LONG-RUN AND SHORT-RUN RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND

STOCK PRICES IN PAKISTAN: The Case of Lahore Stock Exchange

Variable : consumer price index, real effective exchange rate, three month treasury bills
rate, industrial production index, money supply (M2), and LSE25 index for the period of
December 2002 to June 2008.
Conclusion : All the series used in this analysis was found non-stationary at levels but
stationary at first difference. Two long-run relationships were found between macro
economic variables and LSE25 Index. In the long-run, inflation had a negative impact on
stock prices while Industrial production index, real affective exchange rate, and Money
supply affected stock returns positively. However, three month Treasury bills rate
showed insignificant positive impact on stock returns in the long-run.
THE RELATIONSHIP BETWEEN STOCK PRICES AND MACROECONOMIC FACTORS IN THE
NIGERIAN STOCK MARKET
Variable : exchange rates, industrial production index, the consumer price index, money
supply, oil prices and treasury bill rateand stok prices quarter closing prices of Nigerian
stock exchange index
Conclusion : The estimation of the vector error correction model was done under two
alternative definitions of money supply: Ml (Narrow Money suppy) and M2 (Broad
money suppy). The results show that a cointegrating relation exists among
macroeconomic variables. The cointegration relationship is consistent with earlier
studies, however the signs of some of the variables are inconsistent with earlier studies.
AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK MARKETS
Variable : This paper investigates the relationship between oil prices and stock market
returns for the G7 and the BRIC countries for the period 1991-2016 using cointegration
and a vector error correction model.
Conclusion : Results reveal Thar there is no long-run relationship between oil prices and
the stock market indices of the G7 countries. However, they also reveal that there is a
long-run relationship between oil prices and the stock market indices of three laut of the
four BRIC countries (Brazil, China and Russia). Furthermore, from an investments’ and
international portofolio management perspective, it seems that there might be benefits
from diversification when holding the stock market index of a G7 country or India and oil
assets since these appear to be segmented. On the other hand, such benefits might not
be applicable in the case of the stock markets of Brazil, China or Russia and oil assets as
these seem to be integrated.
OIL PRICE AND STOCK MARKET: EMPIRICAL EVIDENCE KROM NIGERIA
 Variable : This paper examined the relationship between changes in oil prices and stock
market growth over the period 1981-2011 using vector error correction modeling
approach.
Conclusion : The results show that oil price, exchange rate and stock market
development are cointegrated. The results from Granger Causality test show that there
is unidirectional causality from oil price change to stock market development. Also,
unidirectional causality from stock market to exchange rate was found. The IRFs show
that oil price increases steadily over the long run in response to a positive shock on stock
market growth. However, oil price has a temporary positive impact on stock market
growth. The VDCs show stock market growth to be dependent on oil price change. Also,
oil price is highly dependent on shocks to stock market development.
OIL PRICES AND STOCK MARKETS IN EUROPE: DETECTION OF EXTREME RISK SPILLOVER
Variable : The goal of this paper is to check the existence of Granger causality in risk
between eleven European stock markets and the crude oil market. Analyze daily prices
of major European indices (Belgium: BEL20, France: CAC40, Germany: DAX, Greece: ATH,
Italy: FMIB, Netherlands: AEX, Norway: OSEAX, Poland: WIG20, Spain: IBEX, Sweden:
OMX30, United Kingdom: FTSE250) and Brent oil futures prices, the most important
benchmark for oil prices in Europe.
Conclusion : First of all, we found that there is a bidirectional instantaneous symmetrical
causality in risk between analyzed series. Secondly, we detected the "negativity bias":
investors pay more attention to the negative news. Testing results show that more long-
lived reactions appeared as a result of bad news from the oil market and from the stock
markets.