Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan
AbstractThere is a growing literature on how macroeconomic variables can have effects on equity returns in both developed and emerging stock markets. We test for the long run relationship between some key macroeconomic indicators and equity returns in Jordan. Using both GETS methodology and the ARDL approach to cointegration, we find that the trade surplus, foreign exchange reserves, the money supply and oil prices are important macroeconomic variables which have long run effects on the Jordanian stock market. The results are broadly consistent with similar studies carried out for other emerging economies.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22713.
Date of creation: 15 May 2010
Date of revision:
Macroeconomic Factors; Equity Returns; Cointegration; Emerging Market; Jordan.;
Other versions of this item:
- Gazi Mainul Hassan & Hisham M. Al refai, 2012. "Can macroeconomic factors explain equity returns in the long run? The case of Jordan," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(13), pages 1029-1041, July.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-22 (All new papers)
- NEP-ARA-2010-05-22 (MENA - Middle East & North Africa)
- NEP-CWA-2010-05-22 (Central & Western Asia)
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