ARDL co-integration approach used for data analysis. Our results vary from one country to another. An explanation of the difference in behavior between the three stock markets may lie as USA economy is most affected by financial crises, 2007 and Japanese economy slump after 1990, china is least affected economy by financial crises, 2007. In the context of recent global financial recession, no study has so far been traced which explains the causal relationship between macroeconomic variables and stock markets of USA, Japan and China. Our results are helpful for investors, national policy makers and corporate managers etc.

Keywords: Macro-economic indicators; co-integration; index of industrial production; money supply. (search for similar items in EconPapers)
JEL-codes: G10 G14 G21 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://thema.u-cergy.fr/IMG/documents/2013-15.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ema:worpap:2013-15

Access Statistics for this paper

More papers in THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Contact information at EDIRC.
Bibliographic data for series maintained by Stefania Marcassa ( this e-mail address is bad, please contact ).