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Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan

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  • Hassan, Gazi
  • Hisham, Al refai

Abstract

There 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.

Suggested Citation

  • Hassan, Gazi & Hisham, Al refai, 2010. "Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan," MPRA Paper 22713, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:22713
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    Cited by:

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    2. Linas Jurksas & Arvydas Paskevicius, 2017. "The Relationship Between Macroeconomy And Asset Prices: Long Run Causality Evidence From Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 8(1).
    3. Kuwornu, John K.M., 2012. "Effect of Macroeconomic Variables on the Ghanaian Stock Market Returns: A Co-integration Analysis," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 4(2), pages 1-12, June.
    4. Emeka Nkoro & Aham Kelvin Uko, 2013. "A Generalized Autoregressive Conditional Heteroskedasticity Model of the Impact of Macroeconomic Factors on Stock Returns: Empirical Evidence from the Nigerian Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(4), pages 38-51, October.
    5. Ruqayya Aljifri, 2020. "The Macroeconomy, Oil and the Stock Market: A Multiple Equation Time Series Analysis of Saudi Arabia," Economics Discussion Papers em-dp2020-27, Department of Economics, University of Reading.

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    More about this item

    Keywords

    Macroeconomic Factors; Equity Returns; Cointegration; Emerging Market; Jordan.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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