Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis

Sirine Ben yaala and Jamel Henchiri

MPRA Paper from University Library of Munich, Germany

Abstract: This study aims to analyze the long-run as well as the short-run relationship between macroeconomic, demographic variables and the Tunisian stock market for the period subsequent to the financial crisis. Monthly data over the period 2008-2014 and ARDL model have been employed. Results indicate that the Tunisian stock market index, macroeconomic and demographic indicators are cointegrated and, therefore, a long-run relationship exists between them. The long-run coefficients suggest that budget deficit, inflation rate and the number of unemployed graduates had a negative effect, otherwise, money supply and the number of non-resident entries had a positive effect on the Tunisian stock market. Moreover, results from the error correction model show that the Tunisian stock market index is influenced positively by money supply and second order difference of the number of unemployed graduates and negatively by first and second order difference of money supply, inflation rate, first order difference of number of non-resident entries and the number of unemployed graduates.

Keywords: macroeconomic variables; demographic variables; Tunisian stock market; ARDL (search for similar items in EconPapers)
JEL-codes: G1 G11 G14 (search for similar items in EconPapers)
Date: 2016-07
New Economics Papers: this item is included in nep-ara and nep-mac
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Published in International Journal of Economics and Finance No. 8; 2016.8(2016): pp. 194-204

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Journal Article: Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis (2016)
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