Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F19%3A63522636" target="_blank" >RIV/70883521:28120/19:63522636 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.tandfonline.com/doi/full/10.1080/1331677X.2019.1661003?scroll=top&needAccess=true" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/1331677X.2019.1661003?scroll=top&needAccess=true</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/1331677X.2019.1661003" target="_blank" >10.1080/1331677X.2019.1661003</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry

Popis výsledku v původním jazyce

This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock prices by employing a multifacto rmodel. The study uses quarterly panel data of 39 automakers quoted on the stock exchanges in the 11 countries. It studies the effects of 19 macroeconomic variables from January 2000 to December 2017, and proposes the mixed-effect model constructed based on employing genetic algorithm and AIC criterion, and compares its explanatory power with the existing multifactor model (El Khoury,2015). This paper suggests that the proposed model can shed more light on explaining the variability of stock prices of the quoted automakers. The findings show there are positive linkages between automaker’s stock return volatility and explanatory varia-bles such as stock market development, GDP and unemployment. Conversely, an inverse linkage between the dependent variable and money supply and IPI was found. The study demonstrates that selected macroeconomic factors can also be used as predictors.

Název v anglickém jazyce

Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry

Popis výsledku anglicky

This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock prices by employing a multifacto rmodel. The study uses quarterly panel data of 39 automakers quoted on the stock exchanges in the 11 countries. It studies the effects of 19 macroeconomic variables from January 2000 to December 2017, and proposes the mixed-effect model constructed based on employing genetic algorithm and AIC criterion, and compares its explanatory power with the existing multifactor model (El Khoury,2015). This paper suggests that the proposed model can shed more light on explaining the variability of stock prices of the quoted automakers. The findings show there are positive linkages between automaker’s stock return volatility and explanatory varia-bles such as stock market development, GDP and unemployment. Conversely, an inverse linkage between the dependent variable and money supply and IPI was found. The study demonstrates that selected macroeconomic factors can also be used as predictors.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA16-25536S" target="_blank" >GA16-25536S: Metodika tvorby modelu predikce sektorové a podnikové výkonnosti v makroekonomických souvislostech</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economic Research-Ekonomska Istrazivanja

ISSN

1331-677X

e-ISSN

—

Svazek periodika

32

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

14

Strana od-do

3327-3341

Kód UT WoS článku

000486167700001

EID výsledku v databázi Scopus

2-s2.0-85073055207