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Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market

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  • Al-Sharkas, A.A.

Abstract

Previous research has hypothesized the existence of a long-term equilibrium relation between stock prices and certain macroeconomic variables. The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on Amman Stock Exchange (ASE). The variables are the real economic activity, money supply, inflation, and interest rate. The empirical results show that the stock prices and macroeconomics variables have a long-term equilibrium relation.

Suggested Citation

  • Al-Sharkas, A.A., 2004. "Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 97-114.
  • Handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_5
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    File URL: http://www.usc.es/economet/reviews/ijaeqs115.pdf
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    References listed on IDEAS

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    11. Naka, Atsuyuki & Mukherjee, Tarun K. & Tufte, David R., 1998. "Macroeconomic variables and the performance of the Indian Stock Market," Working Papers 1998-06, University of New Orleans, Department of Economics and Finance.
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    Cited by:

    1. repec:sgm:pzwzuw:v:15:i:66:y:2017:p:162-177 is not listed on IDEAS
    2. Joseph Ato Forson & Jakkaphong Janrattanagul, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," Contemporary Economics, University of Finance and Management in Warsaw, vol. 8(2), June.
    3. repec:ksp:journ5:v:5:y:2018:i:1:p:12-41 is not listed on IDEAS
    4. Shahbaz, Muhammad & Ur Rehman, Ijaz & Zainudin, Rozaimah, 2013. "Macroeconomic Determinants of Stock Market Capitalization in Pakistan:Fresh Evidence from Cointegration with unknown Structural breaks," MPRA Paper 52490, University Library of Munich, Germany, revised 24 Dec 2013.
    5. repec:rss:jnljef:v2i2p4 is not listed on IDEAS
    6. repec:rjr:romjef:v::y:2017:i:1:p:150-166 is not listed on IDEAS
    7. Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 108-121, February.

    More about this item

    Keywords

    Stock Market; Dynamic Relations; Cointegration; Jordan;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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