Using macroeconomic variables in the prediction of stock market indices: A theoretical and empirical assessment within BRICS and selected developed economies

B S Ouattara
The prediction of stock market indices and issues/questions associated with such predictions, have been a challenge for several academics, business analysts and financial researchers for many years. In the main, these challenges have been addressed within developed economies; statistically using appropriately determined macroeconomic independent variables. However, much less attention has been directed to the use of such variables within developing economies. This sparse attention forms the
more » ... arch background (Chapter I) and provides partial justification for the research itself. Thus, the research comparatively focuses on both, certain developing and selected developed economies. The precise context of the research considers/compares the impact and potential/possible relationships of meaningfully selected macroeconomic variables, upon respective stock market indices of two sets of economies - BRICS (i.e. Brazil, Russia, India, China and South Africa) and five meaningfully selected developed economies (i.e. France, Germany, Japan, UK and US). Thus, a significant motivation for the research is to evaluate/test theoretical linkages and empirical relationships of selected macroeconomic variables, in terms of their predictive power vis a vis related stock market indices. The research then offers consequent policy implications/contributions. It is of benefit and significance to (inter alia) investors, who would welcome "early signals" when evaluating stock markets via relevant indices. In so doing, the research adds theoretical and empirical knowledge, with practical potential, to this domain. Finally, within its concluding chapter, the thesis also offers some suggestions for further research and future researchers. Against the above background, the research addresses ten individual, but related, objectives (Chapter II). These objectives range from an attempt to identify the directional and potentially causal relationship between sets of selected macroeconomic variables and relevant stock market ind [...]
doi:10.18744/pub.002730 fatcat:tgis5gg3bndblh43tizu2lgoce