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The Dynamic Interaction Between Stock Market Price and Macroeconomic Variables: Evidence from BRICS Countries

发布者:LIU Wei, HUANG Shao-an [发表时间]:2020-05-15 [来源]:济南大学学报(社会科学版)编辑部 [浏览次数]:

Enhanced by globalization of world trade and financial liberalization, the BRICS countries have not only showed a high and steady growth rate of GDP but experienced a tremendous takeoff in stock market capitalization in the last two decades. In this paper, we center on the characteristic of causal nexus among a series of related variables and stock market return contemporaneously in five BRICS countries. We examine the long-term equilibrium between stock market price and other macroeconomic variables, using Johansen’s cointegration test and investigate the short-term causality, by VECM. From the empirical results, we find a long-term relationship between stock market price and macroeconomic variables in each of the five countries. In short term, we find a complicated network of causality between all these variables, however GDP growth rate can act as regulator, which is inclined to converge to its long-run equilibrium path in response to any changes in other variables.


【原文链接】刘伟:《股票市场与宏观经济的动态相关性研究——基于金砖五国的实证分析》发表于《济南大学学报》(社会科学版)2020年第3期