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A dynamic heterogeneous panel estimation of the impact of income, inflation and happiness on stock

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dc.contributor.authorMuzafar Shah Habibullah
dc.contributor.authorRatneswary Rasiah
dc.contributor.authorBaharom Abdul Hamid
dc.date.accessioned2016-08-15T08:47:42Z
dc.date.available2016-08-15T08:47:42Z
dc.date.issued2016-03
dc.description.abstractThis study examines the long-run relationships and short-run dynamic interactions between stock returns and its determinants comprising of GDP per capita, inflation and happiness, over the period 1973 to 2012. The study applies the dynamic heterogenous panel estimation techniques of Mean Group (MG), Pooled Mean Group (PMG) and Dynamic Fixed Effects (DFE) to analyse a set of macro panel data on selected OECD countries to establish the possible causal relations between these variables. The theoretical framework of this study is based on the stock returns theories of Present Value Model/Discounted Cash Flows and “Risk-as-feelings” Theory. The results of this study show evidence that income has a favourable impact on stock returns, while inflation dampens stock returns. Interestingly, the study also revealed that happiness is not significant in determining stock returns in these selected countries, indicating that the market participants are rational economic beings who always act in self-interest, making optimal decisions by trading off costs and benefits weighted by statistically correct probabilities.en_US
dc.identifier.citationRasiah, Ratneswary and Habibullah, Muzafar Shah and Abdul Hamid, Baharom. (2016). A dynamic heterogeneous panel estimation of the impact of income, inflation and happiness on stock. Global Economy and Finance Journal, 9 (1), pp. 67-78.en_US
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1782
dc.language.isoengen_US
dc.publisherZia World Pressen_US
dc.rights2016. Zia World Press
dc.sourceCRP
dc.subjectIncomeen_US
dc.subjectInflationen_US
dc.subjectStock returnsen_US
dc.subjectGDPen_US
dc.subjectDynamic heterogeneous panelen_US
dc.titleA dynamic heterogeneous panel estimation of the impact of income, inflation and happiness on stocken_US
dc.typeJournal Articleen_US
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
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relation.isAuthorOfPublication.latestForDiscovery219f93a8-b38f-400c-981f-6a7162e44a2f
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