The impact of macroeconomic variables on Stock ‎market in United Kingdom

Malika Neifar, Dhouib, Salma ‎, Bouhamed, Jihen ‎, Ben Abdallah, Fatma ‎, Arous, Islem ‎, Ben Braiek, Fatma ‎ and Mrabet, Donia ‎

MPRA Paper from University Library of Munich, Germany

Abstract: The key objective of this study is to shed light on the relationship between the stock market ‎and macroeconomic factors (Interest rate, Consumer Price Index, Exchange rate) in United ‎Kingdom for the period Pre Global Financial Crisis 2008 (GFC); from January 1999 to ‎December 2007. The finding of Johansen Cointegration, and Granger and Toda Yamamoto ‎‎(TY) Causality tests show respectively that there is no co-integration between variables, no ‎causal relation is detected from macro factors to stock return, and a unidirectional causal ‎relation is depicted from exchange rate to stock price. While from VAR Granger non ‎Causality/Block Exogeneity Wald Tests results, both inflation (INF) and exchange rate ‎growth (EXCG) Granger cause the UK stock market Return. Moreover, the ARDL ‎specification show a stable long run effect of all considered macroeconomic factors on the ‎UK stock price. Precisely, the results of the ECM show that all considered macroeconomic ‎factors drives UK stock price toward long-run equilibrium at a fast speed.‎

Keywords: UK Stock market; Macroeconomic variables; Causality; ECM; Cointegration; ARDL model; ‎F_PSSTest (search for similar items in EconPapers)
JEL-codes: C32 E44 G14 (search for similar items in EconPapers)
Date: 2021-02-23
New Economics Papers: this item is included in nep-cwa, nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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