A Study on Dynamic Relationship between Macroeconomic Variables and Stock Markets in the United States, Germany, and Hong Kong

53 Pages Posted: 20 Nov 2016

See all articles by Taibo Mu

Taibo Mu

University of Birmingham, Students

Date Written: August 30, 2016

Abstract

This empirical study investigates the relationship between selected macroeconomic variables and the stock markets in the US, Germany, and Hong Kong. The seven chosen macroeconomic variables are interest rate, inflation, oil price, unemployment rate, industrial production index, money supply, and exchange rate. In this study, Pearson’s correlation, unit root tests, Granger causality test, Johansen cointegration test, and regression model are used to identify how these macroeconomic variables impact on S&P500 in the United States, DAX 30 in Germany, and Hang Seng Index in Hong Kong with the monthly series for a period of 18 years from July 1997 to July 2015. The empirical results show that there are short-term causal relationships and long-term equilibrium relationships between macroeconomic variables and the stock markets in these three countries.

Keywords: macroeconomic variables,stock markets,US, Germany, Hong Kong

JEL Classification: B26

Suggested Citation

Mu, Taibo, A Study on Dynamic Relationship between Macroeconomic Variables and Stock Markets in the United States, Germany, and Hong Kong (August 30, 2016). Available at SSRN: https://ssrn.com/abstract=2872174 or http://dx.doi.org/10.2139/ssrn.2872174

Taibo Mu (Contact Author)

University of Birmingham, Students ( email )

West Midlands
United Kingdom

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