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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Manuchekhr Narzulloev
The Impact of Macroeconomic Factors on Stock Market Dynamic: Evidence from Russia, Brazil, Kazakhstan, Australia, Canada and Norway
2016
The study investigates the impact of macroeconomic factors on the performance of stock indices in Russia, Brazil, Kazakhstan, Australia, Canada and Norway. The four methods were used to determine the degree of influence of macroeconomic factors on the dynamics of stock indices. Regression analysis of panel data confirmed the hypothesis about the impact of macroeconomic factors on the dynamics of stock indices. As part of the econometric analysis, the method of Engle-Granger and Johansen test were used in order to identify long-term relationship of macroeconomic variables and stock indices, tests results showed the cointegration between macroeconomic factors and stock indices. The Granger causality test investigated the presence of a causal relationship of macroeconomic factors and the dynamics of stock indices. In order to identify the short-run deviations and their return to long-run equilibrium VECM model were used, in which the decomposition of variance was conducted to predict the share of each macroeconomic factor in the forecast yield of the stock indices.

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