Macroeconomic Determinants Of The Behavior of Kuwait Stock Exchange
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Published
Mar 1, 2007
Abstract
This paper is attempt to study the effect of macroeconomic variables and the behaviour of Kuwait stock exchange during the period from 1995 to 2005 using monthly data for both the market and its sub sectors. Interest rate, money supply, inflation, and. government expenditure are the macro variables used, while marl
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Keywords
Kuwait Stock Exchange
References
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• Al-Qenae, R.; Carmen Li, C. and Wearing, B. (2002), “The Information Content of Earnings on Stock Prices: the Kuwait Stock Exchange”, Multinational Finance Journal, Sep-Dec, Vol. 6, PP197-221.
• Atindehou, R. and Gueyie, J. (2001), “Canadian Chartered Banksʼ Stock Returns and Exchange Rate Risk”, Management Decision. London, Vol. 39, PP285-296.
• Bashir, A. and Hassan, A. (1997), “Interest Rate Sensitivity and Stock Returns in the United Arab Emirates”, Journal of King Saud University, Vol. 9, PP79-89.
• Choi, J.; Hauser, S. and Kopecky, K. (1999), “Does the Stock Market Predict Real Activity? Time Series Evidence from the G-7 Countries”, Journal of Banking and Finance, Vol.23, PP1771-1792.
• Dickey, D. and Fuller, W. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, PP427-431.
• El-Aal, W. (1999), “Stock Exchange in Egypt: the Performance and Macroeconomics Determinants of Stock Prices”, Finance and Industry, the Industrial Bank of Kuwait, PP41-87.
• Engle, R. and Granger, C. (1987), “Cointegration and Error Correction Representation, Estimation, and Testing”, Econometrica, Vol. 55, PP251-276.
• Fama, E. (1981), “Stock Returns, Real Activity, Inflation and Money”, American Economic Review, Vol. 5, PP115-146.
• Fama, E. (1990), “Stock Returns, Expected Returns, and Real Activity”, Journal of Finance, Vol. 45, PP1089-1108.
• Fama, E. and Schwert, G. (1977), “Asset Returns and Inflation”, Journal of Financial Economics, Vol. 71, PP545-565.
• Fifield, S.; Power, D. and Sinclair, C. (2002), “Macroeconomic Factors and Share Returns: An Analysis Using Emerging Market Data”, International Journal of Finance and Economics, Vol. 7, PP51-62.
• Friedman, M. (1988), “Money and Stock Market”, Journal of Political Economy, Vol. 96, PP221-245.
• Groenewold, N. and Fraser, P. (1997), “Share Prices and Macroeconomic Factors”, Journal of Business Finance and Accounting, Vol. 24, PP1367-1383.
• Hondroyiannis, G. and Papapetrou, E. (2001), “Macroeconomic Influences on the Stock Market”, Journal of Economics and Finance, spring, Vol. 25, PP33-50.
• Jaffe, J. and Mandelker, G. (1976), “The Fisher Effect for Risky Assets: An Empirical Investigation”, Journal of Finance, May, PP447-458.
• Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gausian Vector Autoregressive Models”, Econometrica, Vol. 59, PP1551-1580.
• Joseph, N. (2002), “Modelling the Impacts of Interest Rate and Exchange Rate Changes on UK Stock Returns”,Derivatives Use, Trading g and Regulation. London: Vol. 7, PP306-324.
• Kaneko, T. and Lee, B. (1995), “Relative Importance of Economic Factors in the US and Japanese Stock Markets”, Journal of Japanese and International Economics, Vol.9, PP290-307.
• Kwon, Ch.; Shin, T. and Bacon, F. (1997), “The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets”, Multinational Business Review. Fall, Vol. 5, PP63-71.
• Lee, B. (1992), “Causal Relations Among Stock Returns, Interest Rates, Real Activity and Inflation”, Journal of Finance, Vol.47, PP1591-1603.
• Leigh, L. (1997), “Stock Market Equilibrium and Macroeconomic Fundamentals”, IMF Working Paper, http://www.imf.org/external/pubs/ft/wp/wp9715.pdf
• Maghayereh, A. (2003), “Causal Relations among Stock Prices and Macroeconomic Variables in the Small, Open Economy of Jordan”, Journal of King Abdulaziz University, Vol.17, No. 2, PP3-12.
• Mandelker, G. and Tandon, K. (1985), “Common Stock Returns, Real Activity, Money, and Inflation: Some International Evidence”, Journal of International Money and Finance, Jun, Vol. 4, PP267-286.
• Midani, A. (1991), “Determinants of Kuwait Stock Prices: An Empirical Investigation of Industrial, Services and Food Company Shares”, Journal of Administrative Sciences and Economics, Vol. 2, PP304-312.
• Oaikhenan, H. (2003), “The Impact of Economic Reform on the Behavior of Stock Prices: Empirical Evidence from the Nigerian Stock Market”, The Indian Journal of Economics, PP278-304.
• Phillips, P. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrica, Vol. 75, PP335-346.
• Soenen, L. and Johnson, R. (2001), “The Interrelationship between Macroeconomic Variables and Stock Prices: The Case of China”, Journal of Asia- Pacific Business, Vol. 3, PP67-85.
• Wasserfallen, W. (1989), “Macroeconomics News and the Stock Market: Evidence from Europe”, Journal of Banking and Finance, Vol. 13, PP613-626.
• Al-Batel, A. (1999), “Macroeconomic Determinants of Stock Prices in Saudi Arabia”, Journal of the Gulf and Arabian Peninsula Studies, Vol. 94, Kuwait University, Kuwait, PP191-225.
• Al-Bazai, H. (1999), “The Saudi Stock Market and the Monetary Policy”, Journal of the Social Sciences, Vol. 26, PP61-106.
• Al-Qenae, R.; Carmen Li, C. and Wearing, B. (2002), “The Information Content of Earnings on Stock Prices: the Kuwait Stock Exchange”, Multinational Finance Journal, Sep-Dec, Vol. 6, PP197-221.
• Atindehou, R. and Gueyie, J. (2001), “Canadian Chartered Banksʼ Stock Returns and Exchange Rate Risk”, Management Decision. London, Vol. 39, PP285-296.
• Bashir, A. and Hassan, A. (1997), “Interest Rate Sensitivity and Stock Returns in the United Arab Emirates”, Journal of King Saud University, Vol. 9, PP79-89.
• Choi, J.; Hauser, S. and Kopecky, K. (1999), “Does the Stock Market Predict Real Activity? Time Series Evidence from the G-7 Countries”, Journal of Banking and Finance, Vol.23, PP1771-1792.
• Dickey, D. and Fuller, W. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, PP427-431.
• El-Aal, W. (1999), “Stock Exchange in Egypt: the Performance and Macroeconomics Determinants of Stock Prices”, Finance and Industry, the Industrial Bank of Kuwait, PP41-87.
• Engle, R. and Granger, C. (1987), “Cointegration and Error Correction Representation, Estimation, and Testing”, Econometrica, Vol. 55, PP251-276.
• Fama, E. (1981), “Stock Returns, Real Activity, Inflation and Money”, American Economic Review, Vol. 5, PP115-146.
• Fama, E. (1990), “Stock Returns, Expected Returns, and Real Activity”, Journal of Finance, Vol. 45, PP1089-1108.
• Fama, E. and Schwert, G. (1977), “Asset Returns and Inflation”, Journal of Financial Economics, Vol. 71, PP545-565.
• Fifield, S.; Power, D. and Sinclair, C. (2002), “Macroeconomic Factors and Share Returns: An Analysis Using Emerging Market Data”, International Journal of Finance and Economics, Vol. 7, PP51-62.
• Friedman, M. (1988), “Money and Stock Market”, Journal of Political Economy, Vol. 96, PP221-245.
• Groenewold, N. and Fraser, P. (1997), “Share Prices and Macroeconomic Factors”, Journal of Business Finance and Accounting, Vol. 24, PP1367-1383.
• Hondroyiannis, G. and Papapetrou, E. (2001), “Macroeconomic Influences on the Stock Market”, Journal of Economics and Finance, spring, Vol. 25, PP33-50.
• Jaffe, J. and Mandelker, G. (1976), “The Fisher Effect for Risky Assets: An Empirical Investigation”, Journal of Finance, May, PP447-458.
• Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gausian Vector Autoregressive Models”, Econometrica, Vol. 59, PP1551-1580.
• Joseph, N. (2002), “Modelling the Impacts of Interest Rate and Exchange Rate Changes on UK Stock Returns”,Derivatives Use, Trading g and Regulation. London: Vol. 7, PP306-324.
• Kaneko, T. and Lee, B. (1995), “Relative Importance of Economic Factors in the US and Japanese Stock Markets”, Journal of Japanese and International Economics, Vol.9, PP290-307.
• Kwon, Ch.; Shin, T. and Bacon, F. (1997), “The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets”, Multinational Business Review. Fall, Vol. 5, PP63-71.
• Lee, B. (1992), “Causal Relations Among Stock Returns, Interest Rates, Real Activity and Inflation”, Journal of Finance, Vol.47, PP1591-1603.
• Leigh, L. (1997), “Stock Market Equilibrium and Macroeconomic Fundamentals”, IMF Working Paper, http://www.imf.org/external/pubs/ft/wp/wp9715.pdf
• Maghayereh, A. (2003), “Causal Relations among Stock Prices and Macroeconomic Variables in the Small, Open Economy of Jordan”, Journal of King Abdulaziz University, Vol.17, No. 2, PP3-12.
• Mandelker, G. and Tandon, K. (1985), “Common Stock Returns, Real Activity, Money, and Inflation: Some International Evidence”, Journal of International Money and Finance, Jun, Vol. 4, PP267-286.
• Midani, A. (1991), “Determinants of Kuwait Stock Prices: An Empirical Investigation of Industrial, Services and Food Company Shares”, Journal of Administrative Sciences and Economics, Vol. 2, PP304-312.
• Oaikhenan, H. (2003), “The Impact of Economic Reform on the Behavior of Stock Prices: Empirical Evidence from the Nigerian Stock Market”, The Indian Journal of Economics, PP278-304.
• Phillips, P. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrica, Vol. 75, PP335-346.
• Soenen, L. and Johnson, R. (2001), “The Interrelationship between Macroeconomic Variables and Stock Prices: The Case of China”, Journal of Asia- Pacific Business, Vol. 3, PP67-85.
• Wasserfallen, W. (1989), “Macroeconomics News and the Stock Market: Evidence from Europe”, Journal of Banking and Finance, Vol. 13, PP613-626.
How to Cite
Al Mutairi, Abdullah, and Husain Al Omar. 2007. “Macroeconomic Determinants Of The Behavior of Kuwait Stock Exchange”. Studies in Business and Economics 13 (1). https://doi.org/10.29117/sbe.2007.0029.
Section
Articles