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Do macroeconomic factors matter for stock returns? Evidence from the European automotive industry

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dc.contributor.author El Khoury, Rim M.
dc.date.accessioned 2023-09-12T12:34:58Z
dc.date.available 2023-09-12T12:34:58Z
dc.date.copyright 2015 en_US
dc.date.issued 2015-05-13
dc.identifier.issn 1752-0479 en_US
dc.identifier.uri http://hdl.handle.net/10725/15016
dc.description.abstract This paper applies the multi-index model to explore the sensitivity of the stock return of European automotive companies to some macroeconomic variables. The analysis involves the monthly returns of nine European companies operating in the automotive industry from January 2003 to April 2012 using 15 macroeconomic variables and the market index represented by S&P 350. The study finds that the S&P 350 positively affects stock returns, supporting the single index model. Furthermore, exchange rate, exports and platinum positively affect stock return, while aluminium and unemployment rate negatively affect stock return. The results suggest that a multi-index model using selected macroeconomics variables provides additional power in explaining the variability of the European stock returns in the automobile industry over a single index model using the market index alone. en_US
dc.language.iso en en_US
dc.title Do macroeconomic factors matter for stock returns? Evidence from the European automotive industry en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 202300031 en_US
dc.author.department Finance And Accounting en_US
dc.relation.journal International Journal of Monetary Economics and Finance en_US
dc.journal.volume 8 en_US
dc.journal.issue 1 en_US
dc.article.pages 71-84 en_US
dc.keywords Automotive firms en_US
dc.keywords Automobile industry en_US
dc.keywords Europe en_US
dc.keywords Macroeconomic factors en_US
dc.keywords Stock returns en_US
dc.keywords Multi-index models en_US
dc.keywords Exchange rate en_US
dc.keywords Exports en_US
dc.keywords Platinum en_US
dc.keywords Aluminium en_US
dc.keywords Unemployment rate en_US
dc.identifier.doi https://doi.org/10.1504/IJMEF.2015.069170 en_US
dc.identifier.ctation Khoury, R. M. E. (2015). Do macroeconomic factors matter for stock returns? Evidence from the European automotive industry. International Journal of Monetary Economics and Finance, 8(1), 71-84. en_US
dc.author.email rim.elkhoury01@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://www.inderscienceonline.com/doi/abs/10.1504/IJMEF.2015.069170 en_US
dc.orcid.id https://orcid.org/0000-0003-4359-7591 en_US
dc.author.affiliation Lebanese American University en_US


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