Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices

Fallstudie , 2017 , 118 Seiten

BWL - Investition und Finanzierung

The purpose of this study is to analyse the changes in macroeconomic variables and evaluate the impact on a company’s stock prices, by examining the impact of changes macroeconomic variables, determining which macro-economic variables that have the least and most impact on stock prices and also suggest ways in which the impact on the macroeconomic variables on stock prices can be hedged against using agricultural futures, metal futures or a risk-free asset.

The study will use five econometric models to test this impact, these include the Granger Causality test, Johansen Co-Integration test, Vector Error Model, Walt Test statistic, Multiple Regression Model. A review of a number of academic literature by notable analysis for both developed and developing markets will be provided. The FTSE share price index will be used in the study to represent the developed markets and the JSE share price index will be used in the study to represent the developing markets.

Table of Contents

• CHAPTER ONE-INTRODUCTION
• 1.0 BACKGROUND AND INTRODUCTION
• 1.1 AIMS AND OBJECTIVES
• 1.2 SCOPE AND METHODOLOGY
• 1.3 FINDINGS
• CHAPTER TWO- LITERATURE REVIEW
• 2.0 INTRODUCTION
• 2.1 MACROECONOMIC VARIABLES AND STOCK PRICES
• 2.2 MACROECONOMIC VARIABLES AND STOCK PRICES IN DEVELOPING MARKETS
• 2.3 MACROECONOMIC VARIABLES AND STOCK PRICES IN DEVELOPED MARKETS
• 2.4 HEDGING STRATEGIES FOR MOVEMENTS IN MACROECONOMIC VARIABLES
• CHAPTER THREE-DATA AND METHODOLOGY
• 3.0 INTRODUCTION
• 3.1 STRUCTURE
• 3.2 DATA
• 3.3 MAIN HYPOTHESIS
• 3.4 STATISTICAL TESTS
• 3.5 LIMITATIONS
• CHAPTER FOUR-EMPIRICAL RESULTS AND ANALYSIS
• 4.0 INTRODUCTION
• 4.1 IMPACT OF CHANGES IN MACROECONOMICS IN DEVELOPED MARKET
• 4.11 NORMALITY TESTS
• 4.12 CORRELATION
• 4.13 UNIT ROOT TEST
• 4.14 GRANGER CASUALTY
• 4.15 JOHANSEN CO-INTEGRATION TEST
• 4.16 VECTOR ERROR CORRECTION MODEL
• 4.17 WALD TEST STATISTIC-TESTING SHORT RUN
• 4.18 MULTIPLE REGRESSION MODEL
• 4.19 IMPACT OF CHANGES IN MACROECONOMIC VARIABLES IN DEVELOPING MARKETS
• 4.20 NORMALITY TEST
• 4.21 CORRELATION
• 4.22 UNIT ROOT
• 4.23 GRANGER CASUALTY TEST
• 4.24 JOHANSEN CO-INTEGRATION TEST
• 4.25 VECTOR ERROR CORRECTION MODEL
• 4.26 WALD TEST FOR SHOT RUN EFFECT
• 4.27 MULTIPLE REGRESSION MODEL
• CHAPTER 5-HEDGING STRATEGY IN DEVELOPING AND DEVELOPED MARKETS
• 5.0 INTRODUCTION
• 5.1 DIVERSIFICATION WITH A RISK FREE ASSET
• 5.2 DIVERSIFICATION USING GOLD FUTURES
• 5.3 DIVERSIFICATION WITH AGRICULTURE FUTURES (LONDON WHEAT FUTURES)

Objectives and Key Themes

This study aims to examine the impact of changes in macroeconomic variables on stock prices, specifically investigating the FTSE and JSE indices. The research seeks to determine which macroeconomic variables have the most and least impact on stock prices and explore strategies to mitigate potential risks.

• Impact of Macroeconomic Variables on Stock Prices
• Comparison of Developed and Developing Markets
• Identifying Key Influencing Variables
• Hedging Strategies for Mitigating Risk
• Econometric Modelling and Analysis

Chapter Summaries

Chapter 1 introduces the research objectives, scope, and methodology. Chapter 2 provides a comprehensive review of existing literature on the relationship between macroeconomic variables and stock prices in both developed and developing markets. It also explores various hedging strategies. Chapter 3 outlines the study's structure, data sources, main hypothesis, and statistical tests used. Chapter 4 presents the empirical results and analysis of the impact of macroeconomic variables on stock prices in both developed and developing markets. This chapter examines the findings from various statistical tests. Chapter 5 delves into hedging strategies for mitigating risks associated with fluctuations in macroeconomic variables, exploring approaches such as diversification with risk-free assets, gold futures, and agricultural futures.

Keywords

The study focuses on macroeconomic variables, stock prices, developed and developing markets, FTSE and JSE indices, econometric models, Granger Causality, Johansen Co-Integration, Vector Error Model, Wald Test, Multiple Regression Model, hedging strategies, diversification, risk-free assets, gold futures, agricultural futures.

• Hochschule: Birmingham City University
• Veranstaltung: MSc Accountancy and Finance (ACCA)
• Autor: Kudzanai Chakona (Autor:in)
• Erscheinungsjahr: 2017
• Seiten: 118
• Katalognummer: V1291753
• ISBN (PDF): 9783346756879
• ISBN (Buch): 9783346756886
• Sprache: Englisch
• Schlagworte: changes, macroeconomic, variables, their, impact, stock, price, indices, case, study, financial, times, exchange, ftse, johannesburg