Publicação
Financial market and the macroeconomic variables
| Resumo: | This study aims to examine the effect of the macroeconomic variables on the stock market price index from Germany and Portugal, using the OLS regression model and quarterly data from 2000(Q1) to 2011(Q4). The group of the macroeconomic variables used in this study is composed by GDP, consumer price index, long term domestic interest rate, exchange rate, and by the ratio of government deficit, tax revenue, net lending or borrowing of an economy and gross fixed capital formation, to GDP. In addition to the macroeconomic variables presented, we also consider the Dow Jones Industrial Average price index and the US long term interest rate. Considering all the explanatory variables on the regression model, we found that both stock markets analyzed are positively influenced by Dow Jones return and US long term interest rate change, and negatively affected by the depreciation of the exchange rate. Germany stock return is positively affected by the domestic long run interest rate change. In regards to the Portugal stock return, it is positively influenced by the GDP growth rate and negatively affected by the growth rate of the consumer price index. Concerning the policy implication, to promote a robust stock market, the authorities are expected to manage the domestic interest rate, pursue or sustain the economic growth, the currency appreciation, a low inflation rate and monitor the external factor. |
|---|---|
| Autores principais: | Gomes, Carla Cindy Mendes |
| Assunto: | stock market price index macroeconomic variables GDP long term interest rate exchange rate foreign stock market price index and interest rate OLS índice de preço do mercado das ações variáveis macroeconómicas PIB taxa de juro a longo prazo taxa de câmbio índice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro |
| Ano: | 2013 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1866809106433572864 |
|---|---|
| author | Gomes, Carla Cindy Mendes |
| author_facet | Gomes, Carla Cindy Mendes |
| author_role | author |
| contributor_name_str_mv | Santos, Susana Borges, Maria Rosa Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Gomes, Carla Cindy Mendes\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Santos, Susana Borges, Maria Rosa Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Gomes, Carla Cindy Mendes |
| datacite.date.Accepted.fl_str_mv | 2013-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2013-11-18T12:02:12Z |
| datacite.date.embargoed.fl_str_mv | 2013-11-18T12:02:12Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | stock market price index macroeconomic variables GDP long term interest rate exchange rate foreign stock market price index and interest rate OLS índice de preço do mercado das ações variáveis macroeconómicas PIB taxa de juro a longo prazo taxa de câmbio índice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro |
| datacite.titles.title.fl_str_mv | Financial market and the macroeconomic variables |
| dc.contributor.none.fl_str_mv | Santos, Susana Borges, Maria Rosa Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Gomes, Carla Cindy Mendes |
| dc.date.Accepted.fl_str_mv | 2013-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2013-11-18T12:02:12Z |
| dc.date.embargoed.fl_str_mv | 2013-11-18T12:02:12Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/6143 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Instituto Superior de Economia e Gestão |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | stock market price index macroeconomic variables GDP long term interest rate exchange rate foreign stock market price index and interest rate OLS índice de preço do mercado das ações variáveis macroeconómicas PIB taxa de juro a longo prazo taxa de câmbio índice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro |
| dc.title.fl_str_mv | Financial market and the macroeconomic variables |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | This study aims to examine the effect of the macroeconomic variables on the stock market price index from Germany and Portugal, using the OLS regression model and quarterly data from 2000(Q1) to 2011(Q4). The group of the macroeconomic variables used in this study is composed by GDP, consumer price index, long term domestic interest rate, exchange rate, and by the ratio of government deficit, tax revenue, net lending or borrowing of an economy and gross fixed capital formation, to GDP. In addition to the macroeconomic variables presented, we also consider the Dow Jones Industrial Average price index and the US long term interest rate. Considering all the explanatory variables on the regression model, we found that both stock markets analyzed are positively influenced by Dow Jones return and US long term interest rate change, and negatively affected by the depreciation of the exchange rate. Germany stock return is positively affected by the domestic long run interest rate change. In regards to the Portugal stock return, it is positively influenced by the GDP growth rate and negatively affected by the growth rate of the consumer price index. Concerning the policy implication, to promote a robust stock market, the authorities are expected to manage the domestic interest rate, pursue or sustain the economic growth, the currency appreciation, a low inflation rate and monitor the external factor. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/38509e89-99f3-419a-9d19-fc1efd82b892/download |
| id | ul_7ef8ab5affdfdf973c8ca3352cec0fbc |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/6143 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/6143 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Gomes, Carla Cindy Mendes |
| publishDate | 2013 |
| publisher.none.fl_str_mv | Instituto Superior de Economia e Gestão |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engInstituto Superior de Economia e GestãoporThis study aims to examine the effect of the macroeconomic variables on the stock market price index from Germany and Portugal, using the OLS regression model and quarterly data from 2000(Q1) to 2011(Q4). The group of the macroeconomic variables used in this study is composed by GDP, consumer price index, long term domestic interest rate, exchange rate, and by the ratio of government deficit, tax revenue, net lending or borrowing of an economy and gross fixed capital formation, to GDP. In addition to the macroeconomic variables presented, we also consider the Dow Jones Industrial Average price index and the US long term interest rate. Considering all the explanatory variables on the regression model, we found that both stock markets analyzed are positively influenced by Dow Jones return and US long term interest rate change, and negatively affected by the depreciation of the exchange rate. Germany stock return is positively affected by the domestic long run interest rate change. In regards to the Portugal stock return, it is positively influenced by the GDP growth rate and negatively affected by the growth rate of the consumer price index. Concerning the policy implication, to promote a robust stock market, the authorities are expected to manage the domestic interest rate, pursue or sustain the economic growth, the currency appreciation, a low inflation rate and monitor the external factor.application/pdfporFinancial market and the macroeconomic variablesGomes, Carla Cindy MendesSantos, SusanaBorges, Maria RosaHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.pt2013-11-18T12:02:12Z20132013-01-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/6143http://purl.org/coar/access_right/c_abf2open accessstock market price indexmacroeconomic variablesGDPlong term interest rateexchange rateforeign stock market price index and interest rateOLSíndice de preço do mercado das açõesvariáveis macroeconómicasPIBtaxa de juro a longo prazotaxa de câmbioíndice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro840468 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/38509e89-99f3-419a-9d19-fc1efd82b892/download |
| spellingShingle | Financial market and the macroeconomic variables Gomes, Carla Cindy Mendes stock market price index macroeconomic variables GDP long term interest rate exchange rate foreign stock market price index and interest rate OLS índice de preço do mercado das ações variáveis macroeconómicas PIB taxa de juro a longo prazo taxa de câmbio índice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro |
| status | SINGLETON |
| subject.fl_str_mv | stock market price index macroeconomic variables GDP long term interest rate exchange rate foreign stock market price index and interest rate OLS índice de preço do mercado das ações variáveis macroeconómicas PIB taxa de juro a longo prazo taxa de câmbio índice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro |
| title | Financial market and the macroeconomic variables |
| title_full | Financial market and the macroeconomic variables |
| title_fullStr | Financial market and the macroeconomic variables |
| title_full_unstemmed | Financial market and the macroeconomic variables |
| title_short | Financial market and the macroeconomic variables |
| title_sort | Financial market and the macroeconomic variables |
| topic | stock market price index macroeconomic variables GDP long term interest rate exchange rate foreign stock market price index and interest rate OLS índice de preço do mercado das ações variáveis macroeconómicas PIB taxa de juro a longo prazo taxa de câmbio índice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro |
| topic_facet | stock market price index macroeconomic variables GDP long term interest rate exchange rate foreign stock market price index and interest rate OLS índice de preço do mercado das ações variáveis macroeconómicas PIB taxa de juro a longo prazo taxa de câmbio índice de preço do mercado das ações e taxa de juro a longo prazo estrangeiro |
| url | http://hdl.handle.net/10400.5/6143 |
| visible | 1 |