The impact of national and global macroeconomic factors on emerging stock markets: A multi-statistical analysis of the MINT countries

This research contributes to an ongoing debate in finance on whether stock markets are
 

integrated or segmented. The arbitrage pricing theory (APT) suggests that systematic and
 

unsystematic risks are major determinants of stock market movements which have inspired
 

scholars to examine factors responsible for high volatility in stock price movement. The
 

literature on this subject has focused on investigating the impact of microeconomic and
 

domestic macroeconomic factors on the stock market. However, only a little effort has been
 

made on the potential impact of global macroeconomic factors, especially the implementation
 

of monetary policy, through the Federal funds rate, on the emerging markets. There are many
 

emerging markets in the world, but Mexico, Indonesia, Nigeria and Turkey (MINT) are a group
 

of emerging markets which has been promoted by investment houses as an alternative
 

investment destination to international investors hence why the attention on these countries.
 

The target sample data analysed ranges from 1993 to 2014 and data was retrieved from reliable
 

sources. There have been discrepancies in the results of researchers, due to the nature of the
 

statistical methods employed which has created the need for this study to estimate the
 

statistically significant interaction between stock returns and Federal funds rate, MSCI global
 

equity index, commodity price index, exchange rate, interest rate and industrial production
 

using multi-statistical strategy. Time series data analysis was used to conduct ARDL
 

cointegration, impulse response function, variance decomposition and Granger causality tests
 

to determine the short and long-run relationships between the variables. The Granger causality
 

test shows the direction of causality between variables and all tests are conducted using
 

monthly data.
 

The findings of this research revealed that MINT countries have significant differences in the
 

magnitude and their association with domestic and global macroeconomic factors. The results
 

indicate domestic factors, such as interest rate and exchange rate as the major determinants of
 

stock return movement in Mexico, Indonesia and Turkey. On the other hand, global commodity
 

price index is identified as the primary determinants of stock return movement in Nigeria.
 

Policymakers would benefit from the findings in the preparation of new capital market policies
 

or modification of existing policies in the interest of the MINT stock markets.