| Abstract [eng] |
The specifics of both emerging and developed markets remain important in stock market research, so it is important to study stock market returns and stock returns in these markets. In order to diversify their portfolios, investors acquire securities in both more stable developed markets and emerging markets with higher market volatility. For these reasons, stock market returns and stock return analysis can provide important insights for stock market participants. The act of determining the relationship between stock market returns (stock returns) and stock market liquidity (stock liquidity) and macroeconomic factors provides an opportunity to examine the level of return distribution and to assess potential risks. The object of the research. Factors determining stock market returns and stock returns in emerging and developed markets. The aim of the master's thesis. Investigate the factors influencing stock market returns and stock returns in emerging and developed markets. The first part of the project analyzes the relationship between returns and its determinants in the literature, discussing emerging and developed markets. Based on the analysis of the scientific literature performed in the second part of the project, it has been found that the results of the research on stock market returns (stock return) and on stock market liquidity (stock liquidity) and macroeconomic factors in emerging and developed markets do differ. The results obtained in most studies confirm the existing relationship between return and return determinants, but the direction of the relationship is different. One of the factors influencing returns is liquidity, others are macroeconomic factors such as money supply, interest rates, inflation, the industrial production index, and the exchange rate also influence returns. The third part of the project presents the methods used and the research process based on the analysis of the scientific literature. In the fourth part of the project, empirical research is carried out for the period of December 2010 through December 2021. Due to the use of panel data in the market and company level, the fixed effect model was found to be the most appropriate choice for this study. It was found that at the market level, the return of stock markets in emerging markets is significantly influenced by money supply and inflation, while in developed markets the most influential factors are money supply, turnover rate, exchange rate and interest rate. Meanwhile, at the firm level in the financial, industrial and consumer durables sectors it was found that most of the used liquidity factors had a positive and significant impact on equity returns in emerging markets, but no statistical link to interest rates and inflation was found; whilst in developed markets, stock returns are affected by both liquidity and macroeconomic factors. |
