Macroeconomic Factors Explaining Stock Volatility: Multi-Country Empirical Evidence from the Auto Industry

Economic Research-Ekonomska Istraživanja, ISSN: 1331-677X (Print) 1848-9664 (Online)

16 Pages Posted: 10 Jul 2020

See all articles by Jana Vychytilova

Jana Vychytilova

Tomas Bata University - Faculty of Management and Economics

Drahomira Pavelkova

affiliation not provided to SSRN

Pham Thu Ha

Ho Chi Minh City University of Economics and Finance

Tomas Urbanek

Tomas Bata University - Faculty of Management and Economics

Date Written: July 18, 2019

Abstract

This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock prices by employing a multifactor model. The study uses quarterly panel data of 39 automakers quoted on the stock exchanges in the eleven countries. It studies the effects of 19 macroeconomic variables from January 2000 to December 2017, and proposes the mixed-effect model constructed based on employing genetic algorithm and AIC criterion, and compares its explanatory power with the existing multifactor model (El Khoury, 2015). This paper suggests that the proposed model can shed more light on explaining the variability of stock prices of the quoted automakers. The findings show there are positive linkages between automaker´s stock return volatility and explanatory variables such as stock market development, GDP and unemployment. Conversely, an inverse linkage between the dependent variable and money supply and IPI was found. The study demonstrates that selected macroeconomic factors can also be used as predictors.

Keywords: stock volatility; macroeconomic variables, auto industry, multifactor model, genetic algorithm, mixed effect model

JEL Classification: C33, C52, G15, L62, E44

Suggested Citation

Vychytilova, Jana and Pavelkova, Drahomira and Ha, Pham Thu and Urbanek, Tomas, Macroeconomic Factors Explaining Stock Volatility: Multi-Country Empirical Evidence from the Auto Industry (July 18, 2019). Economic Research-Ekonomska Istraživanja, ISSN: 1331-677X (Print) 1848-9664 (Online), Available at SSRN: https://ssrn.com/abstract=3629693

Jana Vychytilova (Contact Author)

Tomas Bata University - Faculty of Management and Economics ( email )

náměstí Tomáše Garrigue Masaryka 5555
Zlín, 760 01
Czech Republic

Drahomira Pavelkova

affiliation not provided to SSRN

Pham Thu Ha

Ho Chi Minh City University of Economics and Finance

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Tomas Urbanek

Tomas Bata University - Faculty of Management and Economics ( email )

náměstí Tomáše Garrigue Masaryka 5555
Zlín, 760 01
Czech Republic

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