This paper tries to investigate the long-run relationship and the short-run dynamics between Bangladesh stock market index (DSE General Index) and some selected macroeconomic variables such as Broad money supply (M2) and Deposit Interest rate (DIR). This study analyses monthly data for the above variables between the periods spanning from January 2009 to June 2015 and employ different econometric tools. The Johansen multivariate co-integration tests indicate that the Bangladesh stock market index (DSE General Index) and chosen two macroeconomic variables are co-integrated, this is indicative of a long-run relationship. It shows the speed of adjustment of any disequilibrium towards long run equilibrium state. The speed of adjustment is 10.7816 percent. Cointegration analysis, along with the VECM, suggests that deposit interest rate is negatively related to stock prices, and money supply (M2) is positively related to stock prices in the long-run. This study also finds short-run causal relationship. It is found that only Deposit Interest Rate has short run influence on DSE General Index. R-squared of the VECM is 0.291900 that is 29.1900 percent. It means that all of the independent variables can explain 29.1900 percent of the total variations of the dependent variable. The residuals of the regression model have serial correlation, but they are homoscedastic and normally distributed.
| Published in | International Journal of Business and Economics Research (Volume 5, Issue 6) |
| DOI | 10.11648/j.ijber.20160506.13 |
| Page(s) | 202-209 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2024. Published by Science Publishing Group |
Macroeconomic Variables, DSE General Index, DIR, M2, Cointegration, VECM
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APA Style
Md. Nazmul Haque. (2016). Impact of Some Selected Macroeconomic Variables (Money Supply and Deposit Interest Rate) on Share Prices: A Study of Dhaka Stock Exchange (DSE). International Journal of Business and Economics Research, 5(6), 202-209. https://doi.org/10.11648/j.ijber.20160506.13
ACS Style
Md. Nazmul Haque. Impact of Some Selected Macroeconomic Variables (Money Supply and Deposit Interest Rate) on Share Prices: A Study of Dhaka Stock Exchange (DSE). Int. J. Bus. Econ. Res. 2016, 5(6), 202-209. doi: 10.11648/j.ijber.20160506.13
AMA Style
Md. Nazmul Haque. Impact of Some Selected Macroeconomic Variables (Money Supply and Deposit Interest Rate) on Share Prices: A Study of Dhaka Stock Exchange (DSE). Int J Bus Econ Res. 2016;5(6):202-209. doi: 10.11648/j.ijber.20160506.13
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Download@article{10.11648/j.ijber.20160506.13,
author = {Md. Nazmul Haque},
title = {Impact of Some Selected Macroeconomic Variables (Money Supply and Deposit Interest Rate) on Share Prices: A Study of Dhaka Stock Exchange (DSE)},
journal = {International Journal of Business and Economics Research},
volume = {5},
number = {6},
pages = {202-209},
doi = {10.11648/j.ijber.20160506.13},
url = {https://doi.org/10.11648/j.ijber.20160506.13},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijber.20160506.13},
abstract = {This paper tries to investigate the long-run relationship and the short-run dynamics between Bangladesh stock market index (DSE General Index) and some selected macroeconomic variables such as Broad money supply (M2) and Deposit Interest rate (DIR). This study analyses monthly data for the above variables between the periods spanning from January 2009 to June 2015 and employ different econometric tools. The Johansen multivariate co-integration tests indicate that the Bangladesh stock market index (DSE General Index) and chosen two macroeconomic variables are co-integrated, this is indicative of a long-run relationship. It shows the speed of adjustment of any disequilibrium towards long run equilibrium state. The speed of adjustment is 10.7816 percent. Cointegration analysis, along with the VECM, suggests that deposit interest rate is negatively related to stock prices, and money supply (M2) is positively related to stock prices in the long-run. This study also finds short-run causal relationship. It is found that only Deposit Interest Rate has short run influence on DSE General Index. R-squared of the VECM is 0.291900 that is 29.1900 percent. It means that all of the independent variables can explain 29.1900 percent of the total variations of the dependent variable. The residuals of the regression model have serial correlation, but they are homoscedastic and normally distributed.},
year = {2016}
}
TY - JOUR T1 - Impact of Some Selected Macroeconomic Variables (Money Supply and Deposit Interest Rate) on Share Prices: A Study of Dhaka Stock Exchange (DSE) AU - Md. Nazmul Haque Y1 - 2016/11/23 PY - 2016 N1 - https://doi.org/10.11648/j.ijber.20160506.13 DO - 10.11648/j.ijber.20160506.13 T2 - International Journal of Business and Economics Research JF - International Journal of Business and Economics Research JO - International Journal of Business and Economics Research SP - 202 EP - 209 PB - Science Publishing Group SN - 2328-756X UR - https://doi.org/10.11648/j.ijber.20160506.13 AB - This paper tries to investigate the long-run relationship and the short-run dynamics between Bangladesh stock market index (DSE General Index) and some selected macroeconomic variables such as Broad money supply (M2) and Deposit Interest rate (DIR). This study analyses monthly data for the above variables between the periods spanning from January 2009 to June 2015 and employ different econometric tools. The Johansen multivariate co-integration tests indicate that the Bangladesh stock market index (DSE General Index) and chosen two macroeconomic variables are co-integrated, this is indicative of a long-run relationship. It shows the speed of adjustment of any disequilibrium towards long run equilibrium state. The speed of adjustment is 10.7816 percent. Cointegration analysis, along with the VECM, suggests that deposit interest rate is negatively related to stock prices, and money supply (M2) is positively related to stock prices in the long-run. This study also finds short-run causal relationship. It is found that only Deposit Interest Rate has short run influence on DSE General Index. R-squared of the VECM is 0.291900 that is 29.1900 percent. It means that all of the independent variables can explain 29.1900 percent of the total variations of the dependent variable. The residuals of the regression model have serial correlation, but they are homoscedastic and normally distributed. VL - 5 IS - 6 ER -
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