Реагируют ли экзогенные шоки в макроэкономических переменных на изменение цен на акции?

Цель исследования – изучить неожиданные изменения цен на акции в результате внешних шоков, вызванных макроэкономическими переменными, для прогнозирования будущих доходов фондового рынка. Авторы применяют две эконометрические модели, такие как «Variance Decomposition» (VDC) и «Impulse Response Function» (IRF) для изучения того, как внешние шоки в макроэкономических переменных влияют на изменения цен на акции. Ежемесячные временные ряды данных пяти значимых макроэкономических переменных: реального обменного курса, процентной ставки, индекса потребительских цен (ИПЦ), цен на сырую нефть и открытости торговли, взяты в качестве независимых переменных, и BSE SENSEX – в качестве зависимой переменной. Период исследования – с января 2009 по декабрь 2019 г. Выявлено несколько убедительных доказательств изменения цен на акции в результате экзогенных шоков, связанных с обменным курсом, открытостью торговли, инфляцией и процентной ставкой наряду с ценами на сырую нефть. Согласно полученным результатам изменения на фондовом рынке вызывают внешние факторы, такие как изменения в дивидендной политике или потери капитала, а некоторые изменения на фондовом рынке вызваны собственными инновационными шоками. Авторы рекомендуют компаниям контролировать потери капитала и сосредоточиться на стабильной доходности/дивидендной политике, чтобы снизить частоту неожиданных изменений цен на акции. В обзоре литературы представлены различные мнения в контексте мер этих переменных, но исследования экзогенных шоков макроэкономических переменных на BSE SENSEX для индийского фондового рынка с таким конкретным набором данных и продолжительностью не проводились.

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