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The impact of income, inflation and happiness on stock returns: a dynamic heterogeneous panel estimation

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dc.contributor.authorR. Ratneswary V. Rasiah
dc.contributor.authorMuzafar Shah Habibullah
dc.contributor.authorBaharom Abdul Hamid
dc.date.accessioned2017-09-15T07:08:51Z
dc.date.available2017-09-15T07:08:51Z
dc.date.issued2015
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 the 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 results of this study show evidence that income has a favourable impact on the stock market, 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 as per the tenets of the Efficient Market Hypothesis (EMH).en_US
dc.identifier.citationRasiah, R. R. V., Habibullah, M. S., & Abdul Hamid, B.. (2015, June 2-4). The impact of income, inflation and happiness on stock returns: a dynamic heterogeneous panel estimation. Paper presented at the 17th Malaysian Finance Association Conference, Kota Kinabalu, Sabah, Malaysia.en_US
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2667
dc.languageEnglish
dc.language.isoengen_US
dc.subjectStock returnsen_US
dc.subjectGDP per capitaen_US
dc.subjectInflationen_US
dc.subjectHappinessen_US
dc.subjectPooled-mean groupen_US
dc.titleThe impact of income, inflation and happiness on stock returns: a dynamic heterogeneous panel estimation
dc.typeAcademic Proceedingen_US
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
relation.isAuthorOfPublication219f93a8-b38f-400c-981f-6a7162e44a2f
relation.isAuthorOfPublication219f93a8-b38f-400c-981f-6a7162e44a2f
relation.isAuthorOfPublication219f93a8-b38f-400c-981f-6a7162e44a2f
relation.isAuthorOfPublication.latestForDiscovery219f93a8-b38f-400c-981f-6a7162e44a2f
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