For my research paper, i have to study the relationship between stock returns and macroeconomic variabels by using a suitable regression model. (stock return is DV and macroeconomic variabels IVs)
the stock returns data is available daily-wise and that of macroeconomic variables monthwise.
how to resolve the problem of different frequencies of the stock returns and macroeconomic variables?
thanks in advance
Hi Srikanth!
I have done two papers on similar agenda. Those are available in my contributions here. You can use monthly stock returns while using the macro indicators for which monthly data are available. Hope this helps.
Regards,
Gagan
I agree with the previous speakers.
However you didn't write about the purpose of the study and the hypothesis you want to test, because another approach is to examine the reaction to the publication of macroeconomic data. See f.e. Article Macroeconomic news effects on the stock markets in intraday data
Hi Srikanth,
If you do not have to stick to the regression model (I am not sure if it is the best tool to analyse daily time series of financia data), you may find the spline-GARCH model of Engle and Rangel useful. See: Engle, R.F., Rangel J.G."The spline-GARCH Model for Low Frequncy Volatility and Its Global Macroeconomic Causes".
Hi Sir,
Why you can take monthly data for both variable (independent: Macroeconomic variable and Dependent: Stock return). In our country we can take data of macroeconomic variable from CBSL( Central Bank of Sri Lanka) and data of stock return (All Share price Index as proxy) can be taken from CSE data base.
So I don't think to difficult collect data there also.
Regards,
A.Aajanthan