Munich Personal RePEc Archive

The impact of macroeconomic variables on Stock ‎market in United Kingdom

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.

[thumbnail of MPRA_paper_106246.pdf]

Download (1MB) | Preview


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.‎

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.