Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method |
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| Institution: | 1. School of Economics, Jinan University, Guangzhou 510630, China;2. School of Business Administration, South China University of Technology, Guangzhou 510640, China;1. School of Economics and Trade, Guangdong University of Foreign Studies, PR China;2. School of Foreign Languages and Literature, Wuhan University, PR China;3. School of Finance, Guangdong University of Foreign Studies, PR China;4. Institute of Fortune Management Research (IFMR), Guangzhou, PR China;1. Fluminense Federal University, Department of Economics, and National Council for Scientific and Technological Development (CNPq), Rua Royolze Carvalho de Mendonça, 88 – Alto da Boa Vista, Miguel Pereira – Rio de Janeiro, CEP: 26900-000, Brazil;2. Fluminense Federal University, Brazil |
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| Abstract: | Based on the variational mode decomposition and quantile model, this article examines the response of BRICS stock prices to shocks of internal and external macroeconomic factors in different market states and over various investment horizons. The results of quantile regression show that the influence of each factor is complex and changeable across countries, market states, and time horizons, thus exhibiting obvious differences. Nevertheless, these coefficients also show a certain degree of similarity. Besides, we find the relationship between stock prices and macroeconomic variables behaved notably differently during the financial crisis in 2008 compared to other periods. Therefore, paying attention to the investment horizon and market state has extraordinary significance for various market participants. |
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| Keywords: | Exchange rate Crude oil price Gold price Variational mode decomposition Quantile C13 C22 E44 F31 G15 |
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