Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR

Babita Panda (), Ajaya Kumar Panda () and Pradiptarathi Panda ()
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Babita Panda: Pillai HOC College of Arts, Science and Commerce
Ajaya Kumar Panda: National Institute of Industrial Engineering (NITIE)
Pradiptarathi Panda: National Institute of Securities Markets (NISM)

Asia-Pacific Financial Markets, 2023, vol. 30, issue 1, No 13, 259-272

Abstract: Abstract This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select macroeconomic variables collected from February 1997 to December 2019. In addition to the traditional macroeconomic variables, the study used the new age macroeconomic variables like- economic policy uncertainty index, Crude oil volatility index, Global financial stress index, and SENTIX global index. Using Panel VAR and Granger causality, the study finds that market returns positively influence exchange rates. In contrast, the market tends to react negatively to changes in consumer price inflation and foreign portfolio investment. However, the equity market is susceptible to the economic growth (IIP) of BRICS economies. These macroeconomic indicators exhibit significant influence on the stock markets.

Keywords: Macroeconomic variables; BRICS stock market; Panel VAR (search for similar items in EconPapers)
JEL-codes: E60 G11 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10690-023-09399-7

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