Jul 2026· NUST Business Review· 0 citations· 45 references
Abstract
Purpose: The purpose of this study is to investigate the stock market risk determinants in South Asian economies. It analyzes the impact of exchange rate and interest rate fluctuations on Value at Risk (VaR). It also assesses how macroeconomic variables influence market volatility for investors and policymakers..
Design/Methodology: Annual panel data for five South Asian countries: Pakistan, Bangladesh, India, Nepal and Sri Lanka, for the years 2014-2024, have been analyzed. Parametric VaR was employed to measure the risk in the stock market, and fixed-effects panel regression was used to analyze the effect of selected macroeconomic variables.
Findings: The findings suggest that the impact of exchange rate and interest rate movements, GDP growth and oil prices are highly significant for the risk of the stock market, and also for the dynamics of the VaR. There is no significant direct effect of inflation, indicating that its effect may be indirect via other macroeconomic variables.
Practical implications: The study is useful to the policymakers for formulating stable monetary policies and to the investors for risk management in watching important macro-economic indicators which influence the volatility of the markets.
Originality: This study was a multi-country empirical evaluation of macroeconomic determinants of VaR in South Asia which was a parametric study. It emphasizes the interrelationships between the roles of domestic macroeconomic factors and external price shocks. The results add to the body of literature on financial-risk in the region.
The study sought to explore the effects of macroeconomic volatility and interest rate differential
on stock market liquidity in Nigeria and South Africa from 1984 to 2022.The gross domestic
product and Interest rate differentials were used as explained variables, while the money supply
and exchange rate served as explanatory variables. The base year (1984) was marked by Food
and Agricultural Organization (FAO)Launched by the United Nations to assist in alleviating
famine in Africa. A population of 54 countries in Sub-Sahara Africa was sampled, while two
countries were selected based on the volume of their market transactions over the years under
study. We carried out stationarity test, co-integration test, parameter stability test, arch effect and
OLS. Findings indicated that (i) Macroeconomic volatility have a positive and significance effect
on the stock market liquidity in Nigeria, while in South Africa, Macroeconomic volatility have
positive and non-significance effect on the stock market liquidity .(ii) Interest rate have a negative
and non-significance effect on the stock market liquidity in South Africa and Nigeria .It was
recommended that government need to enact sound monetary policies in order to enhance
economic growth in both countries under study. The government will also need to benchmark for
best practices in monetary policy development from those economies that are more advanced in
order to develop better monetary policies that can improve the performance of the stock market.
(ii)The government need to create an enabling environment and promote infrastructural
development to facilitate the ease of stock market activities in particular and financial system of
both countries.
E. Okwor· International Journal of Eco...· 0 citations
Macroeconomic fluctuations are among the primary factors influencing stock price movements in the capital market. However, previous studies have reported inconsistent findings regarding the effects of inflation, interest rates, and exchange rates on LQ45 stock prices during the post-pandemic period, indicating the need for further empirical investigation. This study aims to examine the effects of inflation, interest rates, and exchange rates on the stock prices of companies listed in the LQ45 Index of the Indonesia Stock Exchange during 2020–2025. A quantitative approach was employed using secondary data obtained from the Indonesia Stock Exchange, Bank Indonesia, and Statistics Indonesia. The data were analyzed using multiple linear regression after satisfying the classical assumption tests. The results reveal that inflation has a significant negative effect on stock prices, while interest rates also exert a significant negative influence. Conversely, the exchange rate has a significant positive effect on stock prices. Simultaneously, these macroeconomic variables significantly affect stock prices, with an Adjusted R² of 66.6%, indicating that the proposed model explains a substantial proportion of stock price variation. These findings highlight the importance of macroeconomic stability in supporting capital market performance. The study provides practical implications for investors in developing investment strategies based on macroeconomic indicators and for policymakers in designing monetary and economic policies that promote market stability and strengthen investor confidence.
Type of the article: Research ArticleAbstractExchange rate volatility is a critical macroeconomic risk factor in emerging markets, particularly for export-oriented sectors such as mining in South Africa. The South African mining sector is inherently affected by exchange rate volatility, yet it is the economy’s largest foreign-currency earner through the export of mining resources. The study examines the effect of exchange rate volatility on mining companies’ share returns within South Africa. The study applies the system Generalized Method of Moments (GMM) estimator to account for both endogeneity and dynamic effects, using panel data from 15 Johannesburg Stock Exchange-listed mining companies over the period 2011 to 2024. The empirical results reveal that exchange rate volatility has a positive and significant effect on the share returns of mining companies, with a coefficient of 0.808, and on total returns (1.094). This indicates that higher currency risk is related to higher return premiums. In contrast, a negative and significant relationship exists between exchange rate volatility and share prices (99.45), implying an adverse valuation effect during heightened uncertainty. Regarding the control variables, GDP growth has a positive effect on share returns (8.978), while oil prices exhibit a negative relationship (–0.327). The results of the study support the risk-return trade-off and the flow-oriented exchange rate approach. The study therefore shows that exchange rate volatility plays a dual role through the enhancement of returns while depressing valuations. This highlights the benefits of implementing currency risk management strategies for investors and policymakers.
S. Moyana, Margaret Rutendo Magwedere, G. Marozva· Investment Management & Fina...· 0 citations
The present study examines the impact of selected macroeconomic variables on stock market performance in India, with specific reference to the Nifty 50 Index during the period from June 2025 to May 2026. The study aims to analyse the movement of Nifty 50 closing values and to evaluate the influence of CPI inflation, repo rate, USD/INR exchange rate, and India’s 10-year government bond yield on equity market performance. The study tests the null hypothesis that macroeconomic variables do not significantly affect stock market performance in India against the alternative hypothesis that they exert a significant influence. A descriptive and analytical research design has been adopted, based entirely on secondary data collected from recognised institutional sources, including NSE India, MoSPI/NSO, RBI MPC, FBIL, CCIL, and RBI DBIE. Since CPI inflation data for May 2026 were unavailable, inferential analysis was conducted using eleven valid monthly observations from June 2025 to April 2026. Descriptive statistics, trend analysis, Pearson correlation analysis, and multiple regression analysis were employed for empirical examination. The trend results reveal that the Nifty 50 declined from 24,812.05 in June 2025 to 23,643.50 in May 2026, representing a fall of 4.71%, while the rupee depreciated and bond yields increased during the period. Correlation analysis identified significant negative relationships between Nifty 50 and CPI inflation (r = -.682, p = .021) and between Nifty 50 and the 10-year bond yield (r = -.776, p = .005). The regression model reported R = .865 and R² = .748, indicating considerable explanatory power; however, the model was not statistically significant at the 5% level (F = 4.449, p = .052). Accordingly, the null hypothesis is not rejected at the 5% level, although marginal evidence of macroeconomic influence is observed at the 10% level. The findings underscore the relevance of macro-financial stability for equity market performance, subject to the limitation of the short study period and small sample size.
Christian Orlin Wilsonbhai, Dr. Dixitabahen M. Oza· Vidhyayana· 0 citations
This study aims to analyze and examine the influence of macroeconomic factors, consisting of Interest Rates, Exchange Rates, and Inflation, on Stock Prices in banking sector companies listed on the Indonesia Stock Exchange (IDX) for the 2021–2025 period. Furthermore, this study also examines the role of the Capital Adequacy Ratio (CAR) as a moderating variable in moderating the effects of interest rates, exchange rates, and inflation on these stock prices. The research method employed is an explanatory research approach with an ex post facto design. The population in this study comprises all banking companies listed on the IDX during the 2021–2025 period. The sampling technique utilizes a purposive sampling method based on specific criteria, resulting in a sample of 44 banking companies for observation. The data used are secondary data, including annual financial statements and official macroeconomic indicator data. The data analysis method applies Panel Data Regression Analysis with a Moderated Regression Analysis (MRA) approach, processed using EViews 14 statistical software. The results of the study indicate that: 1) Interest Rates have a negative and significant effect on Stock Prices. 2) Exchange Rates have a positive and significant effect on Stock Prices. 3) Inflation has a positive and significant effect on Stock Prices. 4) CAR is able to moderate the effect of Interest Rates on Stock Prices, classified as a Pure Moderator. 5) CAR is unable to moderate the effect of Exchange Rates on Stock Prices, classified as a Predictor Moderator. 6) CAR is able to moderate the effect of Inflation on Stock Prices, classified as a Quasi Moderator in the banking industry on the IDX for the 2021–2025 period.
Maria Ratna, Marisa Ginting, Muchlis Mas’ud et al.· Journal of Education and Tea...· 0 citations
This study attempts to test the impact of certain firm-related variables (i.e., EPS, DPS, P/E ratio, firm size, and ROA) along with macroeconomic variables (i.e., GDP growth, inflation rate, and interest rate) on the stock price of Nepali commercial banks. The study is conducted through the application of panel data of thirteen listed banks for the period of 2011/12 to 2023/24 applying regression analysis supplemented by descriptive and correlation analyses. The findings reveal that EPS, DPS, P/E ratio, firm size, and inflation have a positive effect on the price of shares, whereas interest rate has a negative effect on the price of shares. On the contrary, ROA and GDP growth rate do not have a significant effect on the price of shares. This study highlights the significance of financial indicators, stable dividend policies, and interest rate considerations for investors, managers, policymakers, and future researchers by providing updated evidence from Nepal demonstrating that both firm-specific and macroeconomic factors influence share prices.
