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Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR

Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select macroeconomic variables collected from February 1997 to December 2019. In addition to the traditional macroeconomic variables, the study used the new age macroeconomic variables like- economic policy uncertainty index, Crude oil volatility index, Global financial stress index, and SENTIX global index. Using Panel VAR and Granger causality, the study finds that market returns positively influence exchange rates. In contrast, the market tends to react negatively to changes in consumer price inflation and foreign portfolio investment. However, the equity market is susceptible to the economic growth (IIP) of BRICS economies. These macroeconomic indicators exhibit significant influence on the stock markets. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asia-Pacific Financial Markets Springer Journals

Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR

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Publisher
Springer Journals
Copyright
Copyright © The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature 2023. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law.
ISSN
1387-2834
eISSN
1573-6946
DOI
10.1007/s10690-023-09399-7
Publisher site
See Article on Publisher Site

Abstract

This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select macroeconomic variables collected from February 1997 to December 2019. In addition to the traditional macroeconomic variables, the study used the new age macroeconomic variables like- economic policy uncertainty index, Crude oil volatility index, Global financial stress index, and SENTIX global index. Using Panel VAR and Granger causality, the study finds that market returns positively influence exchange rates. In contrast, the market tends to react negatively to changes in consumer price inflation and foreign portfolio investment. However, the equity market is susceptible to the economic growth (IIP) of BRICS economies. These macroeconomic indicators exhibit significant influence on the stock markets.

Journal

Asia-Pacific Financial Markets – Springer Journals

Published: Mar 1, 2023

Keywords: Macroeconomic variables; BRICS stock market; Panel VAR; E60; G11; G15

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