The impact of national and global macroeconomic factors on emerging stock markets: A multi-statistical analysis of the MINT countries
Adesanmi, Adenike Adebola
Cardiff Metropolitan University
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This research contributes to an ongoing debate in finance on whether stock markets are integrated or segmented. The arbitrage pricing theory (APT) suggests that systematic and unsystematic risks are major determinants of stock market movements which have inspired scholars to examine factors responsible for high volatility in stock price movement. The literature on this subject has focused on investigating the impact of microeconomic and domestic macroeconomic factors on the stock market. However, only a little effort has been made on the potential impact of global macroeconomic factors, especially the implementation of monetary policy, through the Federal funds rate, on the emerging markets. There are many emerging markets in the world, but Mexico, Indonesia, Nigeria and Turkey (MINT) are a group of emerging markets which has been promoted by investment houses as an alternative investment destination to international investors hence why the attention on these countries. The target sample data analysed ranges from 1993 to 2014 and data was retrieved from reliable sources. There have been discrepancies in the results of researchers, due to the nature of the statistical methods employed which has created the need for this study to estimate the statistically significant interaction between stock returns and Federal funds rate, MSCI global equity index, commodity price index, exchange rate, interest rate and industrial production using multi-statistical strategy. Time series data analysis was used to conduct ARDL cointegration, impulse response function, variance decomposition and Granger causality tests to determine the short and long-run relationships between the variables. The Granger causality test shows the direction of causality between variables and all tests are conducted using monthly data. The findings of this research revealed that MINT countries have significant differences in the magnitude and their association with domestic and global macroeconomic factors. The results indicate domestic factors, such as interest rate and exchange rate as the major determinants of stock return movement in Mexico, Indonesia and Turkey. On the other hand, global commodity price index is identified as the primary determinants of stock return movement in Nigeria. Policymakers would benefit from the findings in the preparation of new capital market policies or modification of existing policies in the interest of the MINT stock markets.
PhD Thesis - School of Management
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