Title: Why the life insurance industry did not face an "S&L-type" crisis

Author: Elijah Brewer III, Thomas H. Mondschean and Philip E. Strahan

Abstract: Since August 1989, the Resolution Trust Corporation has spent $84.4 billion of
taxpayers' money to close 653 savings and loan associations (S&Ls). In addition, between
1986 and 1990, over 900 commercial banks were closed with assets totalling over $100
billion. On July 16, 1991, in response to policyholder runs during the previous three months
totalling approximately $500 million, New Jersey regulators seized the Mutual Benefit Life
Insurance Company. The asset quality problems that led to this and other runs on life
insurance companies in the early 1990s have led some to wonder whether yet another
category of financial intermediaries might suffer widespread failures requiring government
intervention at taxpayer expense. Government closings of financial institutions can be
extremely costly to taxpayers, and the safety of life insurance policies and annuity contracts
is of concern to millions of policyholders. For these reasons alone, it is important to assess
the risk exposure and regulatory structure of the U.S. life insurance industry.

But there are other reasons as well. First, according to the Federal Reserve Flow of Funds, the
industry held approximately $1.2 trillion in assets at the end of 1991, accounting for 11.4 per
cent of total financial assets. Capital adequacy or asset quality problems in this industry could
lead to disintermediation, or the transfer of saving and borrowing activities from life
insurance companies to other financial institutions. This in turn would result in less efficient
allocation of capital. Second, most state governments bear part of the cost of an insurance
failure by providing tax credits to life insurance companies (LICs) that pay guaranty fund
assessments. Third, losses from failures are partially borne by insurance and pension
policyholders, reducing potential income to retirees. Finally, the experiences of the life
insurance industry can provide some lessons for bank regulators.

The 1980s witnessed two important changes in the mix of LIC business: continued growth in
pension and annuity business relative to life insurance, and a shift toward interest- rate-
sensitive products. Competitive pressures led some LICs to shift their asset portfolios from
low- to high-risk investments in order to cover the higher rates on these new liabilities. By
the end of the decade, this strategy had begun to unravel. The sudden but short-lived collapse
of the junk bond market and the fall in the value of commercial real estate reduced LIC
profitability. In reaction, LICs pulled back from the commercial real estate market and certain
segments of the corporate bond market.

At first glance, there are many similarities between the savings and loan and the life
insurance industries. Both S&Ls and LICs act as financial intermediaries and face substantial
government regulation. Life insurance policyholders, like S&L depositors, are protected by
government-administered guaranty funds.

TITLE: STATISTICAL TECHNIQUES APPROACH FOR EVALUATING THE

MARKET FLUCTUATIONS: THE CASE STUDY IN COLOMBO
STOCK EXCHANGE

AUTHOR: Ratnayake RMKT Dept. of Physical Sciences and Technology, Faculty of

Applied Sciences, Sabaragamuwa University of Sri Lanka. Seneviratne DMKN and
Nagahawaththa SC dept. of Interdisciplinary Studies, Faculty of Engineering, University of
Ruhuna

ABSTARCT: Equity markets is a place where it facilitates investors to invest excess funds in
a profitable way and on the other hand for companies to rise their capital requirements
through shares, debentures and any other type of securities. High volatile fluctuations with
instability patterns are common phenomenon in the Colombo Stock Exchange (CSE). This
study mainly focuses an attempt to understand the trends and cyclic patterns in the CSE in
order to predict the future behaviours during January 2007 to January 2013. In addition to
that, this study examines the causal relationships between market performances and economic
growth conditions related to Sri Lanka.The study results disclosed that micro-economic and
macro-economic conditions have directly impaction high volatility in Stock Market
fluctuations. Moreover, these findings are important for the investors who are investing in
CSE to make investment decisions to ensure positive returns for the risk they undertake.

TITLE: Effect of Macroeconomic Variables on Stock Market: A Conceptual Study

AUTHOR: SARIKA KESWANI, DR. BHARTI WADHWA

ABSTRACT: Indian stock market has undergone incredible transforms since 1991, when the
government has adopted liberalization and globalization policies. As a result, there is an
increasing importance of the stock market from collective economy point of view. When we
talk about economy then stock market has become a key driver of current market and is one
of the major sources of raising resources for Indian company, thus enabling financial and
economic growth. In fact, in the world, Indian stock market is one of the emerging markets.

The aim of this paper is to examine effect of macroeconomic variables on stock market.
Because wealth of the any economy is indicated by macroeconomic variables and they decide
the future of investments. In any economy price determination process is influenced by the
macroeconomic variables. The improbability of macroeconomic variables influences stock
and commodity market significantly causing volatility in the prices. Stock Market is an
important segment of the financial system of our country as it plays a vital role in
channelizing savings from deficit sector to surplus sector.

TITLE: EMPIRICAL INVESTIGATION OF RELATIONSHIP BETWEEN MACRO-

ECONOMIC VARIABLES AND STOCK PRICE IN CSE

AUTHOR: Balasingam Prahalathan, Senior Lecturer in Commerce, University of Jaffna

Fernando, K.L.M, Department of Commerce, University of Jaffna

ABSTRACT: The starting point of this research is the research problem; Relationship
between macroeconomic variables and stock prices in Sri Lanka stock market. Depending on
research problem literature review is conducted in order to specify research question and
construct framework. The research purpose and research question reveal that this study is
primarily descriptive. As theories exist and conclusions are drawn from theories this study is
deductive one and quantitative research method is used. Data is collected through secondary
data from considering the ASPI index of ten years from 2007 to 2016 as monthly vice. The
impact of macroeconomic variables on stock prices in Sri Lanka stock market has been
examined through descriptive statistics such as mean, standard deviation and coefficient of
variance, and inferential statistics such as correlations and regression models by using E-
views time series analysis. Results revealed the research findings that there Interest rate and
Exchange rate have insignificantly negative relationship with stock prices. At the same time
Inflation rate has significantly positive impact on the Stock price. Further, Money Supply has
significantly negative relationship with stock price.

TITLE: Analysing Challenges & Opportunities of Ethiopian SMEs: Micro & Macro
Economic Drivers

AUTHOR: Dr. Vrajlal Sapovadia. Professor & Associate Dean, School of Business &
Entrepreneurship, American University of Nigeria Yola, Nigeria

ABSTRACT: The Ethiopian economy is dominated by the agriculture and services sectors,
with each accounting for about 43-44 per cent of gross domestic product (GDP), leaving only
about 13 per cent for industry of which manufacturing accounts for about 6 7 percent1. The
low industrial contribution is attributed to lower participation of private enterprises; thanks to
lack of encouraging policy & conducive environment for entrepreneurs. This research
proposal aims at investigating inhibiting factors of growth at micro, macro & Meta level.
Industrial development and entrepreneurship are two side of a coin. Entrepreneurship
encompasses the promoters, government and financial institutes. Entrepreneurship
development is essential to solve the problem of economic development through creating
local employment, balanced area development, decentralization of economic power and
diversion of profits from rich to middle class & poor. Many local innovations go unnoticed
because of innovator s limitations in commercialize the product. An apex institute may be set
up to help and promote commercialization of low cost local innovations. If stakeholders of
entrepreneurship work in tandem, SMEs can grow fast.

TITLE: Foreign Institutional Investments and Stock Returns in India: A Causality Test
AUTHOR: P. K. Mishra, K. B. Das and B. B. Pradhan

ABSTRACT: This paper attempts to study the dynamics of the causality between FII inflows
and stock returns in Indian capital market. Using the monthly data from May 1993 to August
2009 in the VAR framework, this study provides the evidence of level stationarity of net FII
flows and stock returns. It is also found from the Johansen’s co-integration analysis that there
exists a long-run equilibrium relation between these two variables. Further, the Granger
causality test suggests a unidirectional causality running from FII flows to stock returns in
Indian economy. But no causality is seen from stock returns to FII flows. Thus, the policy
makers should organize green pastures to attract the foreign institutional investment so as to
enhance the process of capital formation and hence, to foster the pace of economic growth of
India.

TITLE: Foreign Institutional Investors and Security Returns: Evidence from Indian Stock
Exchanges

AUTHOR: Sandhya Ananthanarayanan CRISIL, Mumbai, India

Chandrasekhar Krishnamurti Associate Professor Department of Finance Auckland

University of Technology Private Bag 92006 Auckland 1142 E-mail: ckrishna@aut.ac.nz
Phone: +64 9 921 9999 Ext. 5423 Fax: +64 9 921 9940.

Nilanjan Sen Nanyang Technological University.

ABSTRACT: India liberalized its financial markets by opening its doors to foreign
institutional investors in September, 1992. We study this landmark event, by examining the
impact of trading of Foreign Institutional Investors on the major stock indices of India. First,
we find that unexpected flows have a greater impact than expected flows on stock indices.
Second, we find strong evidence consistent with the base-broadening hypothesis. Third, we
do not find any evidence that foreign institutional investors employ either momentum or
contrarian strategies. Fourth, our findings support the price pressure hypothesis. Finally, the
claim that foreigners‟ destabilize the market is not substantiated.
TITLE: Possible effects of the stock market movements on interest rates, output and
inflation: empirical evidence from the emerging markets of Europe

AUTHOR: Oguzhan Ozcelebi Faculty of Economics, Department of Economics, Istanbul

University, Centre Campus, 34452 Beyazit, Istanbul, Turkey E-mail: ogozc@istanbul.edu.tr

ABSTRACT: It is important to identify the effects of stock prices on financial and

macroeconomic variables when the development of capital markets is concerned. In this
study, AB type-SVAR models are employed, whereupon impulse response functions (IRFs)
and forecast error variance decompositions (FEVDs) are used for determining the effects of
stock prices on money market interest rates, industrial production and inflation expectations
and in the emerging markets of Central and Eastern European (CEE) countries. Empirical
results stress that central banks in these countries should incorporate the role of capital
markets into their monetary policy formulations for maintaining price stability. It is also
implied that development of capital markets in these countries should be fostered by the
implementation of policies both on micro and macro basis for sustaining economic
development.

TITLE: HOT MONEY OF THE FOREIGN INSTITUTIONAL INVESTORS AND BSE

SENSEX: AN EMPIRICAL ANALYSIS OF THE DEGREE OF ASSOCIATION

AUTHOR: Rahul Sarkar (UGC) Junior Research Fellow Department of Commerce,

University of Calcutta, India.

ABSTRACT: The Foreign Institutional Investment (FII) have emerged as noteworthy

instrument in the Indian stock market since 1992 and its increasing contribution adds as an
important feature of the development of stock markets in India. To facilitate foreign capital
flows, developing countries (like China, India) have been advised to strengthen their capital
market, more specifically stock markets. As a result, the Indian Stock Markets have reached
new heights and became more volatile making the researches work in this dimension of
establishing the link between FII and Stock Market Indices. Hence, it’s an interesting topic to
ascertain the association between FIIs and Indian stock Markets Indices. This study is
conducted using yearly data on BSE (Bombay Stock Exchange) Sensex and FII flow in India
over a period of 17 years spanning from 2000 to 2016. It provides the evidence of significant
positive association between FII flow and BSE SENSEX. It also evidenced a strong positive
correlation between FII flow and Gross Domestic Product (GDP) Growth Rate of India. The
analysis also finds, through regression analysis, that the movements in the FII in India is
fairly explained by the performance of Indian Capital Market.

TITLE: STATISTICAL TECHNIQUES APPROACH FOR EVALUATING THE

MARKET FLUCTUATIONS; THE CASE STUDY IN COLOMBO STOCK EXCHANGE

AUTHOR: Ratnayake RMKT Dept. Of Physical Sciences and Technology, Faculty of

Applied Sciences, Sabaragamuwa University of Sri Lanka.

Seneviratne DMKN and Nagahawaththa SC Dept. of Interdisciplinary Studies, Faculty of

Engineering, University of Ruhuna.

ABSTRACT: Equity markets is a place where it facilitates investors to invest excess funds in
a profitable way and on the other hand for companies to rise their capital requirements
through shares, debentures and any other type of securities. High volatile fluctuations with
instability patterns are common phenomenon in the Colombo Stock Exchange (CSE). This
study mainly focuses an attempt to understand the trends and cyclic patterns in the CSE in
order to predict the future behaviours during January 2007 to January 2013. In addition to
that, this study examines the causal relationships between market performances and economic
growth conditions related to Sri Lanka. The study results disclosed that micro-economic and
macro-economic conditions have directly impact on high volatility in Stock Market
fluctuations. Moreover, these findings are important for the investors who are investing in
CSE to make investment decisions to ensure positive returns for the risk they undertake.

TITLE: IMPACT OF FIIS ON INDIAN STOCK MARKET WITH SPECIAL

REFERENCE TO BSE AND NSE INDEX
AUTHOR: G. SWAPNA Research Scholar, Business Management, Osmania University,
Hyderabad, Telangana, India

ABSTRACT: This paper examines the impact of FIIs on Indian Stock Market with special
reference to BSE and NSE index. The data has been taken from various sources such as BSE,
NSE, SEBI reports etc. The twelve-year data of BSE and NSE index average is considered
for the period i.e., 2005 – 06 to 2016 – 17. The variable which is taken into account is FIIs
purchase, FIIs sales, and FIIs Net investment. The impact of these variables on BSE and NSE
index are studied in this paper. The Average SENSEX and average of NIFTY 50 index for
the period of 12 years are taken in the present study. The analysis also finds that movements
in the Indian Stock Market are fairly explained by the FIIs.

TITLE: Impact of Flow of FDI & FII on Indian Stock Market

AUTHOR: Dr. Syed Tabassum Sultana, Prof. S Pardhasaradhi

ABSTRACT: Unprecedented globalizations have witnessed double digit economic growth

resulting in fierce competition and accelerated pace of innovation. As a result inflow of
Foreign Direct investments has become a striking measure of economic development in both
developed and developing countries. FDI and FII thus have become instruments of
international economic integration and stimulation. Fast growing economies like Singapore,
China, and Korea etc. have registered incredible growth at onset of FDI. Though US captures
most of the FDI inflows, developing countries still account for significant growth of FDI and
rise in FII. FDI not only gives access to foreign capital but also provides domestic countries
with cutting edge technology, desired skill sets, tools of innovation and other complementary
skills. The policies drafted to stimulate the flow of foreign capital in to India provided much
needed impetus for India to emerge as an attractive destination for foreign investors. External
factors such as global economic cues, FDI & FII, Exchange rate and Internal factors such as
demand and supply, market cap, EPS generally drive and dictates the Indian stock market.
The current paper makes an attempt to study the relationship and impact of FDI & FII on
Indian stock market using statistical measures correlation coefficient and multi regression.
Sensex and Nifty were considered as the representative of stock market as they are the most
popular Indian stock market indices. Based on 11 years data starting from 2001 to 2011, it
was found that the flow of FDI & FII was moving in tandem with Sensex and Nifty. The
study concludes that Flow of FDIs and FIIs in India determines the trend of Indian stock
market.

TITLE: IMPACT OF FOREIGN DIRECT INVESTMENT ON INDIAN STOCK

MARKETS – AN EMPIRICAL STUDY

AUTHOR: Dr. Nidhi Sharma Professor Department of Accountancy & Law Dayalbagh
Educational Institute Deemed University, Dayalbagh, Agra, INDIA

Miss. Sarita Gautam Research Scholar Department of Accountancy & Law Dayalbagh
Educational Institute Deemed University, Dayalbagh Agra, INDIA

ABSTRACT: In past two decades in India the Foreign Direct Investment (FDI) is a non-
debt financial force has been played a vital role in Indian Economy. FDI has become an
important source of finance in India. The last fiscal (2015-16) year saw a considerable
increase in the FDI made in India. India's business growth policies have contributed a great
effort towards FDI increase. The ruling NDA government at the centre has announced a lot of
relaxation for FDI. FDI have become instruments of international economic integration and
stimulation. Foreign direct investment plays a crucial role in channelizing transfer of capital
and technology and perceived to be an important factor in promoting economic growth in
developing countries, like- India. Fast growing economies like Singapore, China, and Korea
etc. have registered incredible growth at the onset of FDI. Various External factors such as
global economic cues, exchange rate and various internal factors such as demand and supply,
market capitalisation, EPS generally drive and dictate the Indian stock market but at the same
time the Indian stock market will also be affected due to the inflow of FDI. This paper studies
the impact of foreign direct investment on the Indian stock market. Statistical measures
correlation and regression analysis has been used for analysis. BSE Sensex and NSE Nifty
were considered as the representative of the stock market as they are the most popular Indian
stock market indices. Data of 15 years, starting from year 2001-02 to 2015-16 has been taken
for the study and it was found that the flow of FDI has a direct impact on stock market. The
study concludes that flow of FDI in India determines the trend of Indian Stock Market.
TITLE: IMPACT OF FOREIGN INSTITUTIONAL INVESTMENT ON STOCK
MARKET WITH SPECIAL REFERENCE TO BSE A STUDY OF LAST ONE DECADE

AUTHOR: DR.MAMTA JAIN Assistant Professor, Department of Economic

Administration and Financial Management, University of Rajasthan, Jaipur.

MS.PRIYANKA LAXMI MEENA Research Scholar, Department of Economic

Administration and Financial Management, University of Rajasthan, Jaipur.

DR. T. N. MATHUR Professor, Department of Economic Administration and Financial

Management, University of Rajasthan, Jaipur.

ABSTRACT: Foreign institutional investors have gained a significant role in Indian stock
markets. The dawn of 21st century has shown the real dynamism of stock market and the
various benchmarking of sensitivity index (Sensex) in terms of its highest peaks and sudden
falls. In this context present paper examines the contribution of foreign institutional
investment in sensitivity index (Sensex). Also attempts to understand the behavioural pattern
of FII during the period of 2001 to 2010 and examine the volatility of BSE Sensex due to FII.
The data for the study uses the information obtained from the secondary resources like
website of BSE Sensex. We attempted to explain the impact of foreign institutional
investment on stock market and Indian economy. Also attempts to present the correlation
between FII and BSE Sensex by the Karl Pearson’ Coefficient of correlation test.

TITLE: Impact of Global Capital Flows on Indian Real Estate and Stock Market

AUTHOR: Taral PaThak Post Graduate Institute of Management, Ahmedabad University,

Gujarat E-mail: taralspathak@yahoo.com, taral.pathak@ahduni.edu.in

ABSTRACT: The last two decades have witnessed unprecedented amount of international
capital flows into emerging economies with an altering trend from official capital flows to
private flows, leading to a shift in the nature of the capital flows from long-term to short-
term. Concomitant with these trends is the increasing incidence of financial crisis and its
contagion effect. The present paper examines the impact of Foreign Institutional Investment
(FII) on the variations in the BSE Index, its volume, return, and market capitalization. It also
looks into the variations caused in the housing prices [as measured by Consumer Price Index
(CPI) of the housing sector and bank credit due to Foreign Direct Investment (FDI) flows].
Monthly data from January 2004 to December 2013 is subjected to a Granger causality
approach to investigate the causality between Foreign Institutional Investment (FII) flow, FDI
flow and other macroeconomic variables like Foreign exchange reserves, Money supply, and
Foreign exchange rates. The Augmented Dickey Fuller (ADF) test has been used to test the
stationary nature of data and Johansen’s Co-integration Test is used for validating the
association of various macroeconomic variables. The results indicate that housing price
index granger causes FDI flow in India, while the reverse is not true, though FDI and FII
when combined do have a lagged impact on the housing sector. Conversely the FII flows do
not granger because the BSE returns. Neither does the BSE return because FII flows to India.
There is no causality observed between FII flows and the BSE market capitalization, although
FDI and FII taken together granger cause the foreign exchange rate and a unidirectional
causality from Foreign exchange reserves to FDI and FII flows is noted. It is also observed
that money supply, as measured by M3, granger causes FDI and FII flows to India, while the
reverse causality is not seen, that is, FDI and FII flows do not granger cause money supply.

TITLE: INDIAN STOCK MARKET AND MACROECONOMIC FACTORS IN

CURRENT SCENARIO

AUTHOR: POOJA SINGH Research Scholar, Faculty of Commerce, Banaras Hindu

University, Varanasi, Uttar Pradesh, India

ABSTRACT: This paper is an attempt to understand the relationship between

macroeconomic variables and Indian stock market. The multivariate stepwise regression
analysis helps to understand the impact of macroeconomic factors on Indian stock market.
Granger’s causality test has been applied to analyse the dynamic causal relationship among
the variables. The explained variables in the study includes average monthly closing price of
BSE Sensex and S&P CNX Nifty while the explanatory variables are Index of Industrial
Production (IIP), Wholesale Price Index (WPI),Money Supply(M3), Interest Rates (IR),
Trade Deficit (TD), Foreign Institutional Investment (FII), Exchange rate (ER), Crude Oil
Price (CP) and Gold Price (GP). The data used in the study is in the monthly frequency and
period of the study has been considered from January 2011 to December 2012. The empirical
result of the study shows significant impact of macroeconomic variables on Indian stock
market. The gold prices have its negative impact on the stock market. The gold has been used
as best alternative for investment which hampers the stock prices of share market. The Indian
Stock market improves with the increase in the inflow of foreign investment. Thus foreign
investment as well as money supply exhibits its significant positive impact on the stock
market. The exchange rate shows its adverse effect on the stock market during the study
period. Granger causality test signifies that there exists unidirectional causal relationship
from exchange rate to stock market. Thus, any movement in the value of exchange rate has
influence on stock market. The causality is running from index to the variables in case of
trade deficit and foreign institutional investors. There exists requirement for the initiative to
be taken by government to reduce interest of investors in yellow metal and enhance the
investment in share market through improving the confidence level investors in the Indian
stock market.

TITLE: Interaction of Institutional Investment Activity and Stock Market Volatility:

Evidence from India

AUTHOR: Pramod Kumar Naik, Puja Padhi

ABSTRACT: This study examines the dynamic interaction of institutional fund flows and
stock returns volatility using daily data. Foreign institutional investors (FIIs) and mutual
funds’ net equity investment have been considered simultaneously using the vector auto-
regression (VAR) model. The findings show that both mutual funds’ as well as FIIs’ net
investment on equity jointly influences the stock market. While the mutual funds’ net
investments positively influence stock market volatility, the FIIs’ net investments negatively
impact volatility. However, in the presence of market fundamentals, it is found that FII’s net
flow does not show significant influence on market volatility, but mutual funds net flow has a
significant impact on market volatility at least at the second lags. It has also been observed
that the investment activities of FIIs and mutual funds are interrelated. Causality test indicates
that there exists bidirectional causation between FII’s net flow and market volatility, whereas
mutual funds flows do not cause volatility.

TITLE: INTERRELATIONSHIP BETWEEN STOCK RETURNS AND SELECTED

MACROECONOMIC VARIABLES: AN EMPIRICAL STUDY.

AUTHOR: Arushi Gaur Research Scholar at Jamia Millia Islamia University, New Delhi.

CA Dr. Priyanka Ostwal Assistant Professor at Jagannath International Management School,

Kalkaji, New Delhi.

ABSTRACT: The Indian Capital Market is said to be affected by various macroeconomic

variables. The main purpose of this paper is to investigate the relationship between stock
returns and two macroeconomic variables i.e. Exchange Rate and FII (Foreign Institutional
Investment). Composite Index CNX Nifty has been considered as a proxy of Indian Capital
Market. Dickey-Fuller Unit Root Test is applied to check the data for stationarity, Johansen
Cointegration test has also been conducted to check whether the variables under
consideration are cointegrated. Data was found to be stationary at first difference and
variables were found to be cointegrated with each other. Since the variables are cointegrated,
Vector Error Correction Model (VECM) has been used instead of classical Granger-Causality
method and the results indicate that Exchange Rate Granger cause FII and Nifty both, and
also FII Granger causes Nifty. No further causality was found between other variables.

TITLE: Is Corporate Governance Relevant during the Financial Crisis?

AUTHOR: Kartick Gupta Auckland University of Technology Private Bag 92006,

Auckland, New Zealand kgupta@aut.ac.nz

Chandrasekhar Krishnamurti University of Southern Queensland Toowoomba, QLD 4350,

Australia chandrasekhar.krishnamurti@usq.edu.au

Alireza Tourani-Rad** Auckland University of Technology Private Bag 92006, Auckland,

New Zealand atourani@aut.ac.nz
ABSTRACT: We study the impact of internal corporate governance on firm performance
during the current financial crisis using a comprehensive cross-country sample of 4046
publicly traded nonfinancial firms from the U.S and a sample of 22 developed countries.
Using a broad-based index of corporate governance quality, we find that well-governed firms
do not outperform poorly governed firms. We explore three potential explanations for the
lack of significant impact of corporate governance quality on performance. First, we examine
whether cross-country differences in institutional development have an impact on the effect
of corporate governance on performance. Second, we investigate whether a narrowing down
of the informational efficient segment of the market during the crisis can explain the results.
We do not find support for either of these conjectures. Finally, we examine whether stock
markets became less efficient in incorporating firm-specific information into stock prices
during the crisis. Our empirical evidence is consistent with the view that during the crisis
stock markets in developed countries became less efficient in incorporating firm-specific
information into prices.

TITLE: Long Run Relationship between Aggregate Stock Prices and Macroeconomic
Factors in BRICS Stock Markets

AUTHOR: Dr. Vanita Tripathi, Associate Professor, Department of Commerce, Delhi

School of Economics, University of Delhi, India. Email: vanitatripathi1@yahoo.co.in;
Contact: +919213269951.

Arnav Kumar (Contact Author), Ph.D. (Finance) Research Scholar, Department of

Commerce, Delhi School of Economics, University of Delhi, India. Email:
arnavkumardse@gmail.com; Contact: +91-9711915250.

ABSTRACT: This paper comprehensively examines the long run relationship between
aggregate stock prices and selects macroeconomic factors (i.e., GDP, Inflation, Interest Rate,
Exchange Rate, Money Supply and International Oil Prices) in the emerging BRICS markets
over the period 1995 to 2014 using quarterly data. To assess the impact of global financial
crisis on this relationship, we consider two sub periods viz., a Pre-Crisis period (1995:Q1 to
2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Long Run Granger Causality Test,
Johansen’s Cointegration Test (both Bivariate & Multivariate) and Vector Error Correction
Mechanism (VECM) are applied. Overall, we find that there is unidirectional long run
causality from Stock prices to GDP, Inflation & Interest Rate. A bidirectional long run causal
relationship of Stock prices is found with Money Supply and Oil Prices. Also, the long run
granger causal relationship differs significantly between pre and post crisis periods for all the
macroeconomic variables. Johansen’s Cointegration results suggest presence of long run
equilibrium relationship between BRICS Stock prices and select Macroeconomic Factors
(except Inflation and Oil Prices). There was no major difference in cointegration results in
pre and post crisis periods except for Inflation and Interest rate, implying that global financial
crisis has led to greater long run integration of stock market with the real economy. VECM
results indicate that error correction to restore equilibrium is more in stock market than in
macroeconomic factors. Thus, in times of any destabilisation or disequilibrium in long run
the real economy leads the stock market to a new equilibrium. These findings, besides
augmenting the empirical literature and knowledge domain on the topic, have significant
implications for policy. Long Run Relationship between BRICS Aggregate Stock Prices and
Macroeconomic Factors makers, regulators, academicians, researchers and investment
community particularly in emerging markets.

TITLE: Macroeconomic Indicators and Saudi Equity Market: A Time Series Analysis

AUTHOR: Amar Yaser Almansour Finance and Economics Department, Amman Arab
University, Amman, Jordan E-mail: a.almanour@aau.edu.jo Tel: +962790587538

Bashar Yaser Almansour Finance and Economics Department, Taibah University, Medina,
Saudi Arabia E-mail: bmansour@taibahu.edu.sa Tel: +96658272606

ABSTRACT: Finance theories assert that macroeconomic factors play a significant role in
determining the strength of economic situations. As such, the influence of macroeconomic
variables must be realised. This study explored the association between macroeconomic
variables and stock return. The methodological research employed two econometric models.
These included the Ordinary Least Squared (OLS) and the Granger Causality Model. This
research concentrated on the Saudi stock market, using data from January 2010 to December
2014 in order to explore the effect of macroeconomic variables on stock returns based on
inflation, money supply, interest rate and oil price. The results indicated that there was a
positive and significant relationship between oil price and stock returns. Furthermore, the
results highlighted a negative relationship between inflation rates and stock returns. The
overall Granger Causality Test revealed that stock returns influenced interest rates. The
results support and reinforced a growing body of knowledge and published literature
asserting that stock returns Granger influenced the price of oil, consequently, highlighting the
effects of interest rates on stock returns. However, stock prices did not influence additional
macroeconomic variables included in the research.

TITLE: Macro-economic model of aggregate market in the Albanian economy, and relevant
problems thereto

AUTHOR: Alqi Naqellari

ABSTRACT: This paper uses concrete data obtained on the Albanian economy to analyse
the positions of aggregate demand/supply curves in the economy. As examples from micro-
economics, we have taken the models of Walrus and Marshall, to view the possibilities of
achieving an economic equilibrium. Data available from the Albanian economy and from the
global economic trends generally, have shown that the positions of curves are such, with
differences in their inclination, while the classic position of the aggregate demand curve, with
a negative trend, studied in the macro-economic theory, is unique. Therefore, our objective is
to try and show the scholars of the field that the macro-economic problems must be viewed in
this light, and not through the static scheme used so far. The equilibrium is met not only
when the aggregate demand and aggregate supply curves are met, meaning when the
aggregate expenditure are equal to aggregate production, but it exists at every moment,
independently of whether it is consistent or not, while the pricing trends continue to increase,
similar to two other aggregates. The understanding of such a situation should give the
possibility to governments and other policy-making institutions to review their positions and
relations with monetary and fiscal indicators, in a view of making the organic connection, and
increasing their working effectiveness. The paper aims to show how one can define the
relation between monetary and fiscal policies necessary to see their role and relevance in the
economic growth of a country.
TITLE: Market Integration: A Sector Level Approach

AUTHOR: Serif Ozlen Pamukkale University, College of Applied Sciences, International

Trade and Logistics Department, Denizli, Turkey E-mail: serifeo@pau.edu.tr

ABSTRACT: This study aims to find out the long-run associations among emerging Turkish
stock market and three developed stock markets (the German, the US and UK stock markets)
for portfolio diversification by employing Augmented Dickey Fuller (ADF) Test, Johansen
Cointegration Test and Vector Error Correction Model (VECM). The data includes the
companies from 11 different sectors of Turkish Stock Market. The results reveal five
cointegration equations with the selected factors including both micro and macro variables.
The paper is concluded with the discussion of identified relationships for each sector.

TITLE: Micro and Macro Determinants of Delisting and Liquidity in Indonesian Stock
Market: A Time-Dependent Covariate of Survival Cox Approach

AUTHOR: 1Dedy DWI Prastyo

2Yurike Nurmala Rucy

3Advendos D.C. Sigalingging

4Suhartono and 5Soo-Fen FAM

4Department of Statistics, Institute Technology Sepuluh Nopember Campus ITS – Sukolilo,

Surabaya 60111, Indonesia 5Department of Technopreneurship, University Technical
Malaysia Melaka, 76100 Durian Tunggal, Melaka, Malaysia ∗Corresponding author: dedy-
dp@statistika.its.ac.id

ABSTRACT: Coxmodel is popular in survival analysis. In the case of time-varying

covariate; several subject-specific attributes possibly to change more frequently than others.
This paper deals with that issue. This study aims to analyse survival data with time-varying
covariate using a time-dependent covariate Cox model. The two case studies employed in this
work are (1) delisting time of companies from IDX and (2) delisting time of company from
LQ45 (liquidity index). The survival time is the time until a company is delisted from IDX or
LQ45. The determinants are eighteen quarterly financial ratios and two macroeconomics
indicators, i.e., the Jakarta Composite Index (JCI) and BI interest rate that changes more
frequent. The empirical results show that JCI is significant for both delisting and liquidity
whereas BI rate is significant only for liquidity. The significant firm-specific financial ratios
vary for delisting and liquidity.

TITLE: Multi-Factor Model on the Indian Bourses: An Empirical Study

AUTHOR: Prof Madhu Iyengar1, IBS Business School, Powai, Mumbai

Dr. Dimple Pandey2, IBS Business School, Powai, Mumbai

Prof. Davinder Suri3, IBS Business School, Powai, Mumbai

ABSTRACT: Asset prices in the markets are influenced by changes in economic

environment and also reflect the intrinsic value of an individual stock in a particular industry.
Various asset pricing models have been developed to predict asset returns as accurately as
possible. CAPM is one of the most used models to understand the risk and return
relationship. The Arbitrage Pricing Theory, a multifactor model, assumes that asset returns
are dependent on multiple risk factors including macroeconomic indicators such as inflation,
changes in interest rates, growth in gross domestic product (GDP), or political and economic
events which generally impact the returns of all assets. The objective of this paper is to
examine the various macroeconomic factors that influence asset prices on the Indian bourses
and use the APT (multi factor model) to explain asset returns on the thirty scrip’s included in
the BSE SENSEX for the period April 2011 to March 2017. The statistical techniques used
are exploratory factor analysis, multiple regression analysis and cross sectional regression
analysis.