UNEMPLOYMENT RATE AND STOCK MARKET RETURNS: A STUDY ON OECD COUNTRIES

Unemployment is one of the major macroeconomic factors which has always been a big issue for an economy as it has a direct influence on living condition of citizens and is helpful in ensuring a sound and growing economic system. Based on logical concept, it can be said that employment rate states the financial soundness of citizens, specifies their spending capacities, saving and investment behavior in real and financial assets; thus related to stock market activities. The researchers decided to conduct the study on unemployment; only a factor of macro economy considering its significance in research area that has been started with a good number of studies done by different researchers based on different countries on different periods, but this study is different from previous studies from some point of views: 1) It will cover a huge number of countries with several economic classes; 2) This study will represent the relationship between unemployment and stock market returns of the countries under a single study which are significant from world perspective because of having power to influence the activities of other countries; 3) This study will help researchers, policy makers and learners to get a clear idea about the interrelationship among these two components over a wide range of countries. The study will be conducted on all the member countries (35 countries) of the OECD and will use Panel Data analysis for the period of 2008 – 2017.

İŞSİZLİK ORANLARI VE HİSSE SENEDİ GETİRİLERİ: OECD ÜLKELERİ ÜZERİNE BİR ÇALIŞMA

Hanehalklarının yaşam standartlarını doğrudan etkilemesi, sağlıklı büyüyen bir ekonomik sistem için elzem olması ve her ekonomi için her zaman çözülmesi gereken bir problem olarak kendine yer edinmesi nedeniyle işsizlik en önemli makroekonomik unsurlar arasında yer almaktadır. Mantıksal bir varsayımla işsizlik oranları ile hanehalklarının finansal sağlamlıkları, harcama kapasiteleri, tasarruf oranları, reel veya finansal yatırım davranışları arasında bir ilişkinin varlığından söz edilebilir. Buradan hareketle finansal yatırımlar ile hisse senedi yatırımları ile işsizlik oranları arasında bir ilişkinin varlığı sorgulanmalıdır. Araştırmacılar işsizlikle hisse senedi getirisi arasındaki ilişkinin varlığı ile ilgili araştırmalarında genel itibariyle farklı ülkelerde farklı dönemlerde genellikle yalnızca bir makroekonomik faktörü ele almışlardır. Bu çalışma önceki çalışmalardan şu yönleriyle ayrışmaktadır: Bu çalışma, 1) çeşitli ekonomik sınıflara sahip çok sayıda ülkeyi kapsanaktadır; 2) diğer ülkelerin faaliyetlerini etkileme gücüne sahip olmaları nedeniyle, dünya perspektifinden önemli olan tek bir çalışma kapsamında ülkelerin işsizlik ve borsa getirileri arasındaki ilişkiyi temsil edecektir; 3) araştırmacılara, politika yapıcılara ve öğrenicilere, bu iki bileşen arasındaki geniş bir yelpazedeki ülkeler arasındaki ilişki hakkında net bir fikir edinmelerinde yardımcı olacaktır. Çalışma, OECD'nin tüm üye ülkeleri (35 ülke) üzerinde gerçekleştirilmiş olup ve 2008-2017 dönemi için Panel Veri analizi kullanılmıştır.

PDF

___

Aktas, E. (2011). Systematic factors, information release and market volatility. Applied Financial Economics, 21(6), 415-420

Blanchard, Olivier J., 1981, “Output, the Stock Market, and Interest Rates”, The American Economic Review, Vol. 71, No. 1, 132-143.

Boyd, J. et al. (2005), The stock market’s reaction to un-employment news: Why bad news is usually good for stocks”, The Journal of Finance 60, 649–672.

Brooks, C. and Tsolacos, S. (1999). The impact of economic and financial factors on the UK property performance. Journal of Property Research, 16(2): 139-152.

Chen, M. Kim, W. and Jeong, K (2005). The impact of macroeconomic and non-macroeconomic forces on hotel stock returns. Hospitality Management, 24: 243-258.

Chen, N.F., Roll, R., Ross, S.A. (1986), Economic forces and the stock market. Journal of Business, 59(3), 383-403.

Emerging Sri Lankan Stock Market Sabaragamuwa University Journal, vol 6, no. 1, pp 50-67

Farsio ,F. & Fazel,S.(2013), The Stock Market/Unemployment Relationship in USA, China and Japan, International Journal of Economics and Finance; Vol. 5, No. 3

Francisco J. & Loredana N.(2016),"US Stock Market And Macroeconomic Factors" ,The Journal of Applied Business Research.

Gonzalo,J & Taamout,A(2017) he Reaction of Stock Market Returns to Unemployment, UC3M Working papers Departamento de,……………………………. Gunasekarage, A., Pisedtasalasai, A., Power, D.M. (2004), Macroeconomic influence on the stock market: Evidence from an emerging market in South Asia. Journal of Emerging Market Finance, 3(3), 285-304.

Humpe, A., and Macmillan, P. (2009). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19: 111-119.

Kotha K.K. & Sahu B. (2016), “Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships”, International Journal of Economics and Financial Issues, 6(3), pp1081-1091.

Liu, M. and Shrestha, K. (2008). Analysis of the long term relationship between Macro-economic variables and the Chinese stock market using heteroscedastic cointegration. Journal of Managerial Finance, 34(11):744-755.

McQueen, G., Roley, V.V., (1993), Stock prices, news, and business conditions. The Review of Financial Studies 6, 683–707.

Şerife. Ö. & Ugur. E. (2012), "Macroeconomic Factors and Stock Returns" International Journal of Academic Research in Business and Social Sciences.

Menike L.M.C.S.(2006), The Effect of Macroeconomic Variables on Stock Prices in Singh,T. wt al.(2011) Macroeconomic factors and stock returns: Evidence from Taiwan, Journal of Economics and International Finance Vol. 2(4), pp.217-227

Mukherjee, T.K., Naka, A. (1995), Dynamic relations between macroeconomic variables and the Japanese stock market: An application of a vector error correction model. Journal of Financial Research, 18(2), 223-237.

Orphanides, Athanasios, 1992, “When Good News Is Bad News: Macroeconomic News and the Stock Market”, Working paper, Board of Governors of the Federal Reserve System.

Pal, K., Mittal, R. (2011), Impact of macroeconomic indicators on Indian capital markets. The Journal of Risk Finance, 12(2), 84-97.

Peiró, A. (1996). Stock prices, production and interest rates: comparison of three European countries with the USA. Empirical Economics, 21: 221-234.

Rjoub H, Tursoy T, Gunsel N (2009). The effects of macroeconomic factors on stock returns: Istanbul Stock Market. Studies of Economy and Finance, 26(1): 36-45

Singh T. et.al., “Macroeconomic factors and stock returns: Evidence from Taiwan” Journal of Economics and International Finance Vol. 2(4), pp.217-227, April 2011

Şerife. Ö. & Ugur. E. (2012), "Macroeconomic Factors and Stock Returns" International Journal of Academic Research in Business and Social Sciences.

Tangjitprom, N. (2011), Macroeconomic factors of emerging stock market: The evidence from Thailand. International Journal of Financial Research, 3(2), 105-114.

Tapa N. at.al.,(2016), “The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models”, MPRA Paper No. 74101, posted 28

September 2016 07:44 UTC, Online at https://mpra.ub.uni-muenchen.de/74101/ Wasserfallen, W. (1989). Macroeconomic news and the stock market: Evidence from Europe. Journal of Banking and Finance, 13:613-626.

Zaheer A. & Kashif R. (2014), Time Series Analysis of the Relationship between Macroeconomic Factors and the Stock Market Returns in Pakistan, Journal of Yasar University.

 https://study.com/academy/lesson/defining-and-measuring-the-unemployment-rate.html

 https://www.google.com.tr/search?q=how+to+calculate+unemployment+rate%3A+formula&oq=h ow+to+calculate+unemployment+rate%3A+formula&aqs=chrome..69i57.21210j0j7&sourceid=ch rome&ie=UTF-8

 http://www.yourarticlelibrary.com/economics/market/9-most-important-functions-of-stockexchangesecondary-market/8766

 http://www.oecd.org/about/

 http://www.economywatch.com/international-organizations/organization-of-economiccooperation-and-development.html

 https://blogs.worldbank.org/opendata/new-country-classifications-income-level-2017-2018