ASIAN EMERGING MARKET PERSPECTIVE OF MACROECONOMIC FACTORS, STOCK RETURN AND VOLATILITY

Macroeconomic factors and events affect the asset prices. This study has incorporated multiple macroeconomic factors to determine their impact on stock market return and volatility in Asian emerging economies. These factors were further categorized in economic, political, disaster and global and regressed against stock market return and volatility by using panel data analysis technique. Results indicate that GDP, Inflation, imports and exports, Political instability, disaster, oil prices, world market index and VIX were related to returns. However, in stock market volatility case disaster, political instability, gold and oil prices and world market index are significantly impacting the stock volatility in Asian emerging market