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- W4292122018 abstract "This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to March 2021. Independent variables consist of the 5-Year bond yields, CDS Premiums, VIX Futures, gold price, MSCI Emerging Market Index, and Oil Prices. Since the dependent and independent variables have a cointegrating relationship, we conducted our analyses in both the short and long term. Findings indicated that CDS premiums, oil and gold prices have a negative, while VIX and MSCI have a positive effect on the stock index in the long term. On the other hand, bond yields and the COVID-19 have a negative while MSCI has a positive effect in the short term. In addition, the long-term effects are much evident in Brazil and Russia. The speed of adjustment to the long-term equilibrium in the stock market index is much higher in Turkey and Mexico." @default.
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- W4292122018 date "2022-08-17" @default.
- W4292122018 modified "2023-09-27" @default.
- W4292122018 title "Determinants of Stock Market Indices: An Analysis of Emerging Markets of Brazil, Mexico, Russia, and Turkey" @default.
- W4292122018 doi "https://doi.org/10.5195/emaj.2022.257" @default.
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