A STUDY OF SIZE EFFECT AND MACROECONOMICS FACTORS IN NEW YORK STOCK EXCHANGE STOCK RETURNS

Moade Fawzi Shubita and Adel A. Al-Sharkas

Applied Econometrics and International Development, 2010, vol. 10, issue 2

Abstract: The purpose of this paper is to look at the ‘size-effect’ question using a large sample drawn from New York Stock Exchange prices. The impact of the stock returns' size is also examined and the validity of models explaining the observed negative relations between asset returns and inflation are addressed. The generalized impulse response functions are adopted. Further, The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on NYSE. Results reveal that size had an impact on stock returns. Further, it appears that there is reliable negative relationship between stock prices and inflation. The level of real economic activity affects stock prices positively. Finally, interest rates have a negative relationship with stock prices

Keywords: Inflation; Growth Rate; Stock Returns; Positive Accounting; Market Capitalization and Portfolio Size. (search for similar items in EconPapers)
JEL-codes: C32 E31 F32 G14 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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