Macroeconomic factors and share returns: an analysis using emerging market data

S. G. M. Fifield, D. M. Power, C. D. Sinclair

    Research output: Contribution to journalArticle

    31 Citations (Scopus)

    Abstract

    This paper investigates the extent to which global and local economic factors explain returns in emerging stock markets (ESMs). The economic factors are determined using principal components analysis. The results suggest that the local economic variables included in this study can be summarized by GDP, inflation, money and interest rates, while the selected global variables can be sufficiently characterized by world industrial production and world inflation. These components are then used as inputs into a regression analysis in order to explain the index returns of 13 ESMs over the period 1987–96. The analysis indicates that while world factors are significant in explaining ESM returns, local factors may also play a crucial role.
    Original languageEnglish
    Pages (from-to)51-62
    Number of pages12
    JournalInternational Journal of Finance & Economics
    Volume7
    Issue number1
    DOIs
    Publication statusPublished - 2002

    Fingerprint

    Market data
    Macroeconomic factors
    Emerging stock markets
    Emerging markets
    Factors
    Economic factors
    Inflation
    Principal component analysis
    Economic variables
    Interest rates
    Stock market returns
    Regression analysis
    Industrial production

    Keywords

    • Macroeconomics
    • Stock markets

    Cite this

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    title = "Macroeconomic factors and share returns: an analysis using emerging market data",
    abstract = "This paper investigates the extent to which global and local economic factors explain returns in emerging stock markets (ESMs). The economic factors are determined using principal components analysis. The results suggest that the local economic variables included in this study can be summarized by GDP, inflation, money and interest rates, while the selected global variables can be sufficiently characterized by world industrial production and world inflation. These components are then used as inputs into a regression analysis in order to explain the index returns of 13 ESMs over the period 1987–96. The analysis indicates that while world factors are significant in explaining ESM returns, local factors may also play a crucial role.",
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    Macroeconomic factors and share returns: an analysis using emerging market data. / Fifield, S. G. M.; Power, D. M.; Sinclair, C. D.

    In: International Journal of Finance & Economics, Vol. 7, No. 1, 2002, p. 51-62.

    Research output: Contribution to journalArticle

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