Munich Personal RePEc Archive

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

Hassan, Gazi and Hisham, Al refai (2010): Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan.

[img]
Preview
PDF
MPRA_paper_22713.pdf

Download (228Kb) | Preview

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.