Hassan, Gazi and Hisham, Al refai (2010): Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan|
|Keywords:||Macroeconomic Factors, Equity Returns, Cointegration, Emerging Market, Jordan.|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G10 - General|
|Depositing User:||Gazi M. Hassan|
|Date Deposited:||15. May 2010 14:29|
|Last Modified:||12. Feb 2013 16:26|
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