NEIFAR, MALIKA and Dhouib, Salma and Bouhamed, Jihen and Ben Abdallah, Fatma and Arous, Islem and Ben Braiek, Fatma and Mrabet, Donia (2021): The impact of macroeconomic variables on Stock market in United Kingdom.
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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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | The impact of macroeconomic variables on Stock market in United Kingdom |
| English Title: | The impact of macroeconomic variables on Stock market in United Kingdom |
| Language: | English |
| Keywords: | UK Stock market, Macroeconomic variables, Causality, ECM, Cointegration, ARDL model, F_PSSTest |
| Subjects: | C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading |
| Item ID: | 106246 |
| Depositing User: | Pr Malika NEIFAR |
| Date Deposited: | 25 Feb 2021 07:53 |
| Last Modified: | 25 Feb 2021 07:53 |
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| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/106246 |
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