Bhattacharya Mukherjee (2003) empirically examined new causal dating amongst the Indian stock market, playing with due to the fact a beneficial proxy the brand new BSE Delicate List of one’s Bombay Stock-exchange, that have chosen macroeconomic parameters (real exchange rate, international supplies and you can trade balance worthy of)
Gjerde Saettem (1999) investigated this new causality relationships anywhere between inventory production and you may macroeconomic variables to have the new Norwegian benefit, having fun with VARs, as with Lee (1992). The outcomes indicated that the speed plays an important role on the Norwegian benefit. More particularly, it found that the rate has an effect on both inventory efficiency and you may inflation. According to writers, the brand new Norwegian market is very dependent on the price of petroleum, and this reliance is reflected in the stock market, and that reacts rationally with the variations in the new oils speed, i.age., this new family relations involving the oil speed and display prices is actually positive. Inventory productivity together with work certainly to help you changes in industrial yields, but this happens that have a slowdown, demonstrating some extent out of inefficiency.
Gjerde Saettem (1999), Jarvinen (2000) and you may Hondroyiannis Papapetrou (2001) the employed 
VARs to research brand new dynamic family members anywhere between an appartment of macroeconomic variables (rate of interest, petroleum rates, industrial yields and you may rate of exchange) and you may stock yields regarding Greek market. The research of your own impulse reaction suggests that all macroeconomic variables are very important from inside the discussing brand new movements inside the stock efficiency. The growth regarding industrial design responds adversely so you’re able to surprises of stock yields, that is, a rise in the stock exchange cannot fundamentally trigger an advanced out-of commercial output. The brand new inventory production including behave adversely in order to rate of interest shocks, if you are a rate of exchange depreciation causes high inventory output. Nonetheless they unearthed that a variety regarding the cost of oil takes on an important role in the discussing stock speed motions, and finally, that if the fresh oil speed increases, there was a fall in inventory cost.
) learnt the newest enough time-name harmony relationships anywhere between picked macroeconomic variables and the Singapore stock ong brand new stock indexes from inside the Singapore, the usa and Japan. It made use of the VECM, an identical utilized by Mukherjee Naka (1995) and Naka et al. (1998). The outcome recommend that the newest Singapore stock market try responsive to the rate and you will rate of exchange. As well, the outcome show that the brand new Singapore stock exchange directory is much and you can absolutely cointegrated having those who work in the united states and you may Japan.
Neih Lee (2001), along with using their brand new VECM design, assessed new affairs between the exchange rate and you will stock prices out of the G7 places. The show indicate there is no high a lot of time-term relationships ranging from these types of parameters, a result plus acquired of the BahmaniOskooe Sohrabian (1992), however, instead of the ones from some other education, which recommend there is a significant relationships ranging from these two variables.
Perales Robins (2002) assessed the relationships ranging from Mexican stock returns and monetary variables, by using the methods proposed from the Granger (1969). The results demonstrate that new IPC (this new BMV list) is the head signal out-of actual coming monetary activity which the conclusion away from M1 (currency supply) are practise an essential influence on the fresh IPC and commercial development directory.
The results show there is no causality family between the BSE Sensitive and painful Index and also the macroeconomic variables. Hence, industry is claimed to be suggestions efficient regarding semi-good feel, that is, the new offered public records is already mirrored from the price of shares.
While using the everyday data, the newest causality are a couple of-means, evidencing a highly quick-diversity matchmaking amongst the financial show
Nunes et al. (2002) examined new relations new Sao Paulo Stock exchange Index (Ibovespa) when you look at the Brazil and two macroeconomic parameters, commercial efficiency (shown by genuine GDP) in addition to genuine rate of exchange, in addition to using the develops anywhere between Brazilian authorities bonds placed abroad (C Bonds) and Western Treasuries, to the intention of capturing the fresh “Brazil chance” thinking of people. The latest people used the cointegration test, Granger causality and you can mistake correction habits, into period anywhere between . Nevertheless they discover a one-ways causal matchmaking within Ibovespa on real exchange rate, that was not found when studying the relatives involving the Ibovespa and you may actual GDP, demonstrating a keen inconsistency towards the hypothesis that the Brazilian stock exchange indicators variations in actual craft. The latest Granger causality try between the Ibovespa and you may chance grounds, having fun with month-to-month studies, shown a lack of causality.