Macroeconomic variables and stock market performance: a PMG/ARDL approach for BRICS economies

Umer Mushtaq Lone, Mushtaq Ahmad Darzi and Khalid Ul Islam

Macroeconomics and Finance in Emerging Market Economies, 2023, vol. 16, issue 2, 300-325

Abstract: The present study seeks to examine the impact of select macroeconomic variables on stock market performance in the BRICS economies. The study has used monthly data over the period 2011–2021. The study has employed both ARDL bounds testing model and PMG/ARDL model to measure the short and long-run relationships. Both the models provide the confirmatory results regarding short as well as long-run relationships for all the BRICS economies excluding South Africa. Also, the variables have been found to be causally related with each other during the sample period. The study has implications for policymakers, regulators, academia and investors.

Date: 2023
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DOI: 10.1080/17520843.2021.1983704

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