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Macroeconomic Determinants of Stock Return in Gulf Cooperation Council Countries
Raghad Albikairi
Supervisor: Dr. Faisal Rana
Outline
Outline
- Objective
- problem statement
- Importance
- Research questions
- Literature reviews
- Methodology
- Data Analysis
- conclusion
Objectives
This research will quantify the effect of leading macroeconomics variables on stock returns for GCC countries.
Introduction
Problem Statements
Problem Statements
- Stock returns is one of the main indicator of performance for any country.
- Exploring the factors that cause fluctuation in stock returns.
Importance
Importance
- This research will help investors and policy makers in making sound investment decision.
- Help policy makers in formulating effective policies to promote equity investment in the country.
Research questions
- How the six variables will effect on stock return of the GCC countries ?
- The significant of one variable will be the same for all countries or different ?
- I will reach to the same significant when I study the relationship between stock returns with each variables individually and when combine them together ?
Literature review
litrature review
- If Oil price Stock returns
- Gjerde and Saettem (1999) they found a positive relation between oil price and stock return.
- If Interest rate Stock returns
-Adrián M (1999), she found that negative relationship between the interest rate and the bank stock return
CONT..
- If GDP Stock returns
- Carstrom (2002) said that the information of future RGDP will effect on the stock market today.
- If Exchange rate Stock returns
- Joseph, (2002) argues that if the currency of the local country appreciates that will lead to loss the competitiveness in the international market, the sales of the export firm will decline therefor, the price of stock will decrease.
CONT..
- If Domestic credit Stock returns
- Spatafora & Luca (2012) said, domestic credit has a positive effect on investment
- If Stocks traded, turnover ratio Stock returns
- Epps (1975, 1977) used transactions data and found a positive contemporaneous correlation between trading volume and absolute returns.
Methodology
GCC countries
CONT..
- variables of this study are
price, GDP per capita growth, Domestic credit to private sector, Real effective exchange rate index, Stocks traded, turnover ratio of domestic shares, Real interest rate.
- Depending on the availability of the data I used different
- Duration
- Variables
- Index
For each country.
CONT..
- Data Source : I obtained the data from World Development Indicators (WDI) and Bloomberg
- Data Cleaning : The shortage on the duration of the data made me needed to do Data cleaning because that lead to generate Outliers.
- Hypothesis testing:
A null hypothesis is a hypothesis that says there is no statistical significance between the two variables.
An alternative hypothesis is one that states there is a statistically significant relationship between two variables.
Data Analysis
Data Analysis
I examine each indicator individually with stock return then
I combine them together.
- I found !!
- Descriptive Statistic
- Correlation
- Regression
Conclusion
- Macroeconomic variables have positive and negative impact on GCC’s stock market.
- From my data it is evident that when oil price increase will lead to increase the stock return for lot of the countries. In addition, I found that interest rate has negative impact with stock return.
- About the third variable which is GDP per capita growth I discovered that GDP has different influence for each country may that because some business outside the country and not count under the GDP of the country
Cont..
This research intended to find out the all research questions:
- How the six variables will effect on return of the GCC countries ?
- I will reach to the same significant when I study the relationship between stock returns with each variables individually and when combine them together ?
- The significant of one variable will be the same for all countries
- or different ?
Recommendation
For future researcher, should try to make all countries have the same variables and period to have accurate data and easier comparison between the all countries.
Any Questions ?
Thank you