Sensitivity Analysis of Macroeconomic Variables and Stock Returns. A Cross-Country Comparison between Bangladesh and India

      Аннотация: The impact of macroeconomic variables on stock returns has been the subject of increased theoretical and empirical investigation in literature. This book aims to complement the literature by extending this presumed relationship between stock returns and a set of pre-determined domestic and global macroeconomic variables to the emerging stock markets of Bangladesh and India. Evidence for this relationship is drawn in this study through the research methods of Vector Autoregression and by applying empirical tests like Johansen cointegration and Vector Error Correction Models. Empirical findings of this research will provide further insights into understanding the underlying macroeconomic factors that can significantly impact the stock returns of selected stock markets of both Bangladesh and India. This study can also assist various academicians, researchers, policy makers and particularly the governments of these two developing countries to consider the influence of macroeconomic factors when regulating their stock markets, its returns and its policies.

Ключевые слова: Bangladesh, Developing Countries, Dhaka Stock Exchange, emerging markets, macroeconomic variables, Stock Returns, Bombay Stock Exchange, cointegration, India, Vector Autoregression Model.