Exploring Structural Breaks in the Economic-Financial Nexus: Evidence from Panel Data Analysis

Abbas, G., & Wang, S. (2020). Does macroeconomic uncertainty really matter in predicting stock market behavior? a comparative study on china and usa. China Finance Review International, 10(4), 393-427.
https://doi.org/10.1108/CFRI-06-2019-0077
Ali, A. U., Abdullah, A., Sulong, Z., & Abdullahi, A. T. (2015). The review of stock returns and macroeconomic variables. International Journal of Academic Research in Business and Social Sciences, 5(5), 2222-6990. http://dx.doi.org/10.6007/IJARBSS/v5-i5/1600
Aurangzeb. (2012). Factors Affecting Performance of Stock Market: Evidence from South Asian Countries. International Journal of Academic Research in Business and Social Sciences, 2(9). http://www.hrmars.com/admin/pics/1086.pdf
Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 47-78. https://doi.org/10.2307/2998540
Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of applied econometrics, 18(1), 1-22. https://doi.org/10.1002/jae.659
Ball, L. M., Leigh, D., Mishra, P., & Spilimbergo, A. (2021). Measuring US core inflation: The stress test of COVID-19 (No. w29609). National Bureau of Economic Research. https://doi.org/10.3386/w29609
Baltagi, B. H. (2008). Econometric analysis of panel data (Vol. 4, pp. 135-145). Chichester: Wiley. https://doi.org/10.1007/978-3-030-53953-5
Bhattacharjee, A. & Das, J. (2021). Investigating the effect of broad money supply on stock market index and market capitalization: evidence from liberalized India. Jindal Journal of Business Research, 10(2), 185-198. https://doi.org/10.1177/22786821211047615
Chia, R. C. J., & Lim, S. Y. (2015). Malaysian Stock Price and Macroeconomic Variables: Autoregressive Distributed Lag (ARDL) Bounds Test. Kajian Malaysia: Journal of Malaysian Studies, 33.
Dadgostar, B., & Moazzami, B. (2003). Dynamic relationship between macroeconomic variables and the Canadian stock market. Journal of Applied Business and Economics, 2(1), 7-14.
Ditzen, J., Karavias, Y., & Westerlund, J. (2021). Testing and estimating structural breaks in time series and panel data in Stata. https://doi.org/10.48550/arXiv.2110.14550
Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American economic review, 70(5), 960-971. https://www.jstor.org/stable/1805775
Elhussein, N. H. A., & Warag, E. F. E. H. (2020). Economic forces and the stock market performance in developing countries: evidence from Sudan. International Journal of Financial Research, 11(4), 130. https://doi.org/10.5430/ijfr.v11n4p130
Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American economic review, 71(4), 545-565. https://www.jstor.org/stable/1806180
Filis, G. (2010). Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations? Energy Economics, 32(4), 877-886. https://doi.org/10.1016/j.eneco.2010.03.010
Forson, J. A., & Janrattanagul, J. (2014). Selected macroeconomic variables and stock market movements: Empirical evidence from Thailand. Contemporary economics, 8(2), 154-174. https://ssrn.com/abstract=2462983
Fraser, S. P., & Pantzalis, C. (2004). Foreign exchange rate exposure of US multinational corporations: a firm-specific approach. Journal of Multinational Financial Management, 14(3), 261-281. https://doi.org/10.1016/j.mulfin.2003.07.008
Fry-McKibbin, R., & Zhu, B. (2021). How do oil shocks transmit through the us economy? evidence from a large bvar model with stochastic volatility. SSRN Electronic Journal. Godfrey, O. U. (2021). Money supply and stock prices – a case study of nigeria. Journal of Economics, Finance and Management Studies, 04(10).
http://dx.doi.org/10.2139/ssrn.3773914
He, P., Sun, Y., Zhang, Y., & Li, T. (2021). COVID–19's impact on stock prices across different sectors—An event study based on the Chinese stock market. In Research on Pandemics (pp. 66-80). Routledge.
Ho, C. S. (2009). Domestic macroeconomic fundamentals and world stock market effects on ASEAN emerging markets. In 22nd Australasian Finance and Banking Conference. http://dx.doi.org/10.2139/ssrn.1463164
Humpe, A., & Macmillan, P. (2009). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied financial economics, 19(2), 111-119. https://doi.org/10.1080/09603100701748956
Ibrahim, M. H., & Aziz, H. A. (2003). Macroeconomic variables and the Malaysian equity market. Journal of Economic Studies, 30(1), 6-27.
https://doi.org/10.1108/01443580310455241
Jamaludin, N., Ismail, S., & Ab Manaf, S. (2017). Macroeconomic variables and stock market returns: Panel analysis from selected ASEAN countries. International Journal of Economics and Financial Issues, 7(1), 37-45.
Jin, Z., & Guo, K. (2021). The dynamic relationship between stock market and macroeconomy at sectoral level: evidence from Chinese and US stock market. Complexity, 2021, 1-16. https://doi.org/10.1155/2021/6645570
Karavias, Y. (2022). Structural Breaks in Financial Panel Data. Encyclopedia of Finance, 2213-2228. https://doi.org/10.1007/978-3-030-91231-4_95
Kavanagh, M. M., Gostin, L. O., & Sunder, M. (2021). Sharing technology and vaccine doses to address global vaccine inequity and end the COVID-19 pandemic. Jama, 326(3), 219-220. https://doi.org/10.1001/jama.2021.10823
Kwampian, P. (2023). The Impacts of economics on mutual funds and stock market in ASEAN countries (Doctoral dissertation, Chiang Mai: Graduate School, Chiang Mai University).
Lettau, M. & Ludvigson, S. C. (2001). Consumption, aggregate wealth, and expected stock returns. The Journal of Finance, 56(3), 815-849. https://doi.org/10.1111/0022-1082.00347
Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of econometrics, 108(1), 1-24. https://doi.org/10.1016/S0304-4076(01)00098-7
Maghayereh, A. (2003). Seasonality and January effect anomalies in an emerging capital market. The Arab Bank Review, 5(2), 25-32.
Mahpudin, E. (2020). The effect of macroeconomics on stock price index in the republic of China. International Journal of Economics and Business Administration, VIII (Issue 3), 228-236. https://doi.org/10.35808/ijeba/511
Maysami, R. C., Howe, L. C., & Hamzah, M. A. (2004). Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore’s All-S sector indices. Jurnal Pengurusan, 24(1), 47-77.
Menike, L. M. C. S. (2006). The effect of macroeconomic variables on stock prices in emerging Sri Lankan stock market. Sabaragamuwa University Journal, 6(1), 50-67. https://doi.org/10.4038/SUSLJ.V6I1.1689
Miseman, M. R., Ismail, F., Ahmad, W., Akit, F. M., Mohamad, R., & Mahmood, W. M. W. (2013). The impact of macroeconomic forces on the ASEAN stock market movements. World Applied Sciences Journal, 23(23), 61-66. 10.5829/idosi.wasj.2013.23.eemcge.22012
Nurmasari, I., & Nur'aidawati, S. (2021). The effects of inflation, interest rates and exchange rates on Composite Stock Price Index during the Covid-19 pandemic. Jurnal Mandiri: Ilmu Pengetahuan, Seni, Dan Teknologi, 5(2), 77-85. https://doi.org/10.33753/mandiri.v5i2.178
Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross?section dependence. Journal of Applied Econometrics, 22(2), 265-312. https://doi.org/10.1002/jae.951
Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical economics, 60(1), 13-50. https://doi.org/10.1007/s00181-020-01875-7
Pierdzioch, C., Döpke, J., & Hartmann, D. (2008). Forecasting stock market volatility with macroeconomic variables in real time. Journal of Economics and Business, 60(3), 256-276. https://doi.org/10.1016/j.jeconbus.2007.03.001
Plíhal, T. (2016). Granger Causality Between Stock Market and Macroeconomic Indicators: Evidence from Germany. Acta Universitatis Agriculture et Silviculturae Mendelianae Brunensis, 64(6). http://dx.doi.org/10.11118/actaun201664062101
Pradhan, R. P., Arvin, M. B., Hall, J. H., & Bahmani, S. (2014). Causal nexus between economic growth, banking sector development, stock market development, and other macroeconomic variables: The case of ASEAN countries. Review of Financial Economics, 23(4), 155-173. https://doi.org/10.1016/j.rfe.2014.07.002
Ramadan, I. Z. (2016). Macroeconomic approach of the determinants of stock price movements in Jordan. Asian Journal of Finance & Accounting, 8(2), 60. https://doi.org/10.5296/ajfa.v8i2.8616
Ratanapakorn, O., & Sharma, S. C. (2007). Dynamic analysis between the US stock returns and the macroeconomic variables. Applied Financial Economics, 17(5), 369-377. https://doi.org/10.1080/09603100600638944
Reilly, F., & Brown, K. (2003). Investment analysis and portfolio management (7th ed.). South-Western Cengage Learning, Mason Ohio, USA
Sahu, T. N., & Pandey, K. D. (2018). Money supply and equity price movements during the liberalized period in India. Global Business Review, 21(1), 108-123. https://doi.org/10.1177/09721509187610
Setiawan, B., Purnamasari, E., & Ulum, M. B. (2019). Macroeconomic Indicators And Stock Market Development On Economic Growth: Empirical evidence from ASEAN countries. Sriwijaya International Journal of Dynamic Economics and Business, 271-282. https://doi.org/10.29259/sijdeb.v3i4.271-282
Sharma, G. D., Srivastava, M., & Jain, M. (2017). Revisiting macroeconomy–stock market relationship during times of economic crisis: a study of emerging markets. Asia-Pacific Journal of Management Research and Innovation, 13(1-2), 52-69. https://doi.org/10.1177/2319510X1876771
Sheikh, U. A., Asad, M., Israr, A., Tabash, M. I., & Ahmed, Z. (2020). Symmetrical cointegrating relationship between money supply, interest rates, consumer price index, terroristic disruptions, and Karachi stock exchange: Does global financial crisis matter?. Cogent Economics & Finance, 8(1), 1838689. https://doi.org/10.1080/23322039.2020.1838689
Shrestha, P. M., & Lamichhane, P. (2021). Macroeconomic factors and stock market performance in Nepal. PYC Nepal Journal of Management, 14(1), 79-92. https://doi.org/10.3126/pycnjm.v14i1.41061
Singh, N., Tang, Y., Zhang, Z., & Zheng, C. (2020). COVID-19 waste management: Effective and successful measures in Wuhan, China. Resources, Conservation, and Recycling, 163, 105071. https://doi.org/10.1016%2Fj.resconrec.2020.105071
Sirucek, M. (2012). Macroeconomic variables and stock market: US review.
Tangjitprom, N. (2011). Macroeconomic factors of emerging stock market: the evidence from Thailand. International Journal of Financial Research, 3(2), 105-114. Tangjitprom, Nopphon, Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand (November 10, 2011). International Journal of Financial Research, Vol. 3, No. 2, 105-114., Available at SSRN: https://ssrn.com/abstract=1957697 or http://dx.doi.org/10.2139/ssrn.1957697
Trimulyono, D. G. N. (2023). An Analysis of the Long-Run and Short-Run Relationships between Macroeconomic Indicators and ASEAN-5 Stock Markets in the Amidst of the COVID-19 Pandemic (Doctoral dissertation, Universitas Gadjah Mada).
Uddin, G., & Alam, M. M. (2010). The impacts of interest rates on stock market: Empirical evidence from Dhaka stock exchange. South Asian Journal of Management Sciences, 4(1), 21-30. https://ssrn.com/abstract=2941287
Wongbangpo, P., & Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13(1), 27-51. https://doi.org/10.1016/S1049-0078(01)00111-7
Yarovaya, L., Brzeszczy?ski, J., Goodell, J. W., Lucey, B., & Lau, C. K. M. (2022). Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. Journal of International Financial Markets, Institutions and Money, 79, 101589. https://doi.org/10.1016/j.intfin.2022.101589
Zoungrana, A., & Çakmakci, M. (2021). From non?renewable energy to renewable by harvesting salinity gradient power by reverse electrodialysis: A review. International Journal of Energy Research, 45(3), 3495-3522. https://doi.org/10.1002/er.6062

Hassan, D., Kamu, A., Chia, R. C. J., & Mun, H. C. (2024). Exploring Structural Breaks in the Economic-Financial Nexus: Evidence from Panel Data Analysis. International Journal of Academic Research in Accounting, Finance and Management Sciences, 14(4), 587–602.

Copyright: © 2024 The Author(s)
Published by HRMARS (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode