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

✍ Scribed by S.G.M. Fifield; D.M. Power; C.D. Sinclair

Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 119 KB
Volume: 7
Category: Article
ISSN: 1076-9307
DOI: 10.1002/ijfe.173

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✦ Synopsis

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. Copyright © 2002 John Wiley & Sons, Ltd.

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