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Canonical correlation analysis Macroeconomic variables versus stock returns

机译：典型相关分析宏观经济变量与股票收益率

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Purpose - The purpose of this paper was to construct a canonical correlation analysis (CCA) model for the Zimbabwe stock exchange (ZSE). This paper analyses the impact of macroeconomic variables on stock returns for the Zimbabwe Stock Exchange using the canonical correlation analysis (CCA). Design/methodology/approach - Data for the independent (macroeconomic) variables and dependent variables (stock returns) were extracted from secondary sources for the period from January 1990 to December 2008. For each variable, 132 sets of data were collected. Eight top trading companies at the ZSE were selected, and their monthly stock returns were calculated using monthly stock prices. The independent variables include: consumer price index, money supply, treasury bills, exchange rate, unemployment, mining and industrial index. The CCA was used to construct the CCA model for the ZSE. Findings - Maximization of stock returns at the ZSE is mostly influenced by the changes in consumer price index, money supply, exchange rate and treasury bills. The four macroeconomic variables greatly affect the movement of stock prices which, in turn, affect stock returns. The stock returns for Hwange, Barclays, Falcon, Ariston, Border, Caps and Bindura were significant in forming the CCA model. Research limitations/implications - During the research period, some companies delisted due to economic hardships, and this reduced the sample size for stock returns for respective companies. Practical implications - The results from this research can be used by policymakers, stock market regulators and the government to make informed decisions when crafting economic policies for the country. The CCA model enables the stakeholders to identify the macroeconomic variables that play a pivotal role in maximizing the strength of the relationship with stock returns. Social implications - Macroeconomic variables, such as consumer price index, inflation, etc., directly affect the livelihoods of the general populace. They also impact on the performance of companies. The society can monitor economic trends and make the right decisions based on the current trends of economic performance. Originality/value - This research opens a new dimension to the study of macroeconomic variables and stock returns. Most studies carried out so far in Zimbabwe zeroed in on multiple regression as the central methodology. No study has been done using the CCA as the main methodology.
机译：目的-本文的目的是为津巴布韦证券交易所（ZSE）构建规范的相关分析（CCA）模型。本文使用规范相关分析（CCA）分析了津巴布韦证券交易所宏观经济变量对股票收益的影响。设计/方法/方法-自1990年1月至2008年12月期间，从二级资源中提取了自变量（宏观经济）和因变量（股票收益）的数据。针对每个变量，收集了132套数据。选择了上交所的八家顶级贸易公司，并使用月度股票价格计算了它们的月度股票回报。独立变量包括：消费者物价指数，货币供应量，国库券，汇率，失业率，矿业和工业指数。 CCA用于为ZSE构建CCA模型。调查结果-上证所股票收益的最大化主要受到消费者物价指数，货币供应，汇率和国库券价格变化的影响。四个宏观经济变量极大地影响了股票价格的波动，进而影响了股票收益。 Hwange，Barclays，Falcon，Ariston，Border，Caps和Bindura的股票收益对形成CCA模型具有重要意义。研究的局限性/意义-在研究期间，一些公司由于经济困难而退市，这减少了各自公司股票收益的样本量。实际意义-政策制定者，股市监管者和政府可以使用这项研究的结果，在制定国家经济政策时做出明智的决定。 CCA模型使利益相关者能够识别在最大化与股票收益的关系强度方面起关键作用的宏观经济变量。社会影响-宏观经济变量，例如消费物价指数，通货膨胀等，直接影响普通民众的生计。它们还会影响公司的绩效。社会可以监视经济趋势并根据当前的经济绩效趋势做出正确的决策。原创性/价值-这项研究为宏观经济变量和股票收益的研究开辟了一个新的维度。迄今为止，在津巴布韦进行的大多数研究都以多元回归为中心方法。没有使用CCA作为主要方法的研究。

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