Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method

Based on the variational mode decomposition and quantile model, this article examines the response of BRICS stock prices to shocks of internal and external macroeconomic factors in different market states and over various investment horizons. The results of quantile regression show that the influence of each factor is complex and changeable across countries, market states, and time horizons, thus exhibiting obvious differences. Nevertheless, these coefficients also show a certain degree of similarity. Besides, we find the relationship between stock prices and macroeconomic variables behaved notably differently during the financial crisis in 2008 compared to other periods. Therefore, paying attention to the investment horizon and market state has extraordinary significance for various market participants.

Automated summary

This article examines the response of BRICS stock prices to shocks of internal and external macroeconomic factors in different market states and over various investment horizons using the variational mode decomposition and quantile model. The results of quantile regression show complex and changeable influences of each factor across countries, market states, and time horizons, exhibiting obvious differences but also a certain degree of similarity. Moreover, the relationship between stock prices and macroeconomic variables behaved notably differently during the financial crisis in 2008 compared to other periods. Thus, paying attention to the investment horizon and market state is of extraordinary significance for various market participants.