Please use this identifier to cite or link to this item:
http://hdl.handle.net/1893/36769
Appears in Collections: | Accounting and Finance Journal Articles |
Peer Review Status: | Refereed |
Title: | Macroeconomic determinants of the stock market: A comparative study of Anglosphere and BRICS |
Author(s): | Humpe, Andreas McMillan, David G Schöttl, Alfred |
Contact Email: | david.mcmillan@stir.ac.uk |
Keywords: | Cointegration Stock market Macroeconomy Anglosphere BRICS |
Issue Date: | Apr-2025 |
Date Deposited: | 6-Feb-2025 |
Citation: | Humpe A, McMillan DG & Schöttl A (2025) Macroeconomic determinants of the stock market: A comparative study of Anglosphere and BRICS. <i>Finance Research Letters</i>, 75, Art. No.: 106869. https://doi.org/10.1016/j.frl.2025.106869 |
Abstract: | This study examines and compares the macroeconomic determinants of stock markets in BRICS (Brazil, Russia, India, China, and South Africa) and Anglosphere (Australia, Canada, New Zealand, the United Kingdom, and the United States) countries given their different economic structures. Using quarterly data from 1995Q3 to 2023Q3, we employ a panel Autoregressive Distributed Lag (ARDL) cointegration approach to analyse the long-run relations between real stock prices and the key macroeconomic variables of real GDP, consumer price index (CPI), policy rates, and money supply. Our findings show that in Anglosphere countries, there is a significant positive elastic long-run relation between stock prices and real GDP, and a significant negative elastic relation with CPI. Thus, economic growth enhances stock market performance while inflation adversely affects it in these developed economies. For BRICS countries, we identify a significant positive inelastic long-run relation between stock prices and CPI, indicating that stock markets in these emerging economies act as an inflation hedge. Policy rates and money supply are not significant for either group. These results highlight that different macroeconomic dynamics influence stock markets across developed and emerging economies, implying different risk characteristics. The Anglosphere stock markets are driven by the competing macroeconomic effects arising from GDP and CPI, whereas for the BRICS stock markets, inflationary conditions are of primary importance. The study offers insights for investors and policymakers regarding asset allocation strategies and the formulation of policies tailored to different economic blocs. |
DOI Link: | 10.1016/j.frl.2025.106869 |
Rights: | This is an open access article distributed under the terms of the Creative Commons CC-BY license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. You are not required to obtain permission to reuse this article. |
Licence URL(s): | http://creativecommons.org/licenses/by/4.0/ |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
1-s2.0-S1544612325001345-main.pdf | Fulltext - Published Version | 567.63 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
A file in this item is licensed under a Creative Commons License
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved https://creativecommons.org/publicdomain/zero/1.0/
If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.