THE EFFECT OF MACROECONOMIC VARIABLES ON STOCK RETURNS ON DHAKA STOCK EXCHANGE

Muhammed Monjurul Quadir

49 citations0/0 files storedInternational Journal of Economics and Financial Issues

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Market Dynamics and Volatility

Abstract

This article investigates the effects of macroeconomic variables of treasury bill interest rate and industrial production on stock returns on Dhaka Stock Exchange for the period between January 2000 and February 2007 on the basis of monthly time series data using Autoregressive Integrated Moving Average (ARIMA) model.The paper has taken the overall market stock returns as an independent variable.It does not consider the stock returns of different companies separately.Though the ARIMA model finds a positive relationship between Treasury bill interest rate and industrial production with market stock returns but the coefficients have turned out to be statistically insignificant.

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References

1976The arbitrage theory of capital asset pricing 1986Economic Forces and the Stock Market 1987Expected stock returns and volatility 1981Stock Returns, Real Activity, Inflation, and Money 1980An Empirical Investigation of the Arbitrage Pricing Theory 1995Random Walks in Stock Market Prices 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL 1979The Great Crash*

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