THE EFFECT OF MACRO-ECONOMIC INDICATORS ON STOCK PRICES: HETEROGENEOUS PANEL DATA ANALYSIS

Yıl 2024, Sayı: 45, 199 - 212, 31.10.2024

Zeynep Kalaycıoğlu

https://doi.org/10.18092/ulikidince.1518324

Öz

This study investigates the effects of countries' main macroeconomic indicators on stock prices. Although many studies have been conducted on the effects of macroeconomic indicators on stock prices, the results of these studies do not overlap with each other. For this reason, a heterogeneous panel data model was created to determine the effect of the main macroeconomic indicators, which exchange rates, interest rates, inflation, and economic growth in 27 countries, on stock prices over the 22-year period between 2000 and 2021 and was analyzed with the help of the Extended Average Group Estimator (AMG). Although the results of the analysis differ in units, they show that economic growth has a positive and significant effect on stock prices across the entire panel. Other variables had no significant effect on the entire panel. The fact that the analysis results differ on the basis of all panels and units reveals the importance of country-specific factors.

Anahtar Kelimeler

Stock Prices, Macro Economic Indicators, Heterogeneous Panel Data Analysis

Proje Numarası

-

MAKRO-EKONOMİK GÖSTERGELERİN HİSSE SENEDİ FİYATLARI ÜZERİNDEKİ ETKİSİ: HETEROJEN PANEL VERİ ANALİZİ

Öz

Bu çalışma, ülkelerin temel makroekonomik göstergelerinin hisse senedi fiyatları üzerindeki etkilerini incelemektedir. Makroekonomik göstergelerin hisse senedi fiyatları üzerindeki etkileri üzerine birçok çalışma yapılmış olmasına rağmen, bu çalışmaların sonuçları birbiriyle örtüşmemektedir. Bu nedenle, 27 ülkedeki temel makroekonomik göstergeler olan döviz kurları, faiz oranları, enflasyon ve ekonomik büyümenin, 2000-2021 yılları arasındaki 22 yıllık dönemde, hisse senedi fiyatları üzerindeki etkisini belirlemek amacıyla heterojen panel veri modeli oluşturulmuş ve Genişletilmiş Ortalama Grup Tahmincisi (AMG) yardımı ile analiz edilmiştir. Analiz sonuçları, birim bazında farklılık gösterse de, panelin tamamı ekonomik büyümenin hisse senedi fiyatları üzerinde pozitif ve anlamlı bir etkiye sahip olduğunu göstermektedir. Diğer değişkenlerin panelin tamamı üzerinde anlamlı bir etkisi yoktur. Analiz sonuçlarının tüm panel ve birimler bazında farklılık göstermesi ülkeye özgü faktörlerin önemini ortaya koymaktadır.

Anahtar Kelimeler

Hisse Senedi Fiyatları, Makro-Ekonomik Göstergeler, Heterojen Panel Veri Analizi

Destekleyen Kurum

-

Proje Numarası

-

Teşekkür

Araştırma süreci boyunca sürekli destek ve geri bildirimleri için Prof. Dr. Ahmet KURTARAN’a minnettarım.

Kaynakça

• Abed, R. E. and Zardoub, A. (2019). Exploring The Nexus Between Macroeconomic Variables and Stock Market Returns in Germany: An ARDL Co-Integration Approach. Theoretical and Applied Economics, XXVI, 2(619), 139-148.
• Ajayi, R. A. and Mougoue, M. (1996). On the Dynamic Relation Between Stock Prices and Exchange Rates. The Journal of Financial Research, XIX (2), 193-207.
• Akyol, H. (2021). Examination of the Relationship Between International Real Flows, Exchange Rates and Turkısh Banking Sector Returns. Global Journal of Economics and Business Studies, 10(19), 23-35.
• Alam, M. and Uddin, G. S. (2009). Relationship Between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4(3), 43-51.
• Algarini, A. (2020). Impact of GDP, Foreign Direct Investment, Inflation Rate and Interest Rate on Stock Market Values in Saudi Arabia. International Journal of Social Science and Economic Research, 5(7), 1667- 1678.
• Ali, M. (2021). Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh. BILTURK, The Journal of Economics and Related Studies, 3(2), 66-86.
• Amarasinghe, A. (2015). Dynamic Relationship Between Interest Rate and Stock Price: Empirical Evidence from Colombo Stock Exchange. International Journal of Business and Social Science, 6(4), 92-97.
• Anari, A. and Kolari, J. (2001). Stock Prices and Inflation. The Journal of Financial Research, XXIV (4), 587-602.
• Assefa, T. A., Esqueda, O. A. and Mollick, A. V. (2017). Stock Returns and Interest Rates Around the World: A Panel Data Approach. Journal of Economics and Business, 89, 20-35.
• Bae, S. C. (1990). Interest Rate Changes and Common Stock Returns of Financial Institutions: Revisited. The Journal of Financial Research, XIII (1), 71-79.
• Balduzzi, P. (1995). Stock Returns, Inflation and the “Proxy Hypothesis”: A New Look at the Data. Economics Letters, 48, 47-53.
• Barro, R. J. (1990). The Stock Market and Investment. The Review of Financial Studies, 3(1), 115-131.
• Bozkurt, Y. and Kaderli, Y. (2024). The Effect of Inflation on The BIST100 Index: A Rals-Eg Cointegration Test Approach. Politics, Economics and Administrative Ahi Evran University, 8(1), 15-28.
• Carmichael, J. and Stebbing, P. W. (1983). Fisher’s Paradox and the Theory of Interest. American Economic Review, 73(4), 619-630.
• Cohn, R. A. and Lessard, D. R., (1981). Are Markets Efficient? Tests of Alternative Hypotheses. The Effect of İnflation on Stock Prices: International Evidence. The Journal of Finance, XXXVI (2), 277-289.
• Coşkuner, M. and Özer, A. (2024). The Effect of Exchange Rate and Inflation on Stock Returns. Journal of Balıkesir Universtiy Faculty of Economics and Administrative Sciences, 5(1), 15-24.
• Dao, H. T., Vu, L. H., Pham, T. L. and Nguyen, K. T. (2022). Macro-Economic Factors Affecting the Vietnam Stock Price Index: An Application of the ARDL Model. Journal of Asian Finance, Economics and Business, 9(5), 285-294.
• Eberhardt, M. and Bond, S. (2009). Cross-Section Dependence in Nonstationary Panel Models: A Noel Estimator. Munich Personal RePec Archive WP 17870.
• Eberhardt, M. and Teal, F. (2010). Mangos in The Tundra? Spatial Heterogeneity in Agricultural Productivity Analysis. Centre for The Study of African Economies, University of Oxford WP.
• Fadila, A. and Rachmawati (2024). Dynamics of Idxenergy Stock Returns: A Comprehensive Analysis of GDP, Exchange Rates, DJIA Index and Oil Prices. Formasa Journal of Sustainable Research, 3(2), 213-230.
• Fama, E. F. (1975). Short-Term Interest Rates as Predictors of Inflation. The American Economic Review, 65(3), 269-282.
• Fama, E. F. (1981). Stock Return, Real Activity, Inflation and Money. The American Economic Review, 71(4), 545-565.
• Fısher, I. (1930). The Theory of Interest: As Determined By Impatience to Spend Income and Opportunity to Invest It, USA: Kelley Publishing.
• Franck, P. and Young, A. (1972). Stock Price Reaction of Multinational Firms to Exchange Realignments. Financial Management, 1(3), 66-73.
• Gengenbach, C., Urbain, J. P. and Westerlund, J. (2016). Error Correction Testing in Panels with Common Sthocastic Trends. Journal of Applied Econometrics, 31, 982-1004.
• Gibson, W. E., (1970). Price-Expectations Effects on Interest Rates. The Journal of Finance, 25(1), 19-34.
• Güler, H. and Haykır, Ö. (2023). The Effect of Budget Deficits on BIST-100 Index in Turkey. Journal of Çukurova University Social Sciences Institute, 32(3), 65-77.
• Güngör, B. and Polat, A. (2020). The Effect of Conventional Investment Instruments on the Share Prices: A Comparative Analysis Based on BIST’s Sectors. Journal of Bingöl University Faculty of Economics and Administrative Sciences, 4(1), 79-105.
• Hardouvelis, G. A. (1987). Macroeconomic Information and Stock Prices. Journal of Economics and Business, 39(2), 131-140.
• Hashmi, S. M. and Chang, B. H. (2023). Asymmetric Effect of Macroeconomic Variables on The Emerging Stock Indices: A Quantile ARDL Approach. International Journal of Finance&Economics, 28(1), 1006-1024.
• Humple, A. and McMillan, D. G. (2020). Macroeconomic Variables and Long-Term Stock Market Performance. A Panel ARDL Cointegration Approach for G7 Countries. Cogent Economics&Finance, 8: 1816257, 1-7.
• Ibrahim, M. (2002). Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis. Journal of The East Asian Economic Association, 13(2), 219-231.
• Igoni, S., Orlu, L. and Ezirim, U. (2020). Symbiotic Disclosure of Real Sector and Financial Sector: Evidence in Nigerian GDP and Stock Market Capitalization. Asian Journal of Economics, Finance and Management, 2(1), 86-95.
• Ikeobi, N. R. (2024). Impact of Inflation on Stock Prices in the Nigerian Capital Market. Journal of Family Business & Management Studies, 1-16.
• Javangwe, K. Z. and Takawira, O. (2022). Exchange Rate Movement and Stock Market Performance: An Application of The ARDL Model. Cogent Economics&Finance, 10: 2075520, 1-20.
• Jorion, P. (1990). The Exchange-Rate Exposure of U.S. Multinationals. The Journal of Business, 63(3), 331-345.
• Kadim, H. S. and Al-Bakri, J. K. (2024). The Impact of Inflation on Stock Returns for a Selected Sample of Companies in the Iraq Stock Exchange for the Period (2007-2022). International Journal of Religon, 5(10), 297-305.
• Karaçayır, E. (2024). The Relationship Between Foreign Exchange Risk and Financial Performance in Firms Registered to Stock Exchange Istanbul Informatics Index. Dogus University Journal, 25(1), 183-194.
• Karagöz, K. (2024). The Impact of Interest and Inflation Rates on Stock Returns: Quantile Regression Analysis for Turkey. İnönü Univesity International Journal of Social Sciences, 13(1), 227-244.
• Kazak, H. (2023). An Empirical Analysis of the Effect of Central Bank Policy Interest Decisions on Equity and Exchange Rate: Evidence from Türkiye. International Journal of Economic and Administrative Studies, 41, 50-63.
• Kengatharan, L. and Suganya, J. (2021). Macroeconomic Variables and Stock Market Performance in Sri Lanka: An ARDL Bound Testing Approach. South Asian Journal of Business Insight, 1(2), 43-58.
• Keswani, S. (2024). Relationship Among Macroeconomic Factors and Stock Prices: Cointegration Approach from the Indian Stock Market. Cogent Economics&Finance, 12(1), 1-20.
• Khan, I., Mir, F. N. and Jaber, K. H. (2017). Oil Prices, Macroeconomic Forces and Stock Returns: Evidence from an ARDL Bound Testing Approach. International Journal of Business and Society, 18(S3), 603-616.
• Li, W., Chien, F., Kamran, H. W., Aldeehani, T. M. and Sadiq, M. (2022). The Nexus Between COVID-19 Fear and Stock Market Volatility. Economic Research, 35(1), 1765-1785.
• Moradi, M., Appolloni, A., Zimon, G., Tarighi, H. and Kamali, M. (2021). Macroeconomic Factors and Stock Price Crash Risk: Do Managers Withhold Bad News in the Crisis-Ridden Iran Market? Sustainability, 13(7), 1-16.
• Neifar, M. (2022). Suisse Stock Return, Macro Factors and Efficient Market Hypothesis: Evidence from ARDL Model. Research in Business and Management, ISSN 2330-8362, 9(1), 21-42.
• Özdemir, A. K., Altuntaş, T. S. and Bozbağ, B. M. (2023). Are Stock Returns a Good Hedge Against Inflation in the Long Run? Ekev Academy Journal, 94, 1-16.
• Özkul, G. and Kasım, M. (2021). The Effect of Macroeconomic Factors on the Stock Market Development in Asia-Pacific Countries. Fiscaeconomia, 5(1), 195-218.
• Pearce, D. K. and Roley, V. V. (1983). The Reaction of Stock to Unanticipated Changes in Money: A Note. The Journal of Finance, XXXVIII (4), 1323-1333.
• Perdana, M. A. A. and Setyadharma, A. (2022). Determinants of GDP Growth in Asean-5 Using Panel Method. Ecoplan, 5(1), 64-71.
• Ritter, J. R. (2005). Economic Growth and Equity Returns. Pacific-Basin Finance Journal, 13, 489-503.
• Sanusi, K. A. and Kapingura, F. M. (2022). On The Relationship Between Oil Price, Exchange Rate and Stock Market Performance in South Africa: Further Evidence from Time-Varying and Regime Switching Approaches. Cogent Economics&Finance, 10: 2106629, 1-18.
• Sathyanarayana, S. and Gargesa, S. (2018). An Analytical Study of the Effect of Inflation on Stock Market Returns. IRA-International Journal of Management&Social Sciences, 13(2), 48-64.
• Setiawan, S. A. (2020). Does Macroeconomic Condition Matter for Stock Market? Evidence of Indonesia Stock Market Performance for 21 Years. The Endonesian Journal of Development Planning, 4(1), 27-39.
• Sindhu, M. I., Bukhari, S. M. H. and Hussain, A. (2014). Macroeconomic Factors Do Influencing Stock Price: A Case Study on Karachi Stock Exchange. Journal of Economics and Sustainable Development, 5(7), 114-125.
• Smithers, A. (2009). Wall Street Revalued: Imperfect Markets and Inept Central Bankers. Wiley, Chapter 2, 15-23.
• Sönmez, S. Ö. and Noyan, E. (2022). The Stock Returns, Inflation and Growth Relationships in Turkey: Wavelet Coherence Analysis. Journal of Finance, 183, 49-68.
• Suriani, S., Kumar, M. D., Jamil, F. and Muneer, S. (2015). Impact of Exchange Rate on Stock Market. International Journal of Economics and Financial Issues, 5, 385-388.
• Temel, F. and Güneş, H. (2024). The Effect of FED Interest Rate Decisions on Stocks: S&P 500 Financials Analysis. Journal of Abant Social Sciences, 24(1), 1-17.
• Tiwari, A. K., Adewuyi, A. O., Awodumi, O. B. and Roubaud, D. (2020). Relationship Between Stock Returns and Inflation: New Evidence from the US Using Wavelet and Causality Methods. International Journal Finance Economy, 28, 1-26.
• Toni, N. and Simorangkir, E. N. (2022). Analysis of the Effect of Exchange Rate, Interest Rate, Inflation and GDP Growth on Property and Real Estate Stock Price Index Listed on Idx in 2011-2019. International Journal of Business, Economics and Law, 26(2), 33-39.
• Topcu, M. (2023). Determinants of Stock Returns: An Analysis of the BIST Banking Sector. Journal of the Human and Social Science Researches, 12(3), 1659-1684.
• Tripathi, V. and Kumar, A. (2015). Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach. Journal of Commerce&Accounting Research, 4(2)
• Ünal, S. (2024). The Impact of Interest Rate Cuts on Stock Market: The Case of Borsa Istanbul from 2021 to 2023. Ufuk University Social Sciences Institute Journal, 13(25), 6-19.
• Varlık, C. (2023). Determinants of Equity Price Booms in the Turkish Economy. Journal of Economics and Management Research, 12, 133-146.
• Waiker, V. and Chavhan, S. (2022). Impact of Macroeconomic Variables on Stock Market Volatility: A Conceptual Revıew. The Seybold Report, 17(9), 1323-1331
• Wong, H. T. (2022). The Impact of Real Exchange Rates on Real Stock Prices. Journal of Economics, Finance and Administrative Science, 27(54), 262-276.
• Yener, E. (2023). Analysis of Earning Per Share in Capital Structure Decisions and Effects of Interest Rate Changes on Analysis. Journal of Çankırı Karatekin University Social Sciences Institute, 14(1), 23-38.
• Yüzbaşıoğlu, N. (2024). The Impact of Oil Price and Exchange Rate Changes on Stock Prices: The Case of Mexico and Brazil. Kastamonu University Journal of Faculty of Economics and Administrative Sciences, 26(1), 167-183.