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Macroeconomic Variables and Stock Market Evolution

Lorand Kralik

Romanian Statistical Review Supplement, 2012, vol. 60, issue 2, 197-203

Abstract: This study investigates the relationship between local and global macroeconomic factors and stock market indices in Romania using the framework of the macroeconomic APT model. Many researchers have demonstrated that macroeconomic conditions affect risk factors and influence asset returns. However, it is well-known that emerging markets` asset returns are characterized by higher volatility than on developed markets. Using the stepwise analysis method we found some evidence of the effects of exchange rates, interest rates (global), gold price, global stock indices and oil prices on stock returns of the Bucharest Stock Exchange (BSE). We also investigate the effects of macroeconomic factors on the investment firm`s indices, BET-FI. The results of a Vector Autoregressive model (VAR) and Vector Error Correction Model (VECM) indicate the short and long run linkages between macroeconomic variables and BSE indices.

Keywords: stock market index; arbitrage pricing theory; macroeconomic variables; VAR; interest rate (search for similar items in EconPapers)
Date: 2012
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