The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK
This dissertation has explored the relationship between stock return and macroeconomic factors, in terms of interest rate, inflation, exchange rate, money supply and real economic activity. The econometric models are Granger Causality test and Vector Autoregression. We find the relationship between...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
|
| Online Access: | https://eprints.nottingham.ac.uk/25557/ |
| _version_ | 1848793004816465920 |
|---|---|
| author | Liu, Yuxin |
| author_facet | Liu, Yuxin |
| author_sort | Liu, Yuxin |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This dissertation has explored the relationship between stock return and macroeconomic factors, in terms of interest rate, inflation, exchange rate, money supply and real economic activity. The econometric models are Granger Causality test and Vector Autoregression. We find the relationship between stock return and these macroeconomic variables suffers a cross effect, which therefore results some insignificant correlations, some of which are consistent with previous literature findings. We also find that the real economic activity is strongly correlated with stock return, as it is regarded as the underlying fundamental of national economy. Given we assume the market is efficient enough; the historical information might be useless to predict the future movements of stock market, which is another reason causes the insignificant relationships. |
| first_indexed | 2025-11-14T18:53:24Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25557 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:53:24Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-255572022-03-21T16:10:04Z https://eprints.nottingham.ac.uk/25557/ The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK Liu, Yuxin This dissertation has explored the relationship between stock return and macroeconomic factors, in terms of interest rate, inflation, exchange rate, money supply and real economic activity. The econometric models are Granger Causality test and Vector Autoregression. We find the relationship between stock return and these macroeconomic variables suffers a cross effect, which therefore results some insignificant correlations, some of which are consistent with previous literature findings. We also find that the real economic activity is strongly correlated with stock return, as it is regarded as the underlying fundamental of national economy. Given we assume the market is efficient enough; the historical information might be useless to predict the future movements of stock market, which is another reason causes the insignificant relationships. 2012 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25557/1/dissertaion_of_Yuxin_Liu.pdf Liu, Yuxin (2012) The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Liu, Yuxin The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK |
| title | The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK |
| title_full | The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK |
| title_fullStr | The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK |
| title_full_unstemmed | The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK |
| title_short | The Relationship Between Stock Return and Macroeconomic Factors: evidence from UK |
| title_sort | relationship between stock return and macroeconomic factors: evidence from uk |
| url | https://eprints.nottingham.ac.uk/25557/ |