THE RELATIONSHIP BETWEEN STOCK RETURNS AND EACH OF INFLATION, INTEREST RATES, SHARE LIQUIDITY AND REMITTANCES OF WORKERS IN THE AMMAN STOCK EXCHANGE

Suleiman Al Oshaibat (drslaimana@gmail.com) and Ahmad Majali
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Suleiman Al Oshaibat: Tafila Technical University, Jordan
Ahmad Majali: Mutah University, Jordan

Journal of Internet Banking and Commerce, 2016, vol. 21, issue 02, 01-18

Abstract: The study aims at clarifying the impact of key economic indicators inflation, interest rates, share liquidity and workers' remittances on stock returns in the Amman Stock Exchange (ASE), during the period (1980 - 2014). And to test hypotheses of the study, the self-Modeling non-liner regression (Vector Autoregressive) model has been used to test each of the: variance Decomposition analysis, co-integration test and Granger causality to analyze the causal relationship between these variables. The study showed that there is a positively affected, at a medium average, with the average of the inflation rates. And, the workers' remittances affect, on the long-term, on the stock returns in ASE through its impact on the overall demand and increasing the economic growth and thereby raise the stock returns. There is a limited effect of the turnover ratio of the share on the stock returns in the ASE. Also, there is a negative impact of interest rates on stock returns in ASE, any sudden change in the interest rate will negatively and directly affect the stock returns. There is an indirect, positive impact of workers' remittances on stock returns in ASE, and any change in them will positively impact the stock returns, but on the long term.

Keywords: Inflation; Interest Rates; Share Liquidity; Workers Remittances; Stock Returns (search for similar items in EconPapers)
JEL-codes: A11 (search for similar items in EconPapers)
Date: 2016
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