Suisse stock return, Macro Factors, and Efficient Market ‎Hypothesis: evidence from ARDL model

Malika Neifar

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the short run and the long run equilibrium ‎relationship between Suisse stock market (SSM) prices and a set of ‎macroeconomic variables (inflation, interest rate, and exchange rate) using ‎Monthly data for the period 1999:1 to 2018:4. Different specifications and ‎tests will be carried out, namely unit root tests (ADF and PP), Vector Auto ‎Regression (VAR) to select the optimal lag length and for Granger causality ‎and Toda and Yamamoto (TY) Wald non causality testing, VEC Model and ‎‎(Johansen, 1988)’ test for no cointegration, and ARDL framework and FPSS ‎test of no cointegration hypothesis. ECM representation of the ARDL ‎model confirm temporal causality between (inflation, interest rate, exchange ‎rate) and the stock price. There is dynamic short run adjustment and long ‎run stable equilibrium relationship between macroeconomic variables ‎‎(except exchange rate) and stock prices in the SSM. This imply that the ‎SSM is informationally inefficient because publicly available information on ‎macroeconomic variables (inflation and interest rate) can be potentially used ‎in predicting Suisse stock prices.‎

Keywords: Suisse Stock market efficiency; Macroeconomic variables; Causality; cointegration; ARDL ‎model‎ (search for similar items in EconPapers)
JEL-codes: C32 E44 G14 (search for similar items in EconPapers)
Date: 2021-01-30
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/105717/3/MPRA_paper_105717.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:105717

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().