Impact of the Macroeconomic Variables on the Stock Market Returns: The Case of Germany and the United Kingdom

Mahedi Masuduzzaman

Impact of the Macroeconomic Variables on the Stock Market Returns: The Case of Germany and the United Kingdom

Mahedi Masuduzzaman * §

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§ Finance Division, Ministry of Finance, Bangladesh

Impact of the Macroeconomic Variables on the Stock Market Returns: The Case of Germany and the United Kingdom

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Abstract

This paper strives to investigate the long-run relationship and the short-run dynamics among macroeconomic fundamentals and the stock returns of Germany and the United Kingdom. Each case was examined individually, by applying Johansen co-integration, error correction model, variance decomposition and impulse response functions, in a system incorporating the variables such as consumer price index (CPI), interest rates, exchange rates, money supply and industrial productions between the period of February 1999 to January 2011. The Johansen cointegration tests indicate that the UK and German stock returns and chosen five macroeconomic variables are cointegrated. The findings also indicate that there are both short and long run causal relationships between stock prices and macroeconomic variables. The results imply the existence of short-term adjustments and long-term dynamics for both the UK and the German stock markets returns and the certain macroeconomic fundamentals. The results of the study also indicate that the variables employed in the VARs explain some of the variation of the stock market indices, while the intensity and the magnitude of the responses are comparable with regard to the UK and the German stock markets.

References

23 Cites in Article

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Mahedi Masuduzzaman. 1970. "Impact of the Macroeconomic Variables on the Stock Market Returns: The Case of Germany and the United Kingdom". Global Journal of Management and Business Research GJMBR Volume 12 (GJMBR Volume 12 Issue 16).

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GJMBR Volume 12 Issue 16

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

Germany Investor Macroeconomic variables Returns Stock markets UK

Classification

JEL Classification C22

E44

G15

Submission ReceivedFebruary 12, 2012
Peer Review Double Blind
Handling Editor
Accepted February 29, 2012
Published March 15, 2012

Version of record

v1.2

Issue date

September 6, 2012

Language

English

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Total Score: 148

Country: Bangladesh

Subject: Global Journal of Management and Business Research

Authors: Mahedi Masuduzzaman (PhD/Dr. count: 0)

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Publish Date: 2012 03, Thu

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