Abstract
In this study, the monthly data of the representative TOP20 stock yield rate and macroeconomic variables of the Mongolian Stock Exchange were used on the basis of a multi-factor model using macroeconomic variables of Chen, Roll and Ross (1986). The analysis period was 227 months of monthly data from January 2000 to December 2018. The monthly data on the TOP20 stock index was extracted from the Mongolian Stock Exchange, and the monthly data of economic variables were extracted from Mongolia's central bank and the National Statistical Office. Based on the study of Chen, Roll and Ross (1986), the correlation analysis and multi-factor regression were conducted to check the impact relationship between the Mongolian stock market TOP20 stock index and economic variables. Summarizing the results of the study, it has been confirmed that the credit risk premium has a strong positive effect on the Mongolian stock market TOP20 stock index. In addition, international oil price volatility has had a significant positive effect on the TOP20 stock price index, and exchange rate fluctuation and gold market rate growth have been found to have a significant negative effect on the TOP20 stock price index. The results of this study are expected to be useful information for investors participating in Mongolian stock market or interested researchers in Mongolian stock market.
| Translated title of the contribution | The Impact of Macro Economic Variables on Mongolian TOP20 Stock Index |
|---|---|
| Original language | Korean |
| Pages (from-to) | 295-319 |
| Number of pages | 25 |
| Journal | 국제경영리뷰 |
| Volume | 23 |
| Issue number | 3 |
| State | Published - Sep 2019 |