The Relationship between Macroeconomic Variables and Stock Market Returns : A Case of Jordan for the Period 1993-2013
Abdul Nafea Al-Zararee, Izz Eddien N. Ananzeh

Abstract
The aim of this study is to investigate the relationship between macroeconomic factors on Amman Stock Market Exchange(ASE) Returns, by employing quarterly data between (1993:3and 2013:9). This study uses six macroeconomic factors:Real money supply RM2 (MS), real gross domestic product (RGDP), weighted average interest rates on loans and advances (WAIR), Jordanian Worker's Remittances (WRMIT), Internal public loan (IPL), Consumer Price Index (CPI).The normality test and unit root tests applied to the data. Also, ARCH /GARCH models utilized. The results reveal that out of the six macroeconomic variables employed money supply, Internal public loan, weighted average interest rates on loans and advances, Jordanian Worker's Remittances and Consumer Price Index exert strong significant influence on stock returns. Consumer Price Index and Jordanian Worker's Remittances have a positive significant impact, while Real money supply, real gross domestic product, weighted average interest rates on loans and Internal public loan have a negative significant impact. On the other hand, real gross domestic product exert no significant influence on stock returns in Jordan.

Full Text: PDF