woSerial Topic Methodology Results Conclusion

no
1 Topic: THE the stock price We find that (a) We can conclude
INFLUENCE OF index of Thailand is changes in returns that the Thai
INTERNATIONAL compared with the in Singapore, stock market is
STOCK MARKETS indices of 15 other Malaysia and very much
AND countries based on influenced by
Indonesia before
MACROECONOMIC developed and
the 1997 crisis, and the performance
VARIABLES ON underdeveloped
THE THAI STOCK countries of various changes in of its
MARKET regions. Singapore, the neighboring
Author: Monthly data is Philippines and countries’ stock
CHANCHARAT, S used from January Korea after 1997 markets, but
VALADKHANI, A 1988 to December instantaneously non-regional
HAVIE, C 2004. influenced returns markets exerted
Abstract: The following in the Thai stock an insignificant
In this paper the effect macroeconomic market; effect.
of several stock variables are used: (b) changes in oil
market indices and consumer price prices negatively
macroeconomic index (CPI), the
impacted on it only
variables on the Thai exchange rate (EX),
stock market is the interest rate (on prior to 1997;
examined. money) (MR), (c) volatility
the money supply clustering and a
(M2) and oil price GARCH-M model
(OP). were present only
The effects are before 1997; and
examined using (d) markets outside
GArch-M Model the region had no
immediate impact
on the Thai market.
2 Topic: Do economic The firms relating to The results disclose It is found that
factors influence banking and textile that market return is economic
stock returns? A firm sectors were mainly accounts exposure is higher
and industry level selected for this variation in stock at industry level
analysis study on the basis of returns, however the than firm level
Author: BUTT, Z data availability, inclusion of other stock returns.
REHMAN, K profitability and macroeconomic and Results also
KHAN, A performance on the industry related indicate that stock
Karachi Stock variables has added returns of
Abstract: Exchange. The data additional different firms
The objective of this for the selected explanatory power in behave differently
study is to examine firms and economic describing the stock in similar
the stock returns variables obtained returns variation. economic
variation to specific for the period of 10 conditions that
economic variables by years. GARCH acquaint investors
applying a multi- model used to about the risk
factor model. analyze risk and diversification
returns relationship. opportunity in the
The tests applied on stock market.
 the stock returns of
each firm and on the
data set of the entire
industry to
generalize the
results.
3 Topic: The analysis is Empirical findings The above
Macroeconomic based on stock revealed that findings have
factors and stock portfolios rather exchange rate and significant
returns: Evidence than single stocks. GDP seem to affect implications both
from Taiwan Author: In portfolio returns of all for companies and
SINGH, T construction, four portfolios, while investors. All the
MEHTA, S criteria are used: inflation rate, companies listed
VARSHA, S Market exchange rate, and in the stock index
Abstract: capitalization, money supply were have a sensitivity
This study is an price/earnings ratio having negative of firm returns to
attempt to examine (P/E ratio), PBR relationship with exchange rate
for Taiwan the casual and yield. The returns for portfolios movements
relationship between purpose was to of big and medium between stock
index returns and make a finer point companies. markets and
certain crucial with respect to the exchange rates in
macroeconomic relationship most of the
variable namely between economic countries create
employment rate, growth and stock the perfect
exchange rate, GDP, market especially in conditions for
Inflation and money terms of stock investors in terms
supply. prices. to diversify their
portfolios.
4 Topic: Autoregressive Empirical The overall
Macroeconomic distributed lag findings imply that results indicate
Factors and Stock method is among the that
Returns employed for the considered factors exchange rate
Author: data spanning which are and interest rate
OZLEN, S
from February, exchange rate, are the most
ERGUN, U
Abstract: 2005 to May, interest rate, significant
This research aims 2012. unemployment, factors in the
to identify the consumer price stock price
effects of selected index and current fluctuations of
macroeconomic account deficit, it the companies.
variables on stock has been observed Stock returns of
returns of 45 that the companies in
companies from 11 exchange rate and any industry are
different sectors. interest rate are very sensitive to
highly significant the changes
determinants of the in exchange rate
stock return and interest rate
movements of the
companies from
different sectors.
5 Topic: The Review of All of the Furthermore, various Nevertheless,
Macroeconomic macroeconomic studies on most studies show
Factors and Stock variables are macroeconomics evidence to
Returns classified into four factors and stock support the notion
Author: groups: variables returns have that there is a
TANGJITPROM,N reflecting general employed different relationship
Abstract: economic methodologies based between stock
This paper aims to conditions, on their purposes and returns and
review a number of variables related to interpretations Such macroeconomic
studies on interest rate and as Regression variables from
macroeconomic monetary policy, Model, Volatility both short-term
factors and stock variables Clustering and the and long-term
returns concerning price GARCH-family perspectives.
level, and variables Model and Dynamic However, this
concerning Model and Long- interpretation
international term Relationships needs to be made
activities. with caution, as
most of studies
have shown that
only little
variation in stock
returns can be
explained by those
macroeconomic
variables
6 Topic: Are This paper re- This result has to be We find, in
practitioners, right? examines this issue interpreted with particular, that
On the relative by analyzing a caution though, as an this trend is
importance of sample of more than analysis that allows common to all 20
industrial factors in 4000 stocks quoted for time-varying developed
international stock in 20 developed relative influences countries
returns countries. We find demonstrates the considered and
Author: that on average the rapidly increasing not only to those
ISAKOV, D country effect still impact of industry that are member
SONNEY, F dominates stock effects in recent of the European
Abstract: returns over the times. Monetary Union.
This paper period 1997-2000. We interpret this
investigates the result as evidence
relative influences of of the increasing
industrial and country globalization of
factors in international
international stock equity markets.
returns.
7 Topic: It first documents Empirical results Forecasting this
Macroeconomic that the major trends indicate that the stock-bond
Factors and the in stock-bond major trends in correlation using
Correlation of Stock correlation for G7 stock-bond macroeconomic
and Bond Returns countries follow a correlation are factors also helps
Author: similar reverting determined primarily improve
LINGFENG, L pattern in the past by uncertainty about investors’ asset
 Abstract: forty years. Next, an expected inflation. allocation
This paper examines asset pricing model Unexpected inflation decisions. One
the correlation is employed to show and the real interest implication of this
between stock and that the correlation rate are significant to link between
bond returns of stock and bond a lesser degree trends in stock-
returns can be bond correlation
explained by their and inflation risk
common exposure is the Murphy’s
to macroeconomic Law of
factors. The link Diversification
between the stock-
bond correlation
and macroeconomic
factors is examined
using three
successively more
realistic
formulations of
asset return
dynamics.
8 Topic: The data used in The results of the GDP has a
Macroeconomic this research is analysis found that positive
Factors and Stock secondary data from the rate of return of relationship with
Returns in APT The Indonesian each stock varies. stock returns,
Framework Capital Market The difference inflation has a
Directory (ICMD) between the returns negative
Author: and the Central of these varied due to correlation with
AMTIRAN, P Bureau of Statistics the share price of stock returns,
INDIASTUTI, R from 2007 to 2014. each company have interest rates have
NIDAR, S The sampling differences and a positive
MASYITA, D technique used characteristics of relationship with
Abstract: purposive sampling each company. The stock returns,
This study was and the total sample results of this study exchange rates
conducted to see the of this research are indicate that not all had a positive
effect of the 80 companies listed the results together relationship with
relationship between in The Indonesian with previous studies stock returns.
macroeconomic Stock Exchange and macroeconomic Market conditions
factors, economic (BEI). The analysis factors are used as an in Indonesia is
growth, inflation rate technique used is indicator of research. strongly
and the exchange rate ordinary least This is because the influenced by
on stock returns in the square regression - data used and the macroeconomic
Indonesian capital OLS time and place of factors, especially
market approach research and with regard to
Arbitrage Pricing different methods so interest rates and
Theory (APT). that the results were exchange rates.
different Investors will
invest in a country
if that country
stable
macroeconomic
conditions. Model
 APT one factor is
valid more than
multi-factor APT.
9 Topic: The long-term The results show that All the variables
relationship the cointegrating were significantly
Time Series Analysis between relationship exists associated to stock
of the Relationship macroeconomic between stock prices market returns
between variables and stock and the except inflation.
Macroeconomic market returns has macroeconomic The investors can
Factors and the Stock been analyzed by variables in Pakistani use the GARCH
Market Returns in using Johnson stock market. The results for
Pakistan Cointegration test, GARCH model investment
Augmented Dicky showed the decisions that is
Author: Fuller (ADF) and significant the returns are
ALAM, Z Phillip Perron (PP) relationships after volatile not only
RASHID, K tests. The mitigating the due to any
Abstract: Autoregressive heteroskedasticity. happening today
Abstract: The purpose Conditional The consumer price but also on the
of this research is to heteroskedasticity index (CPI), money past. The findings
investigate the Lagrange Multiplier supply (MS), suggest that in the
relationship between (ARCH LM) test exchange rates (ER) long run, the
Karachi stock market provided prudent and interest rates Pakistani stock
100 index and evidence about the (IR) proved to be market is reactive
macroeconomic presence of negatively associated to macroeconomic
variables, i.e., heteroskedasticity in with the stock indicators.
inflation, industrial the data. The returns (SR), while
production, money Generalized industrial production
supply, exchange rate Autoregressive index (IPI) was
and interest rate Conditional found to be
heteroskedasticity positively associated
(GARCH) model with the stock
was used to find out returns.
the relationship
between stock
returns and the
variance of the
squared error terms
as there was
heteroskedastic
trend in the data.
10 Topic: AN This paper finds The results of this This paper finds
EMPIRICAL that the market paper suggest that a that the S&P
ANALYSIS OF returns represented multiindex CAPM market index
MARKET AND by the S&P 500 using selected returns and
INDUSTRY index and economic and Department of
FACTORS IN Department of industry variables Defense
STOCK RETURNS Defense provides additional expenditures are
OF U.S. expenditures are power in explaining both significantly
AEROSPACE significantly the variability of U.S. positively related
INDUSTRY positively related to aerospace stock to aerospace
aerospace stock returns over a single stock returns, but
Author:
returns. The index model using the other
Sung C. Bae
regression results the market index variables have
Gregory J. Duvall
on other variables alone. insignificant
Abstract: The
are mixed; in influence on
purpose of this study
is to develop a multi- particular, aircraft aerospace stock
index model for U.S. shipments are returns. This
firms operating in the positively related to evidence is
military aerospace aerospace stock further confirmed
industry returns, but the by the results
relations are not from additional
significant. regression
Additional analysis. Of
regression analysis particular interest
of employing is the finding that
unanticipated the monthly
changes in volume of aircraft
independent shipments is, as
variables provides expected,
confirmatory positively related
evidence. to stock returns,
but the
relationship is not
statistically
significant in any
aerospace
company model