Effect Of Macroeconomic Factors Research Articles

Effect of Macroeconomic Factors on Mutual Funds Risk and Return: An Empirical Study from Bangladesh

This study aims to identify the influence of macroeconomic factors on the risk and return of mutual funds in Bangladesh. Monthly closing price data of 27 mutual funds from Bangladesh are collected from December 2015 to December 2022. Additionally, monthly data of 6 macroeconomic variables, i.e., deposit rate, export, import payments, remittance, broad money (M2) and GDP growth rate, are gathered for this study. This study utilized standard deviation and beta as risk measures, and the Sharpe and Treynor ratios are applied as risk-adjusted return (RAR) measures. All the risk and risk-adjusted return measures are computed using 12-months rolling window method. The random effect model of panel data analysis is applied to find the influence of macroeconomic variables on the risk and return of mutual funds. Overall findings indicate that macroeconomic factors significantly influence mutual fund risk exposure. On the other hand, risk-adjusted return (RAR) is also significantly influenced by the macroeconomic variables. This empirical evidence helps practitioners and institutional investors in their decision-making in the situation of market asymmetric. Keywords: Risk-Adjusted Return, Bangladesh, Mutual Fund, Standard Deviation, Beta, Sharpe Ratio, Treynor Ratio

Effect of Macroeconomic Factors on Economic Growth: A Case Study of Bangladesh

Macroeconomic factors strongly influence the economy. It affects countries and businesses equally. The relationship between different macroeconomic factors is an area of widespread study for policymakers and economists. The ultimate purpose of this study is to assess the impact of macroeconomic factors on the economic growth. This research has taken GDP as a substitute variable for the development of the economy as well as endogenous (dependent) variable and FDI, inflation (INF), money supply (M2), public and private domestic investment (DINVEST), and foreign exchange reserve (FExR) as independent variables. Moreover, this study used time series secondary data starting from 2005-06 to 2022-23 for all econometric analysis. On the other side, we utilized the ADF (Augmented Dickey-Fuller) test to study the unit root (stationary property) of data, the Durbin Watson (DW) statistic technique to verify the autocorrelation of variables, the VIF test technique to examine the multicollinearity among independent variables and multiple linear regression to scrutinize the overall effect of macroeconomic factors on growth of the economy. Study findings show that DINVEST and FDI positively affect the growth of the economy. i.e., if macroeconomic variables- DINVEST and FDI are increased by 1 unit, they increase economic growth by 2.96 units and 0.62 units, respectively. However, inflation, money supply, and foreign exchange reserves have a positive effect on economic growth, but it is statistically insignificant. The study implies that economists, researchers, academicians, and policymakers can use the findings of the study for future research and decision-making regarding the effect of macroeconomic factors on economic growth.

The Effect of Macroeconomic Factors on Banking Credit Risk Study on Commercial Banks in Indonesia

Melalui analisis kualitatif, penelitian ini menyelidiki hubungan yang rumit antara variabel makroekonomi dan risiko kredit di bank-bank komersial Indonesia. Dengan bantuan perangkat lunak NVIVO, analisis tematik dari wawancara mendalam dan analisis dokumen mengungkapkan tema-tema tingkat makro yang terkait dengan variabel-variabel ekonomi internasional serta topik-topik spesifik Indonesia terkait dengan lingkungan regulasi dan ekonomi negara. Kesimpulan utama menunjukkan bahwa risiko kredit sangat dipengaruhi oleh perkembangan ekonomi, inflasi, tingkat suku bunga, dan pengangguran, dengan poin-poin kecil yang perlu mendapat perhatian khusus. Muncul sebagai pengaruh yang menstabilkan, sistem regulasi Indonesia mengarahkan prosedur manajemen risiko. Kesulitan ekonomi tertentu, seperti ketergantungan pada komoditas dan ketidakstabilan mata uang, menyoroti perlunya penilaian risiko sektoral. Pentingnya penilaian risiko yang dinamis dan evaluasi peraturan yang sedang berlangsung ditekankan, bersama dengan implikasi untuk prosedur manajemen risiko dan saran-saran untuk pembuat kebijakan. Studi ini menyoroti interaksi antara isu-isu makroekonomi dengan kualitas sistem perbankan Indonesia yang berbeda, dan memberikan wawasan yang signifikan ke dalam area ini.

Effects of Macroeconomic Factors on Indian Stock Market Performance: An Empirical Analysis

Effects of Macroeconomic Factors on Indian Stock Market Performance: An Empirical Analysis

The Effect of Macroeconomic Factors and Profitability on State-Owned Companies' Stock Return: Evidence from Indonesia Stock Exchange

This study examines the effect of inflation, exchange rates, interest rates, earnings per Share (EPS), and return on assets (ROA) on stock returns in State-Owned Companies listed on the Indonesia Stock Exchange (IDX) in 2016-2020. This study is analysed using panel data regression. The independent variables are Inflation, Exchange Rates, Interest Rates, earnings per share (EPS), and Return on Assets (ROA), and stock return is a dependent variable. With 25 companies, the data were collected using purposive sampling and 24 companies were obtained as a sample from 2016 to 2020. The type of data used is secondary data. This study concludes that inflation, exchange, and interest rates significantly impact State-Owned Companies' stock return. Besides that, Earnings per Share and return on assets do not substantially affect State-Owned Companies' stock returns. This study recommends that companies provide financial information that is objective and relevant and can be tested for validity to convince investors to make decisions to invest in the company. Companies need to improve their performance so that investors are interested in investing in the company. Also, when making investment decisions, investors pay attention to macroeconomic factors, profitability, and other factors such as fundamental and market factors. Fundamental factors are factors related to the performance of the issuer company. Meanwhile, market factors are related to the performance of its shares.

Effect of Macroeconomic Factors on the relationship between Asset Liability Management and Profitability of Commercial Banks in Kenya

Effect of Macroeconomic Factors on the relationship between Asset Liability Management and Profitability of Commercial Banks in Kenya

Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method

Based on the variational mode decomposition and quantile model, this article examines the response of BRICS stock prices to shocks of internal and external macroeconomic factors in different market states and over various investment horizons. The results of quantile regression show that the influence of each factor is complex and changeable across countries, market states, and time horizons, thus exhibiting obvious differences. Nevertheless, these coefficients also show a certain degree of similarity. Besides, we find the relationship between stock prices and macroeconomic variables behaved notably differently during the financial crisis in 2008 compared to other periods. Therefore, paying attention to the investment horizon and market state has extraordinary significance for various market participants.

Effect of Gross Domestic Product and Interest Rate Changes on the Financial Performance of Banks in Kenyan: A Case of Co. Bank Limited

The study's primary objective was to determine the effect of macroeconomic variables on bank performance. Numerous studies on the effects of macroeconomic factors on the banking business in Kenya and globally have been undertaken, all with differing findings and conclusions. The purpose of this study was to add to existing information by determining the extent to which macroeconomic variables affect bank performance. The study was guided by the following objectives: To what extent has gross domestic product affected the Co. Bank of Kenya Limited’s performance, extend to which interest rate changes affect the Co. Bank of Kenya Limited’s performance. Liquidity preference theory, efficient market theory, and current portfolio theory were adopted in the study. The study used a descriptive research approach to examine the relationship between the independent variables of gross domestic product and interest rates and the dependent variable of bank performance. The study surveyed a total of 120 respondents from the Cooperative Bank of Kenya limited, including branch managers, credit managers, finance officials, accountants, staff, and consumers. The study drew conclusions about the research issue using both primary and secondary data. The study collected main data via questionnaires and secondary data via data collecting forms. Secondary data was derived from the Co-operative Bank of Kenya's annual financial reports from 2016 through the first quarter of 2022, CBK, Kenya Bureau of statistics, World Bank reports etc. The study first looks at the general information of the respondents in the fourth chapter. This information is presented using pie charts, graphs and tables. The chapter further explores the dependent variable and presents response from respondents on the extent to which independent variables affect dependent variables in for, of graphs, tables. The study also explores each independent variable. It starts with GDP and Interest rates respectively. For every independent variable the researcher used five statements to ascertain the effect of each variable on bank performance. The research also utilizes secondary data to compute trend analysis for each independent variable and to formulate multiple regression equation and regression coefficients. The study wraps up with the limitation of the study. The last part of the study entails a summary of the research findings. The summary provides an illustration of each independent variable and its effect on the dependent variable in line with the findings of the study. The study further looks at overall research conclusions, provides recommendation on what needs to be done to minimize the effects of the independent variables on the dependent variable.

A study on the effect of macroeconomic factors on stock market performance in Malaysia

This study examines the effect of macroeconomic variables on stock market performance in Malaysia from January 2015 to December 2021. The macroeconomic variables included in this study are inflation rate, real effective exchange rate, m2 money supply and short-term interest rate. Johansen Cointegration Test has been utilized if the variables have long-term impact on Malaysian stock market performance; whereas regression analysis will quantify the impact. The results show that the real effective exchange rate has a moderate positive effect on KLCI index. Secondly, the inflation rate and overnight-policy rate have long-term positive effect on the KLCI index. M2 money supply has a long-term negative effect on the KLCI index. This study extends previous studies by examining the effect of macroeconomic variables on stock market performance in emerging market.

DETERMINANTS OF NON-PERFORMING CONSUMER LOANS FOR TURKEY: ARDL BOUNDS TESTING APPROACH

Purpose – the aim of this study is to specify the factors affecting the non-performing consumer loans in deposit banks operating in Turkey. Besides the internal factors specific to banks, the effect of macroeconomic factors is also investigated. Research methodology – monthly data of deposit banks operating in Turkey and data on macroeconomic indicators for the period 2005:1–2021:12 is used is the study. With these data, ARDL bound testing approach is applied. If there is cointegration relation between variables, the long and short run coefficients are estimated. Findings – with the two different models created in the study, it has been specified that macroeconomic variables and internal variables have a cointegration relationship with non-performing loans. The rise in loan interest rates and unemployment rate increase the rate of non-performing consumer loans. Conversely, the increase in deposit interest rates and the dollar exchange rate decreases the rate of non-performing consumer loans. For internal factors, it is determined that the increase in the capital adequacy standard ratio and the return on assets decreases the ratio of non-performing consumer loans. Research limitations – the major limitation of this study is to research only the factors affecting the non-performing consumer loans ratio for Turkey. Practical implications – the results obtained in the study are valuable for bank managers and investors. Administrative decisions and investment decisions by considering the factors affecting the non-performing consumer loans ratio will increase the performance of both groups. Originality/Value – studies in the literature generally consider non-performing loans for banks as a whole. However, determining the factors affecting the non-performing loans ratio on the basis of loan types will make a significant contribution to the literature. For this reason, the factors affecting the non-performing consumer loans for the Turkish market is investigated, thus contributing to the literature.

The Effects of Macroeconomic Factors and Population on Unemployment: Panel Data Analysis on OECD Countries

Çalışmanın amacı, işsizlik boyutları üzerinde makroekonomik faktörlerden enflasyon, kamu büyüklüğü, yatırım, dışa açıklık, işgücü piyasası düzenlemeleri ve demografik faktörlerden nüfusun etkisini araştırmaktır. Çalışmada işsizliğin; toplam işsizlik, genç işsizlik, kadın işsizlik, eğitimli işsizlik ve uzun dönem işsizlik boyutları ele alınmıştır. OECD üyesi ülkelerin 2010-2018 dönemine ait çalışma değişkenleri panel verilerine dayalı panel veri analizi uygulanmıştır. Panel veri analizlerinden biri olan panel regresyon analiziyle çalışmanın amacı gerçekleştirilmeye çalışılmıştır. Panel regresyon analizi sonucunda dışa açıklık, kamu büyüklüğü, yatırım, enflasyon, işgücü piyasası düzenlemeleri ve nüfusun işsizliğin tüm boyutları üzerinde birlikte istatistiksel olarak anlamlı etkisinin olduğu belirlenmiştir.

Effect of Macroeconomic Factors on the Construction Sector Sharia Stock Price Index for the 2019-2021 Period

This study aims to examine the effect of macroeconomics, namely the effect of Exchange Rate, Inflation, BI-7 Day Repo Rate, and Gold Price on the Construction Sector Stock Price Index listed on the Jakarta Islamic Index for the 2019-2021 period during the Covid-19 pandemic. The population used in this study are all those who are included in the building construction sector. The sample in this study is one of the construction companies listed in the Jakarta Islamic Index. The method of analysis in this study uses multiple linear regression analysis. The data collection technique in this research is purposive sampling. Purposive sampling is a technique in determining the research sample by using various considerations or based on the objectives of the researcher. The results of this study indicate that partially and simultaneously Exchange Rate Variable, Inflation, Interest Rate BI-7 Day Repo Rate, and Gold Price have a significant effect on the Construction Sector Stock Price Index. Variables Exchange Rate, Inflation, BI-7 Day Repo Rate, and Gold Price have a significant influence on the dependent variable, namely the Stock Price Index. It can be proven that all independent variables jointly have a significant effect, it can be proven.

Illicit financial flows in Mozambique’s natural resource sector: The effect of macroeconomic factors

The study investigates the illicit financial flows from the natural resource sector in Mozambique with a particular focus on the effect of macroeconomic factors. Relying on quarterly time series data (2008Q1-2019Q4), the study adopted the ARDL estimation procedure and a granger causality test for the purpose of analysis. From the results, it was revealed that real exchange rate and government budget deficit have a significant and positive effect on illicit financial flows from the natural resource sector in the long run. However, the short-run inflation as well as the government budget deficit and external debt were found to influence the movement of illicit financial flows from the natural resource sector in Mozambique. Furthermore, granger causality results revealed a bidirectional effect moving between illicit financial outflows and external debt, and between control of corruption and illicit financial outflows.

The Dynamism of Trade Balance in Ghana

Developing economies have frequently employed macroeconomic factors such as the currency rate, inflation, investment, and so on to manage trade flow; yet, there are often chronic deficits in the balance of trade and payments due to a structural imbalance between the amounts of exports and imports. As most rich countries intentionally used the benefits of international trade to improve their trade balance position, many developing countries signed up for numerous unilateral and multilateral trade policy reforms that provided little to no economic benefit. As a result, this study employs cointegration and an error correction model based on the Autoregressive Distributed Lag (ARDL) framework to analyse and estimate the effect of macroeconomic factors on Ghana's trade balance and how Ghana's trade balance has changed from 2000 to 2018. Quarterly time series data covering a period of 19 years, from 2000 to 2019 was collected on all dependent and independent variables such as exchange rate, inflation rate, interest rate and GDP per capita. The results indicate that exchange rate and interest rate significantly affect trade balance while GDP per capita and inflation insignificantly affect trade balance. The study recommended that the government should put in more measures to stabilise the currency and local manufacturers should be motivated by giving subsidies and tax exceptions.

Determining the Impact of Economic Factors to the Gross Domestic Product in Bangladesh

Gross Domestic Product (GDP) is believed to be an indicator of a country’s economic condition. Bangladesh’s GDP increased at a pace of 8.15% in fiscal 2018-19 as per the base year 2005-06. By the year 2019, Bangladesh has become the seventh fastest-growing economy in the world. This paper used multiple regression analysis model for the macroeconomic factors. The aim of this study is to measure the effects of macroeconomic factors considering GDP as the dependent variables and inflation rate, import, and export are considered as independent. This paper represents that import and export are positively associated factors with GDP whereas inflation rate is a negatively associated factor. This study concluded with revealing the importance of conducting further study by considering more economic variables to measure the economic growth as a whole.

Comparing the Effect of Intangible Assets and Macroeconomic Parameters on the Stock Prices in Firms Listed on the Stock Exchange of Iran, Saudi Arabia and Iraq

Comparing the Effect of Intangible Assets and Macroeconomic Parameters on the Stock Prices in Firms Listed on the Stock Exchange of Iran, Saudi Arabia and Iraq

Impact of Macroeconomic Factors on Underpricing: Case of Indonesia Stock Exchange

The stock market is one of the alternatives chosen by companies to meet their funding needs. The first offering of a company's shares through the stock market to investors is called an Initial Public Offering. At the time of initial public offering, underpricing often occurs when the initial stock price on the primary market is lower than the stock price on the secondary market which will disadvantage the company because the collected funds are not maximum. This research aims to analyze the effect of macroeconomic factors on underpricing in companies conducting IPOs listed on the Indonesia Stock Exchange from 2010 to 2020. Using Regression Linear Analyze we found that macroeconomic variables as Inflation, IDX Composite Index, and GDP significantly affect underpricing on IPO in Indonesia Stock Exchange for 2010 to 2020

The effect of macroeconomic factors on Indian stock market: using the SPSS Method

. Stock market is very versatile in economic system one of the sectors is the stock market economy It plays Investors can invest in their stocks, bonds and debentures One that facilitates floating and selling securities Can also be central. In other words, Stock market consists of various securities and Derivatives without any restrictions can also be a platform for trading. Various companies are public in the available market in situation, the future Investors invest into Businesses through stock market to achieve profit. In India the listed stock exchanges are Bombay Stock Exchange (BSE), National Stock Exchange (NSE) and Calcutta Stock Exchange (CSE) All three are the largest Indian stock market. of income there may be death. Generally, high volatility Increases risk associated with security. In the market for many reasons related to different people the transient rating is significant. Developed markets still offer high returns with low volatility over long periods of time. "The Indian market is very efficiently diverted away from developed countries." This exam will encourage you to know Past, Present of Indian Stock Trading and future areas.

The Effect of Macroeconomic Factors on the Stock Price Index of Developing Countries and Developed Countries in Asia 2001-2020

This study aims to determine whether macroeconomic factors influence stock price indexes in developed countries and developing countries in the Asian region during 2001-2020. Macroeconomic factors are world oil prices, world gold prices, interest rates, exchange rates against the USD, and gross domestic product (GDP). The countries that are the object of research are Indonesia, Japan, China, Hong Kong, and India. This research uses the panel data regression method. Based on the model estimation test, oil prices, gold prices, exchange rates, and GDP positively and significantly affect stock price indices in both developed and developing countries. On the other hand. The interest rate has a negative and significant influence on the stock price index of developing and developed countries.

The Effect of Macroeconomic Factors on Non-Performing Loans: A Time Series Analysis for Turkey

With the 2008 Global Crisis, Non-performing loans (NPLs) has dramatically increased in both developed and developing countries. The excessive and uncontrolled increase in NPLs caused serious deterioration in the banking system. Particularly, in the countries, such as Turkey, where the banking system has a quite significant place in financial system, the deterioration in the banking system affects not only financial markets but also the economy in a negative way. In this research paper, the association between exchange rate, interest rate, total loan volume and production (output), which are macroeconomic variables expressed as external factors in the literature, and NPLs is investigated for 2008:01-2017:12 period in Turkey. Unrestricted error correction model (UECM) and boundary test approach with the scope of ARDL analysis developed by Pesaran et al. (2001) is applied as an analysis method. Based on the analysis results, it is found that these macroeconomic variables and NPLs are cointegrated. Moreover, there is an economical and statistically significant relationship between interest rate and total loan volume and NPLs in both long and short term. In other words, it is determined that if interest rate and total loan volume increases, NPLs also move in the same direction.