Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market
International Journal of Applied Econometrics and Quantitative Studies, 2004, vol. 1, issue 1, 97-114
Previous research has hypothesized the existence of a long-term equilibrium relation between stock prices and certain macroeconomic variables. The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on Amman Stock Exchange (ASE). The variables are the real economic activity, money supply, inflation, and interest rate. The empirical results show that the stock prices and macroeconomics variables have a long-term equilibrium relation.
Keywords: Stock Market; Dynamic Relations; Cointegration; Jordan (search for similar items in EconPapers)
JEL-codes: C52 (search for similar items in EconPapers)
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