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ISSN : 1598-7248 (Print)
ISSN : 2234-6473 (Online)
Industrial Engineering & Management Systems Vol.17 No.3 pp.613-622

The Effect of Investment Risk and Macro-Economy Factors on Stock Return in D8 Member States based on a Dynamic Panel Approach

Mohammad Hossein Ranjbar, Nahid Sadeghi*, Leila Sadeghi
Accounting & Managemet Department, Islamic Azad University, Bandar Abbas Branch, Bandar Abbas, Iran
Accounting & Management Department, Qeshm International Branch, Islamic Azad University of Science and Research, Qeshm, Iran
* Corresponding Author, E-mail:


Stock return, as a production factor, can play an effective role in growth but the problem that can influence the other variables in investment risk economy is the investigation of the causal relationship between the stock return and economic growth. On the other hand, one important factor regarding the economic growth is the attraction of the foreign capitals which is of a particular necessity in the developing countries featuring intermediate income levels for such a reason as the competition for rare resources and this is well indicative of the crucial significance of the causal relationship between the stock return, foreign direct investment and economic growth. The present study aims at investigating the relationship between the stock exchange market’s return rates, investment risks, growth in the formation of domestic gross capital, growth in per capita domestic gross production and growth in the net input rate of foreign direct investment in eight developing countries known as D8 countries during the years from 1990 to 2015. To do so, dynamic panel data approach has been adopted and generalized method of moment (GMM) estimator has been employed to propose a model for the abovementioned five variables. The estimations were evaluated in five separate models and the results indicated that the macroeconomic variables of exert a positive and significant effect on stock return rate as well as a negative effect on the investment risk.





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