Luận văn MSc: Tác động của biến kinh tế vĩ mô đến thị trường chứng khoán Anh - FTSE100

MK7227 Postgraduate Dissertation Student Number: 1149955









Comments Max Actual Mark Mark Supervisor Comments: Introduction Identification of a valid topic, research question and objectives framed to nd Masters Level standard with academic 2 marker Comments: 10% rationale developed, clear industry contextualisation of the research topic *

1149955     Supervisor Comments: Critical Literature Review Depth and breadth of literature search, 25% engagement with seminal authors and 2 nd marker Comments: papers, evidence of a critical approach toward the scholarly literature Supervisor Comments: Research Methodology Evaluation of research philosophies and perspectives. Justification of 15% nd methodological approach, sampling 2 marker Comments: strategy, data analysis and reliability and validity measures as applicable Supervisor Comments: 35% 2     1149955     Data Analysis and Interpretation Evidence of rigor in data analysis and interpretation procedures, identification of nd key patterns and themes in the research 2 marker Comments: data, integration of academic theory into explanation of findings Supervisor Comments: Conclusions and Recommendations Research question and objectives addressed with implications to theoretical and managerial concepts considered. nd 2 marker Comments: 10% Recommendations provided for theory, practice and future research 3     1149955     Supervisor Comments: Organisation, presentation and references. Well structured and ordered dissertation with correct use of grammar and syntax.

In-text citation and bibliography 5% nd 2 marker Comments: conforming to “Cite Them Right” First Marker Total Total 100% Second Marker Total Supervisor General Comments: Agreed Mark: 4     1149955     2nd Marker General Comments: Supervisor’s Name: ………………………………………. Signature: ………………………… nd 2 Marker’s Name: ………………………………………. Signature: ………………………… Impact of macroeconomic variables on UK stock market: A case study of FTSE100 index. 5     1149955     A dissertation submitted in partial fulfilment of the requirements of the Royal Docks Business School, University of East London for the degree of MSc.

Finance and Risk Management. [September, 2015] [13,409] I declare that no material contained in the thesis has been used in any other submission for an academic award Student Number:____1149955___________________ Date:___08/09/15______ Contents   Dissertation Deposit Agreement.1Objective of study .3 Overview of chapters.16-17 Chapter2: Literature review.18-25 Chapter 3: Research Methodology.1 Research Question and Objectives.4Vector Error Correction Model.32-33 Chapter4: Data Analysis.3 Vector Error Correction Model .4 interpretations of results.5 Granger Causality test.1-Tables8: Eviews Output- Descriptive statistic tables.2- Tables 9A-9C: Eviews Output- Unit root tests.3-Table 10: Eviews Output- Vector autoregression estimates.4- Table 11: Eviews Output- VAR lag order selection criteria.5- Table 12: Eviews Output- Johansen Cointegration test.6- Table 13: Eviews Output- Vector Error Correction Estimates.7- Table 14: Eviews Output- Granger Causality test.8- figure 7:Q seasonally adjusted production and manufacturing .9- figure 8: CPI inflation (%) and contributions from broad expenditure categories (percentage points).84   Dissertation Deposit Agreement Libraries and Learning Services at UEL is compiling a collection of dissertations identified by academic staff as being of high quality. These dissertations will be included on ROAR the UEL Institutional Repository as examples for other students following the same courses in the future, and as a showcase of the best student work produced at UEL. This Agreement details the permission we seek from you as the author to make your dissertation available.

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/cont 9     1149955     Dissertation Details Field Name Details to complete Title of thesis Impact of macroeconomic variables on UK stock market: A case study of FTSE100 index. Full title, including any subtitle Supervisor(s)/advisor Shabani, Mimoza Separate the surname (family name) from the forenames, given names or initials with a comma, e. Author Affiliation Royal Docks Business School Name of school where you were based Qualification name MSc E. MA, MSc, MRes, PGDip Course Title Finance and Risk Management The title of the course e.

Date of Dissertation 8th September 2015 Date submitted in format: YYYY-MM 2015-09 Does your dissertation contain primary research data? (If the answer to this Yes No √   question is yes, please make sure to include your Research Ethics application as an appendices to your dissertation) Do you want to make the dissertation Open Access (on the public web) or Open √   Closed Closed Access (for UEL users only)? By returning this form electronically from a recognised UEL email address or UEL network system, I grant UEL the deposit agreement detailed above. I understand inclusion on and removal from ROAR is at UEL’s discretion. 10     1149955     Dedication To God be the glory for completing this dissertation in health and vitality. I dedicate this dissertation to God the Father, God the Son and God the Holy Spirit.

I will like to dedicate this dissertation also to my beloved mother Late Mrs Catherine Ekei Henshaw, mummy I miss you always, you have always been my inspiration and I know you will be happy for me for my success although you are gone but I keep hearing your word of wisdom and this has kept me going and I am grateful for the love we shared together. 11     1149955     Acknowledgement I will like to acknowledge my supervisor Dr. Mimoza Shabani for her guidance throughout this dissertation. 12     1149955     Impact of macroeconomic variables on UK stock market: A case study of FTSE100 index.

Abstract The relationship between macroeconomic variables and stock market has been studied over the years by researchers and there are documented literatures over several decades but it is still a debatable issue whether macroeconomic variables determine stock market prices. This paper investigates the impact of macroeconomic variables on FTSE100 Index. The selected macroeconomic variables are consumer price index (CPI) as a proxy for inflation, industrial production index (IPI), money supply (M1), exchange rate(ER) and interest rate (IR). The data for the analysis are monthly time series from January 1995 to December of 2014.

The study employed Error Vector Correction Model to determine the long run and short run equilibrium relationships. The unit root tests and Johansen cointegration test were carried out. The empirical results suggested long-term relationship among the variables in as there exists a cointegration relationship between the variables. The industrial production index, money supply and interest rate are cointegrated and have a long run equilibrium relationship.

 The consumer price index and exchange rate showed positive relationship with the FTSE100 Index over the long run, whereas the industrial production index, money supply and interest rate showed negative long-run relationships with the FTSE100 Index. The Vector Error Correction Model in the short run suggest that exchange rate and industrial production index restore equilibrium as they both deviate in the short run but adjust to equilibrium in the long run. Further test was conducted using  Granger causality test and the result showed bi-directional causality between consumer price index and industrial production index and unidirectional causality between FTSE100 and exchange rate, FTSE100 and industrial production index, money supply (M1) and interest rate, interest rate and industrial production index, exchange rate and money supply (M1), money supply (M1) and industrial production index, exchange rate and industrial production index. Keywords: Stock market, Macroeconomic variables, Vector error connection model, Unit root test, Johansen cointegration test, Granger causality test.

13     1149955     Chapter1- Introduction Introduction Stock market is a leading economic indicator for the performance of a country or nation. The growth of the economy is sometimes determined by the stock returns from its stock market. This is because stock market is a major investment of any economy, a market where stock is issued and sells to the public and these companies in trade are able to raise funds to finance their activities. Stock market is also an important factor in business decisions because the prices of shares affect the amount of fund that can be raised by selling newly issued stock to finance investment spending (Mishkin, 2013, p.

People often speculate about the market movement whether the market is heading for a big kill or at a loss. Stock market is a place where people can get rich or poor quickly. Investors observe the stock market trend or listen to economic news to enable them chose or decide what stock market or company they can invest in. Some investors prefer to diversify their investments because of risk.

This risk could be economical or social or political. We cannot possibly examine all the macroeconomic variables efficiently by daily monitoring of the stock market movement or fluctuation so carrying out an empirical research will enable us to determine or identify the macroeconomic variables responsible for the fluctuation of UK stock market. Stock market movement or behaviour is determined by several macroeconomic variables, therefore its fluctuation. The common or key macroeconomic variables of an economy are inflation and interest rate because expected inflation will lead to a rise in interest rate and so some nations will also try to target inflation and reduce interest rate.

The Bank of England set interest rate much lower after the financial crisis of 2007- 2009 which the stock market of Dow Jones Stock Exchange (DJSE) crashed and this affected the stock market of UK since the two stock markets are interconnected which means a risk to one stock market will affect the other stock market. This kind of risk is called systemic risk.