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The Effects of Macroeconomic Factors on the Shares of Automotive Manufacturers in the USA, Asia, and Europe in the Short and Long Run

Dyankov, Filip LU (2022) NEKN02 20221
Department of Economics
Abstract
This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. This article posits that on average in the Panel VAR analysis the Broad Effective Exchange Rate (BEER) and inflation were the most significant factors, which influence the automotive industry. In other words, the positive coefficient of BEER signalled that the more a currency of a country appreciated (on average), the more car stock returns gained, and the negative... (More)
This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. This article posits that on average in the Panel VAR analysis the Broad Effective Exchange Rate (BEER) and inflation were the most significant factors, which influence the automotive industry. In other words, the positive coefficient of BEER signalled that the more a currency of a country appreciated (on average), the more car stock returns gained, and the negative parameter related to inflation indicated that on a global level automotive stocks suffer in a highly inflationary environment. The study follows up by identifying the most significant in terms of their influence short- and long-run macroeconomic factors on car stock returns on a regional basis. Market benchmark indices, automotive benchmark indices, Brent crude oil, and semiconductor indices exhibited the strongest correlations with automotive stock returns in the regional samples covering the US, Germany, Italy, France, China, Japan, and South Korea. (Less)
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author
Dyankov, Filip LU
supervisor
organization
course
NEKN02 20221
year
type
H1 - Master's Degree (One Year)
subject
keywords
macroeconomic factors, stock returns, VAR, ARDL
language
English
id
9083585
date added to LUP
2022-10-10 09:33:57
date last changed
2022-10-10 09:33:57
@misc{9083585,
  abstract     = {{This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. This article posits that on average in the Panel VAR analysis the Broad Effective Exchange Rate (BEER) and inflation were the most significant factors, which influence the automotive industry. In other words, the positive coefficient of BEER signalled that the more a currency of a country appreciated (on average), the more car stock returns gained, and the negative parameter related to inflation indicated that on a global level automotive stocks suffer in a highly inflationary environment. The study follows up by identifying the most significant in terms of their influence short- and long-run macroeconomic factors on car stock returns on a regional basis. Market benchmark indices, automotive benchmark indices, Brent crude oil, and semiconductor indices exhibited the strongest correlations with automotive stock returns in the regional samples covering the US, Germany, Italy, France, China, Japan, and South Korea.}},
  author       = {{Dyankov, Filip}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{The Effects of Macroeconomic Factors on the Shares of Automotive Manufacturers in the USA, Asia, and Europe in the Short and Long Run}},
  year         = {{2022}},
}