• The Journal of Asian Finance, Economics and Business
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• v.5 no.3
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• pp.7-17
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• 2018

This paper examines short-run and long-run dynamic relationships between selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period for which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of vector error correction model (VECM) estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, exchange rate is positively related to stock prices while the industrial production index and inflation are negatively related to stock prices in the short-run. Furthermore, the VECM estimates indicate that the external shock, such as regional and global financial crisis shocks, neither affects changes in the endogenous variables nor causes instability in the cointegrating vector. This study finds that the endogenous variables are determined by their own dynamics in the model.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.3
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• pp.181-193
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• 2022

This paper seeks to investigate major macroeconomic factors and bond yield interactions in Thai bond markets, with the goal of forecasting future bond yields. This study examines the best predictive yields for future bond yields at different maturities of 1-, 3-, 5-, 7-, and 10-years using time series data of economic indicators covering the period from 1998 to 2020. The empirical findings support the hypothesis that macroeconomic factors influence bond yield fluctuations. In terms of forecasting future bond yields, static predictions reveal that in most cases, the BVAR model offers the best predictivity of bond rates at various maturities. Furthermore, the BVAR model has the best performance in dynamic rolling-window, forecasting bond yields with various maturities for 2-, 4-, and 8-quarters. The findings of this study imply that the BVAR model forecasts future yields more accurately and consistently than other competitive models. Our research could help policymakers and investors predict bond yield changes, which could be important in macroeconomic policy development.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.181-190
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• 2021

This paper empirically examines the asymmetric response of the Indonesian Islamic stock market to macroeconomic variables encompassing money supply, domestic output, exchange rate, and Federal Reserve rate. Our study employs the Jakarta Islamic Index (JII) after the financial crisis in the Southeast Asian country using monthly data from January 2000 to December 2019. Non-linear Autoregressive Distributed lag (NARDL) is applied. Our study considers two models consisting of the model without the Federal Reserve rate and the model with it. Our findings confirm the long-run link between Jakarta Islamic Index and macroeconomic factors being studied. Furthermore, the Jakarta Islamic Index asymmetrically responds to broad money supply and exchange rate, but not to domestic output and Federal Reserve rate. A reduction in the money supply has a worse effect on Islamic stock prices as compared to an increase in the money supply. The Jakarta Islamic Index responds differently to depreciation and appreciation. The transmission of the exchange rate to Islamic stock prices occurs only for appreciation. Our study finds an absence of transmission mechanism from the domestic output and the interest rate to Islamic stock prices. Our results imply that the easy money policy and stabilizing currency are key to supporting Indonesian Islamic stock prices.

• SUVANNABHUMI
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• v.15 no.2
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• pp.215-244
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• 2023

This study analyzes the effect of macroeconomic indicators such as foreign direct investment (FDI), domestic investment, trade, inflation, unemployment, population, and governance indicators on economic growth and points out the GDP growth rate in 2002- 2019 among ASEAN countries. Data were compiled from the Worldwide Governance Indicators (WGI) and the World Bank, and the effect of variables on GDP was predicted using the pooled ordinary least squares (POLS), fixed effects model (FEM), and random effects model (REM) methods. As a measure of growth, the GDP growth rate has been taken; FDI and domestic investment, trade, inflation, and governance indicators are positively connected and have an influence on economic growth in these ASEAN countries; domestic investment, population, and unemployment have a negative relationship to economic growth. The macroeconomic indicators and institutional stability of the nation have an effect on its economic growth. Comprehensive institutional stability and well-laid macroeconomic policies are required for growth to materialize.

• Land and Housing Review
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• v.12 no.4
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• pp.41-59
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• 2021

This study reviews theoretical considerations and past studies about real estate prices, macroeconomic variables, and real estate policies. Monthly data from January 2003 to June 2021 are used, and a VEC model, the most widely used multivariate time series analysis method, is employed for analysis. Through the model, the effects of macroeconomic variables and real estate regulatory policies on real estate prices in Seoul are analyzed. Findings are summarized as follows. First, macroeconomic variables such as money supply and interest rates do not have a significant impact on Seoul's apartment prices. Due to the high demand for housing and insufficient supply, there is a demand for buying a home regardless of macroeconomic booms or recessions. Second, tax and financial regulatory policies have an initial impact on the rise in apartment prices in Seoul, and their influence diminishes over time. Third, anti-speculation zones are expected to decrease apartment prices through the suppression of demand. However, these zones cause a rise in apartment prices. This could be understood as a lock-in effect due to the strengthening of capital gains tax. Fourth, the price ceiling did not decrease apartment prices. These findings propose that, in Seoul, where demand is high and supply is insufficient, the supply of high-quality and sufficient housing should be prioritized over various regulations such as tax regulations, financial regulations, anti-speculation zones, and price caps. Moreover, the findings provide an implication that city-specific real estate policies should be implemented for Seoul rather than regulation-oriented approaches in public policy.

• Journal of Distribution Science
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• v.11 no.7
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• pp.5-13
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• 2013

Purpose - The study explores social well-being of the community of five selected countries of the South Asia: India, Pakistan, Sri Lanka, Nepal and Bangladesh. The study compares effectiveness of macroeconomic policies across the countries through interactive effects of the macroeconomic policy variables with the regional dummy variables. Research design, data, and methodology - Using the data set for the period of 1990-2008, this study employs panel data models, quantile regression methods, and the fixed effects method, which the constant is treated as group or country-specific. The model can also be known as the least-squares dummy variables estimator. Results - The results reveal significant chances of improvement in the well-being of the people while living in India and Pakistan as compared to the other countries of the region where India relatively stands with better chances of providing opportunities to improve the well-being of the people. Conclusions - This study recommends an increasing allocation of budget on education and health in order to enhance social well-being in the South Asian region. Inflation is the main cause of deteriorating well-being of the South Asian community by escalating the cost of living. Comprehensive study is recommended by employing the micro data models in the region.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.8
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• pp.311-324
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• 2021

Investors have increasingly become interested in macroeconomic antecedents in order to better understand the investment environment and estimate the scope of profitable investment in equity markets. This study endeavors to examine the interdependency between the macroeconomic antecedents (international oil price (COP), Domestic gold price (GP), Rupee-dollar exchange rates (ER), Real interest rates (RIR), consumer price indices (CPI)), and the BSE Sensex and Nifty 50 index return. The data is converted into a natural logarithm for keeping it normal as well as for reducing the problem of heteroscedasticity. Monthly time series data from January 1992 to July 2019 is extracted from the Reserve Bank of India database with the application of financial Econometrics. Breusch-Godfrey serial correlation LM test for removal of autocorrelation, Breusch-Pagan-Godfrey test for removal of heteroscedasticity, Cointegration test and VECM test for testing cointegration between macroeconomic factors and market returns,] are employed to fit regression model. The Indian market returns are stable and positive but show intense volatility. When the series is stationary after the first difference, heteroskedasticity and serial correlation are not present. Different forecast accuracy measures point out macroeconomics can forecast future market returns of the Indian stock market. The step-by-step econometric tests show the long-run affiliation among macroeconomic antecedents.

• Journal of Distribution Science
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• v.22 no.6
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• pp.1-10
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• 2024

Purpose: This study's objective is to examine the impact of firm-specific and macroeconomic factors on the business performance of non-cyclical and cyclical sectors in Indonesian listed firms. The evaluation of business performance holds paramount importance for the achievement and long-term viability of a company. Research Design Data and Methodology: The data for 61 non-cyclicals sector companies and 57 cyclicals sector companies was gathered over a 4-year period from 2018-2021. The model integrates firm size, leverage, and sales growth as firm-specific factors, with real GDP growth and inflation rate as macroeconomic variables. ROA and ROE are indicators of a firm's business performance. The regression models are estimated using the distribution of a dynamic approach with Arellano-Bond Panel Generalized Method of Moments (GMM) estimation. Results: The results of the pooled sample indicate that the historical ROA and ROE have a positive relationship with the business performance of all sectors, including both non-cyclical and cyclical industries. The ROE of non-cyclical enterprises is primarily influenced by firm-specific characteristics and macroeconomic influences. Conclusion: To ensure the successful implementation of the distribution of a dynamic approach towards enhancing corporate business performance, organizations need to take into account a combination of firm-specific factors and macroeconomic factors.

• Journal of Distribution Science
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• v.14 no.4
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• pp.33-38
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• 2016

Purpose - This study purposes to analyze the impact of regional economic integration and macroeconomic on Indonesian FDI inflows. Research design, data, and methodology - Data were collected from bilateral relation between Indonesia and 21 home countries whose dominant share FDI to Indonesia from 2005 to 2013. Analysis method was conducted by panel gravity modeI to find the impact of regional economic integration and macroeconomic on Indonesian FDI inflows. Results - The empirical results show that GDP of the home country and Indonesia have a positive impact on Indonesia FDI. Distance and home country real interest rate have a negative impact on Indonesia FDI. Economic integration of European Union (EU) and Indonesia's cooperation with Japan in ASEAN-Japan Comprehensive Economic Partnership (AJCEP) have created impact of investment creation on Indonesia FDI, unfortunately, economic integration of ASEAN has created impact of investment diversion on Indonesian FDI. Conclusions - In order to increase FDI inflow to Indonesia, Indonesia government should improve the physical and social infrastructures to drive the productivity and economic efficiency. It will increase the GDP and also attract more investors. Low interest rate policy should be considered.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.617-626
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• 2021

The study examines the existence of twin deficit in two emerging economies (Turkey and Iran) and also investigates the relation of twin deficit with specific macroeconomic indicators such as the GDP, money supply, foreign direct investment, and the interest rate both in short and long-run periods. The twin-deficit concept refers to a situation where the current account deficit and budget deficits exist in the same corresponding period of an economy. This study employs the Bound Test Autoregressive lag distributed (ARDL) model on time-series quarterly secondary data of Turkey and Iran from 1992 to 2019. The stationarity of variables has been ensured through the Augmented Dickey-Fuller (ADF) test at the level and the first difference. The results reveal the existence of a twin deficit in both the short and long-run periods only in Iran. Its existence could not be observed in the Turkish economy. The findings suggest a positive relationship between twin deficit and GDP, and a negative relationship between twin deficit and FDI and M2. At the same time, the relationship of the twin deficit with interest rate could not be found in the Iranian economy. The findings may be helpful for economic managers of both countries in executing their economic policies.