Theoretical and Applied Economics
No. 2 / 2019 (619), Summer
Exploring the nexus between macroeconomic variables and stock market returns in Germany: An ARDL Co-integration approach
University of Tunis El Manar, Tunisia
Amna ZARDOUB
University of Sousse, Tunisia
Abstract. This study examines the interaction between macroeconomic variables and stock return in Germany for the period spam from 1990:Q1 to 2016:Q1. We employing bounds testing procedure proposed by Pesaran et al. (2001) and the Autoregressive distributed lag approach has been applied as yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1). Empirical results reveal that exchange return, the M3 aggregate and the oil return in Germany have positive and no significant impact on stock return. However, the interest rate has a negative and significant impact on stock return. The effect of CPI on stock return is positive and significant. The value of lagged ECM is negative and significant at 10% level of significance. The value of lag ECM is -0.1418 which show the speed of convergent towards equilibrium.
Keywords: macroeconomics variable, stock price and ARDL Co-integration approach.
Download the full article: 
Contents
- The education and training.
Priorities of the European Union
Constantin ANGHELACHE
Gabriela Victoria ANGHELACHE
Mădălina Gabriela ANGHEL
- Posted offers in exogenous networks:
A theoretical application and experimental results
Lisa BREGER
Andrea SORENSEN
- The role of Japan in the development
of emerging markets in Asia.
Key lessons learned for China
Ionela VOINEA
- Empirical examination of the stability of expectations –
Augmented Phillips Curve for developing
and developed countries
Yhlas SOVBETOV
Muhittin KAPLAN
- The causality between economic growth and stock market
in developing and developed countries:
Toda-Yamamoto approach
Bilgehan TEKIN
Erol YENER
- Government failure vs. Market failure.
The implications of incomplete information
Rareș Petru MIHALACHE
Dumitru Alexandru BODISLAV
- Foreign direct investment
and total factor productivity in South Asia
Zaira ADNAN
Mamta CHOWDHURY
Girijasankar MALLIK
- Exploring the nexus between macroeconomic variables
and stock market returns in Germany:
An ARDL Co-integration approach
Riadh El ABED
Amna ZARDOUB
- Exchange rate regimes and its impact on growth:
An empirical analysis of BRICS countries
Babu Rao G.
- Dynamics of business cycle
and long-term economic growth of Pakistan
Usama Ehsan KHAN
Syed Monis JAWED
- Per capita gross domestic product
and welfare of Gabonese households:
A VAR model with exogenous hypothesis
Giscard ASSOUMOU-ELLA
- Co-integration with regime shift between government
expenditure and poverty reduction in Algeria
Hicham AYAD
- Trade in a two sector endogenous growth model
with two accumulating factors
Birgit KIRSCHBAUM-BEHL
- What discriminates the welfare outcomes of children in India.
A multiple discriminant analysis in selected states
Atul MEHTA
Joysankar BHATTACHARYA
