Open AccessDo Macroeconomic Variables Affect Stock Market Performance? A Case Study of DSEX and DS30 Index of Dhaka Stock Exchange
Author(s) -
Emran Hasan,
Shahanawaz Sharif
Publication year - 2019
Publication title -
business and economic research
Language(s) - English
Resource type - Journals
ISSN - 2162-4860
DOI - 10.5296/ber.v9i3.15109
Subject(s) - economics , interest rate , stock market , exchange rate , treasury , granger causality , cointegration , stock market index , monetary economics , econometrics , stock exchange , inflation (cosmology) , stock (firearms) , financial economics , finance , engineering , mechanical engineering , history , paleontology , physics , archaeology , horse , theoretical physics , biology
Stock market performance– being the linchpin of an economy, requires variations in policies concerning macroeconomic variables. Keeping this in notion, this research assays the empirical association between stock market performance and a few selected macroeconomic variables namely interest rate, exchange rate, inflation rate, and 91-days Treasury bill rate using monthly data ranging from January 2013 to October 2018. Employing Johansen Cointegration analysis, the results of the study suggest that exchange rate and treasury bill rate are positive whereas interest rate and inflation rate are negatively associated with better stock market performance. Granger causality test implies bidirectional causality – between the interest rate and DS30 as well as DSEX while unidirectional causality is evident for both the indices which are running from interest rate, inflation and exchange rate to stock market performance. Formulation and implementation of prudent policies regarding the studied macroeconomic variables can lead to a healthy stock market outcome.