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 journalArticlepeer-review

    37 Citations (Scopus)


    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 and Economics
    Issue number1
    Publication statusPublished - 2002


    • Macroeconomics
    • Stock markets


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