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The Impact of Macroeconomic Factors on Stock Market Prices in Ireland

Zhang, Zhenlan (2020) The Impact of Macroeconomic Factors on Stock Market Prices in Ireland. Masters thesis, Dublin, National College of Ireland.

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Abstract

The relationship between macroeconomic variables and stock market prices has been examined by many researchers in many different countries. There is a geographical gap among the literatures. The nature of such a relationship in Ireland is rarely studied. The study uses monthly data from Ireland for the period from January 2009 to December 2019 to examine the relationship between the Ireland Stock Exchange Overall Index (ISEQ All-share) and four selected macroeconomic variables, unemployment rate, consumer price index, real effective exchange rate and crude oil price. The major analysis techniques used are the Granger Causality test and ordinary least square regression - OLS. The Granger Causality test indicates that there is no significant granger causal relationship between the ISEQ all-share prices and each macroeconomic variable. The OLS regression shows that the unemployment rate has a positive and insignificant relationship with the ISEQ all-share. Consumer price index and real effective exchange rate have negative and insignificant relationships with the ISEQ all-share. The crude oil price has a positive and significant relationship with the ISEQ all-share. The results highlight that the Irish stock market is more sensitive to crude oil prices rather than domestic macroeconomic indicators.

Keywords: macroeconomic variables, ISEQ all-share, Granger Causality test and OLS regression.

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HG Finance > Investment > Stock Exchange > Irish Stock Exchange
H Social Sciences > Economics > Macroeconomics
Divisions: School of Business > Master of Science in Finance
Depositing User: Dan English
Date Deposited: 16 Feb 2021 11:44
Last Modified: 16 Feb 2021 11:44
URI: http://norma.ncirl.ie/id/eprint/4775

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