Theoretical and Applied Economics
No. 2 / 2019 (619), Summer
Exploring the nexus between macroeconomic variables and stock market returns in Germany: An ARDL Co-integration approach
University of Tunis El Manar, Tunisia
Amna ZARDOUB
University of Sousse, Tunisia
Abstract. This study examines the interaction between macroeconomic variables and stock return in Germany for the period spam from 1990:Q1 to 2016:Q1. We employing bounds testing procedure proposed by Pesaran et al. (2001) and the Autoregressive distributed lag approach has been applied as yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1). Empirical results reveal that exchange return, the M3 aggregate and the oil return in Germany have positive and no significant impact on stock return. However, the interest rate has a negative and significant impact on stock return. The effect of CPI on stock return is positive and significant. The value of lagged ECM is negative and significant at 10% level of significance. The value of lag ECM is -0.1418 which show the speed of convergent towards equilibrium.
Contents
The education and training. Priorities of the European Union
Posted offers in exogenous networks: A theoretical application and experimental results
The role of Japan in the development of emerging markets in Asia. Key lessons learned for China
Empirical examination of the stability of expectations – Augmented Phillips Curve for developing and developed countries
The causality between economic growth and stock market in developing and developed countries: Toda-Yamamoto approach
Government failure vs. Market failure. The implications of incomplete information
Foreign direct investment and total factor productivity in South Asia
The effects of political and financial risks on foreign direct investments to the MENAT countries
Exploring the nexus between macroeconomic variables and stock market returns in Germany: An ARDL Co-integration approach
Income inequalities and economic convergence in CEE countries
Exchange rate regimes and its impact on growth: An empirical analysis of BRICS countries
Dynamics of business cycle and long-term economic growth of Pakistan
Per capita gross domestic product and welfare of Gabonese households: A VAR model with exogenous hypothesis
Co-integration with regime shift between government expenditure and poverty reduction in Algeria
Trade in a two sector endogenous growth model with two accumulating factors
What discriminates the welfare outcomes of children in India. A multiple discriminant analysis in selected states