Statistical Analysis of 5 Microeconomics Variables
Abstract
The important aspect of contemporary financial analysis is the relationship between stock price movements and variations in macroeconomic aggregates. The paper examines the role of macroeconomic variables on Dhaka Stock Exchange (DSE) stock returns movement in Bangladesh. In this paper, the analysis is conducted by using monthly data for the period span from January 2009 to December 2012. All data are collected from Dhaka Stock Exchange, Internet. Five macroeconomic variables have been selected to assess the influence on stock return of Dhaka Stock Exchange. These are: effect of DSI with changes in inflation rate, effect of DSI with changes in foreign reserve, effect of DSI with changes in exchange rate, effect of DSI with changes in deposit rate, effect of DSI with changes in direct foreign investment. The objectives of the paper are to investigate the effect of macroeconomic factors on stock returns. A multiple correlation model is designed to test the relationship between the DSE stock returns and selected macroeconomic variables.
INTRODUCTION
The relationship between macroeconomic variables and stock prices has been extensively studied in developed capital markets and the literatures on that study dates back to 1970s. However multifactor models have been developed as an explanatory factor of the variation in equity prices and these studies have typically focused on developed markets. The relationship between macroeconomic variables and stock prices has been examined in Emerging Stock Markets (ESMs) after 1980s. With the rapid transformation of economic structure, policy and institution on a global scale in the recent past, the role of capital markets as intermediary between investor an entrepreneur is getting increasing importance in developing economies. But capital market in developing economies sometimes fails to support industrialization through savings mobilization and investment fund allocation and maturity transformation because of the
The important aspect of contemporary financial analysis is the relationship between stock price movements and variations in macroeconomic aggregates. The paper examines the role of macroeconomic variables on Dhaka Stock Exchange (DSE) stock returns movement in Bangladesh. In this paper, the analysis is conducted by using monthly data for the period span from January 2009 to December 2012. All data are collected from Dhaka Stock Exchange, Internet. Five macroeconomic variables have been selected to assess the influence on stock return of Dhaka Stock Exchange. These are: effect of DSI with changes in inflation rate, effect of DSI with changes in foreign reserve, effect of DSI with changes in exchange rate, effect of DSI with changes in deposit rate, effect of DSI with changes in direct foreign investment. The objectives of the paper are to investigate the effect of macroeconomic factors on stock returns. A multiple correlation model is designed to test the relationship between the DSE stock returns and selected macroeconomic variables.
INTRODUCTION
The relationship between macroeconomic variables and stock prices has been extensively studied in developed capital markets and the literatures on that study dates back to 1970s. However multifactor models have been developed as an explanatory factor of the variation in equity prices and these studies have typically focused on developed markets. The relationship between macroeconomic variables and stock prices has been examined in Emerging Stock Markets (ESMs) after 1980s. With the rapid transformation of economic structure, policy and institution on a global scale in the recent past, the role of capital markets as intermediary between investor an entrepreneur is getting increasing importance in developing economies. But capital market in developing economies sometimes fails to support industrialization through savings mobilization and investment fund allocation and maturity transformation because of the