Title: Do macroeconomic factors matter for stock returns? Evidence from the European automotive industry
Author: Rim M. El Khoury
Address: Faculty of Business Administration and Economics, Notre Dame University-Louaize, kafaraakka el-Koura, Matrieh Street, Mansour El Khoury Building, North Lebanon, Lebanon
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.
Keywords: automotive firms; automobile industry; Europe; macroeconomic factors; stock returns; multi-index models; exchange rate; exports; platinum; aluminium; unemployment rate.
Int. J. of Monetary Economics and Finance, 2015 Vol.8, No.1, pp.71 - 84
Available online: 29 Apr 2015