Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method

Xiangning Wang, Qian Huang and Shuguang Zhang

The North American Journal of Economics and Finance, 2023, vol. 67, issue C

Abstract: Based on the variational mode decomposition and quantile model, this article examines the response of BRICS stock prices to shocks of internal and external macroeconomic factors in different market states and over various investment horizons. The results of quantile regression show that the influence of each factor is complex and changeable across countries, market states, and time horizons, thus exhibiting obvious differences. Nevertheless, these coefficients also show a certain degree of similarity. Besides, we find the relationship between stock prices and macroeconomic variables behaved notably differently during the financial crisis in 2008 compared to other periods. Therefore, paying attention to the investment horizon and market state has extraordinary significance for various market participants.

Keywords: Exchange rate; Crude oil price; Gold price; Variational mode decomposition; Quantile (search for similar items in EconPapers)
JEL-codes: C13 C22 E44 F31 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000621

DOI: 10.1016/j.najef.2023.101939

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