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

Gazi Hassan () and Al refai Hisham

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Macroeconomic Factors; Equity Returns; Cointegration; Emerging Market; Jordan. (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2010-05-15
New Economics Papers: this item is included in nep-ara and nep-cwa
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/22713/1/MPRA_paper_22713.pdf original version (application/pdf)

Related works:
Journal Article: Can macroeconomic factors explain equity returns in the long run? The case of Jordan (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22713

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().