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THE IMPACT OF MACROECONOMIC VARIABLES ON THE JORDANIAN EQUITY MARKET: AN EMPIRICAL STUDY (2000-2015)

BROWSE_DETAIL_CREATION_DATE: 12-08-2016

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BROWSE_DETAIL_TYPE: Thesis

BROWSE_DETAIL_SUB_TYPE: Masters

BROWSE_DETAIL_PUBLISH_STATE: Unpublished

BROWSE_DETAIL_FORMAT: PDF Document

BROWSE_DETAIL_LANG: English

BROWSE_DETAIL_SUBJECTS: Money, Finance, Finance management. Business finance.,

BROWSE_DETAIL_CREATORS: Al-Sukhni, Muthana Salem Mohammad (Author),

BROWSE_DETAIL_CONTRIBUTERS: Ak, Salih (Advisor),

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Macroeconomic Variables, Amman Stock Market Return (ASMR), Unit Root Test, Johansen Johansen and Juselius (1990) Cointegration Test, Vector Error CorrectionModel (VECM), Granger Causality Test


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The macroeconomic variables variation affects stock markets performance. InJordan, the macoeconomic variables have affected the performance of Amman stockexchange between January 2000 and December 2015. The purpose of this study is toexamine the linkages between the following macroeconomic factors: consumer priceindex (CPI), industrial production index (IP), weighted average of interest rate on loansand advances (WAIR), foreign reserves (FR), and deficit including grants (DIG) andtheir influence on the Jordanian equity market. The research questions explore whetherthe mentioned macroeconomic variables have positive or negative significantinfluences on stock returns in Jordan for the determined period. The data are gatheredfrom the statistical database of Central Bank of Jordan website and Amman stockexchange website. To check whether the data series is stationary or not, the unit roottest is used. However, the Johansen cointegration test estimates the number of longterm relationships among variables. Moreover, for the purpose of investigating theshort term linkages among variables, this study have utilized the vector error correctionmodel (VECM). Moreover, for ensuring whether there are causal relationships amongthe variables, Granger causality model is used.The study findings indicate that the mentioned macroeconomic variables havecointegration at first difference I(1) with Amman stock exchange. Also, a significantequilibrium relationship is found between the variables and the stock equity market.ivThere is a significant, negative and long term linkage for CPI and FR. On the otherhand, IP, and DIG show significant and positive long-run relationships with the ASMIndex, and WAIR shows insignificant positive relationship. Furthermore, the Johansencointegration test reveals that there exist three cointegration relationships between thevariables. In the case of dis-equilibration conditions, the first error correction term(ECT) proposes that the industrial production and the weighted average of interest rateeach contributes to get back into equilibrium situation. In addition, the second ECTshows that the industrial production and deficit including grants participate in restoringthe equilibrium. The third ECT indicates that the consumer price index and deficitincluding grants adjust non-equilibrium condition. Besides, it is found to have noexistence for short term bondships between the selected variables, according to VECM.Using Granger causality test, the study recognizes two-directional causal linkagebetween CPI and ASMR. This is also applied to the relationship between DIG andASMR. Moreover, one-directional causal relationship is exicted between ASMR andIP. This is also found between WAIR and ASM


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