No description available.

No description available.

Abstract The study reported here was tring to examine the macroeconomic variables that determine the earnings multiple of the Taiwan stock market. For this study, monthly time-series data were used for each of the variables from 1991 through 2001. We used earnings to price ratio¡]E/P¡^as the dependent variable¡AM1B¡BGDP¡]lag¡^¡Bmarket return¡Bcapital increasing rate¡Blog of 5 years bond yield¡Binflation rate¡Blag of earning growth and market value to GNP ratio¡]MV/GNP¡^as the independent variables to construct a multiple-regression model. And we finded the maraket value to GNP ratio¡]MV/GNP¡^was the most powerful variable of the 5 significant variables. GDP¡]lag¡^was second, capaital incresing rate ranked third. Market return was fourth, and M1B was the fifth most explanatory variable. Both capaital increasing rate¡]supply side¡^and M1B¡]demand side¡^variables were signifinant¡Ameant the Law of Supply ¡® Demand remained unchanged in the Taiwan stock market.

The real estate market has been of great interest since the rise in home foreclosures in US, which started in the late 2006. The purpose of this thesis is to examine a possible relationship between the factors presented in DiPasquale and Wheaton’s (1996) model which explains the market linkages between the property market and asset market, and the Swedish real estate companies listed on the Swedish stock market OMX. The real estate stock market is, divided in to groups of 3, which represented the dependent variable. The repo rate, CPI, expected inflation, macro index, disposable income, GDP and a real estate price index are the explanatory variables. Stockholm Stock Market All- Share Index (OMXSPI) is also included as a possible explanatory variable. The main findings in most of the estimations for the groups and years, is that the OMXSPI is of significance at the 10 percent level. The other variables did not show any significant result based on the 10 percent significance level, According to the results it seems like the volatility has increased over time in the real estate stock market with respect to the OMXSPI. That is; the risk has increased significantly from the period 1996-1999 to the later periods.

In 2000 and 2001,The Financial Institution Merger Act and Financial Holding Act were legislated in Taiwan. There are 15 financial holding companies established till now. Financial holding companies hope to diversify financial commodities to investors through joint-marketing and gain cost-saving and risk-control and improve financial performance. It expects to pursue and promote broad business scope. Cathay Financial Holding company, one of the financial holding companies, is the biggest financial holding company except the Taiwan Financial Holding company. Cathay Financial Holding company has total assets exceeding NTD 3.68 trillion. The subsidiaries of Cathay Financial Holding company include Cathay Life Insurance, Cathay United Bank, Cathay Century Insurance, Cathay Securities, and Cathay Venture Capital. The financial performance of subsidiaries of financial holding company becomes more sensitive due to competition of financial liberalization and macroeconomic variables changed. The research not only uses a multiple-regression model and reported here was trying to examine the macroeconomic variables that determine the financial performance of subsidiaries of Cathay Financial Holding company, but also uses a managing capital method EAR to discuss the risk-control of Cathay Financial Holding company. Keywords : Financial Holding company, financial performance, macroeconomic variables, managing capital, EAR

<p>The real estate market has been of great interest since the rise in home foreclosures in</p><p>US, which started in the late 2006. The purpose of this thesis is to examine a possible</p><p>relationship between the factors presented in DiPasquale and Wheaton’s (1996) model</p><p>which explains the market linkages between the property market and asset market, and</p><p>the Swedish real estate companies listed on the Swedish stock market OMX. The real</p><p>estate stock market is, divided in to groups of 3, which represented the dependent</p><p>variable. The repo rate, CPI, expected inflation, macro index, disposable income, GDP</p><p>and a real estate price index are the explanatory variables. Stockholm Stock Market All-</p><p>Share Index (OMXSPI) is also included as a possible explanatory variable.</p><p>The main findings in most of the estimations for the groups and years, is that the</p><p>OMXSPI is of significance at the 10 percent level. The other variables did not show any</p><p>significant result based on the 10 percent significance level,</p><p>According to the results it seems like the volatility has increased over time in the real</p><p>estate stock market with respect to the OMXSPI. That is; the risk has increased</p><p>significantly from the period 1996-1999 to the later periods.</p>

The objective of this study is to investigate the impact of a few selected macroeconomic variables on the Swedish stock market index OMXS30. The study uses time series monthly data during the period 2000-2019. To investigate these relationships, the time series are transformed into stationary processes. Then, we construct a Vector autoregressive model (VAR) and conduct Granger causality tests. The results indicated a negative relationship between inflation and the return on stocks, interest rate and the return on stocks, as well as positive relationship between money supply and the return on stocks. The VAR-model and the Granger causality test failed to show any statistically significant relationship between exchange rate and stock prices. The same Granger Causality tests suggests a bidirectional relationship between interest rate and the return of OMXS30, as well as unidirectional relationship between inflation and the stock prices, where inflation Granger causes the return of OMXS30.

The aim of this thesis consist of three parts. Firstly, the aim was to developan accurate historical inflation index suitable for the insurance business, usinginformation about insurance matters. The calculated inflation index was compared to an in-house benchmark at the insurance company Gjensidige, it wasfound to be a good match. Secondly, to determine the best model for explainingthe Swedish CPI inflation shocks, the thesis employed Multi Linear, RandomForest and XGBoost Regression. Thirdly, feature importance estimation wasconducted to identify which macroeconomic variables that were the most important in explaining inflation. Also, a time lag analysis was implemented tobetter understand with what delay these features best explain the inflation. Theresults revealed that Random Forest and Multi Linear Regression were the mostsuitable model candidates in terms of performance and transparency based onthe available dataset. Furthermore, the study found that unemployment rate,interest rate, and energy were the most crucial features in explaining inflation.It was also found that features with a low time lag entailed a high importance.The belief is that the study’s findings can assist insurance companies in developing a more agile product pricing process and sharpen their awareness towardsimportant macroeconomic variables. Overall, this study can be a valuable resource for insurance companies seeking to avoid underwriting risk and gain abetter understanding of the inflation’s underlying drivers.

AN ABSTRACT OF THE THESIS OFSamridha Jung Rana, for the Master of Science degree in Economics, presented on November 10, 2022, at Southern Illinois University Carbondale.TITLE: MACROECONOMICS AND ANAMOLIES AS DETERMINANTS OF STOCK RETURNSMAJOR PROFESSOR: Dr. Scott GilbertAbstract: There is no general support to explain the strong correlation between the macroeconomic variables and the Standard & Poor 500 index fund returns. This thesis sheds some light on how the macroeconomic variables have impacted the monthly returns on the Standard & Poor 500 over the last decade. Firstly, we introduce the Standard & Poor 500 index and various macroeconomic factors influencing the U.S. economy over the years. Subsequently, investigating the casualty relationship between the monthly rate of returns, the consumer-producer index, the industrial producer index, Money Supply, Unemployment, inflation rate, and the exchange rate. The methodology used in this study includes a stepwise multiple regression model, Johansen cointegration test, Dickey-fuller augmented test, Phillip perron test, and the Granger Causality test. Furthermore, investigating stock market anomalies that have been verified immensely, such as the day-of-the-week Effect and month-of-the-year Effect, has also been explored to see whether those anomalies still exist in recent times.

nÃo hà / Este trabalho almeja avaliar se o desempenho das aÃÃes das empresas de alimento pode ser explicado pelos comportamentos das variÃveis macroeconÃmicas como PIB, taxa de juros Selic, taxa de cÃmbio, balanÃa comercial, taxa de desemprego, Ãndice de preÃo e Ãndice de confianÃa do consumidor. Utilizando os testes de Johansen para o perÃodo de 2004 a 2014 os resultados permitem inferir que a variÃvel PIB e balanÃa comercial, representada pela taxa de cobertura possuem cointegraÃÃes significativas nos comportamentos dos preÃos das aÃÃes e que algumas aÃÃes como a da empresa Minerva possuem fortes co-integraÃÃes com todas as variÃveis estudadas, conclui-se entÃo que as variÃveis macroeconÃmicas tÃm importÃncia significativa no desempenho das aÃÃes. / Este trabalho almeja avaliar se o desempenho das aÃÃes das empresas de alimento pode ser explicado pelos comportamentos das variÃveis macroeconÃmicas como PIB, taxa de juros Selic, taxa de cÃmbio, balanÃa comercial, taxa de desemprego, Ãndice de preÃo e Ãndice de confianÃa do consumidor. Utilizando os testes de Johansen para o perÃodo de 2004 a 2014 os resultados permitem inferir que a variÃvel PIB e balanÃa comercial, representada pela taxa de cobertura possuem cointegraÃÃes significativas nos comportamentos dos preÃos das aÃÃes e que algumas aÃÃes como a da empresa Minerva possuem fortes co-integraÃÃes com todas as variÃveis estudadas, conclui-se entÃo que as variÃveis macroeconÃmicas tÃm importÃncia significativa no desempenho das aÃÃes. / This work aims evaluates the performance of the shares of food companies can be explained by the behavior of macroeconomic variables such as GDP, Selic interest rate, exchange rate, trade balance, unemployment, price index and confidence index consumer. Using Johansen tests for the period 2004-2014 the results allow us to infer that the variable GDP and trade balance, represented by the coverage rate have significant cointegration the behavior of share prices and that some actions such as the Minerva company has strong cointegration with all variables, it follows then that macroeconomic variables have a significant influence on share performance. / This work aims evaluates the performance of the shares of food companies can be explained by the behavior of macroeconomic variables such as GDP, Selic interest rate, exchange rate, trade balance, unemployment, price index and confidence index consumer. Using Johansen tests for the period 2004-2014 the results allow us to infer that the variable GDP and trade balance, represented by the coverage rate have significant cointegration the behavior of share prices and that some actions such as the Minerva company has strong cointegration with all variables, it follows then that macroeconomic variables have a significant influence on share performance.