Macroeconomic Variables and Capital Market Performance: Evidence from Nigeria

Transcription

1 International Journal of Financial Economics Vol. 2, No. 3, 214, Macroeconomic Variables and Capital Market Performance: Evidence from Nigeria Oliver Ike Inyiama 1, Michael Chidiebere Ekwe 2 Abstract The study aims at determining the causalities, correlation, cointegration and the relationship between the Nigeria Stock Exchange All Share Index(ASI), which is the proxy for capital market performance and macroeconomic variables proxied by monetary policy rate, inflationary rate, foreign exchange rate and real gross domestic product from 1985 to 213. Granger Causality procedure was applied in determining the causalities, multiple regression model in the form of Ordinary Least Square (OLS) method was applied in evaluating the relationship between the dependent and independent variables while correlation technique was applied in ascertaining the strength of the relationship. Johansen cointegration procedure was applied in testing the sustainability of the relationship in the long run. To test for stationary of the data series, the Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) procedures were applied. All the series were non stationary. Except for real gross domestic product which was differenced at second difference, all the other variables were differenced at first difference. Inflationary rate, exchange rate and the log of real GDP are negatively but insignificantly related to the log of All Share Index while interest rate is positively but not significantly related to All Share Index. No causality was revealed in lag 2 but in lag 1, there is a unidirectional causality running from log of All Share Index to foreign exchange rate. Johansen cointigration reveals a long run relationship among the variables. The implication of the findings is that effective regulation of macroeconomic policies, in the direction of the findings of this study, could impact positively on the performance of the capital market. 1. Introduction The mobilization, facilitation and accumulation of finance from surplus to deficit sectors of the economy for investment purposes are the main function of the capital market globally. This effort is however geared towards the growth and development of emerging economies and sustainability in developed economies. Osisanwo and Atanda (212) submits that Capital market is a market for government securities and corporate bonds and includes all financial institutions established for the purpose of granting of medium and long-term loans for development. Ita and Duke (213) explained that mobilization and allocation of investment funds when done effectively, will enable business and economies maximize human, material and management resources for optimal output. They emphasized that the stock market is the channel through which efficiency in capital mobilization, formation and allocation is achieved. The stock market, as opine by Sohail and Hussain (29) mobilizes savings from a group of small savers (including civil servants, small farmers, artisans, small business proprietors, itinerant workers, etc), activates investment projects, poses as mediator and even a regulator between the small savers and their borrowers, channels funds into desirable investment, supports reallocation of funds among corporations and sectors and provides liquidity for domestic expansion and credit growth. The Nigeria Stock Exchange (NSE), which is an automated exchange, was in 196 created to provide listing, trading, clearing, settlement, custodian, delivery, data dissemination and market indices services 1 Department of Accountancy, Enugu State University of Science and Technology, Enugu State, Nigeria 2 Department of Accountancy, Enugu State University of Science and Technology, Enugu State, Nigeria 214 Research Academy of Social Sciences 129

2 O. I. Inyiama & M. C. Ekwe through its associate company, the Central Securities Clearing System (CSCS) Plc. The Securities and Exchange Commission (SEC) was however established in 1979 to develop and regulate the nation s capital market as well as fix stock issue prices after establishing the basis of allotment. The stock exchange was established to develop the capital market through the promotion of private capital investment for growth and development (Osisanwo and Atanda, 212). They emphasized that the capital market offers opportunities to local and foreign investors to provide long-term funds, far longer than the duration for which they are willing to commit their funds, in exchange for long-term financial assets. The success of an increasing privatization of emerging economies like Nigeria will depend crucially on the presence of an active and efficient stock market. This is the view of Nguyen and Nguyen (212) citing Islam and Khaled (25). They submit that most rational investors are expected to move their investments into the most profitable projects with an acceptable risk exposure. When a stock market is reasonably large and developed, it is assumed to serve as an indicator of economic soundness, health and prospects of the emerging economy and an index of the confidence of domestic and global investors (Ali, 211). Prantik and Vina(29) explain that it has always been known globally that the stock market esponds to a large extent to movements in macroeconomic indicators and recently, there has been widespread argument that the direction of the influence is in the opposite direction. Asaolu and Ogunmuyiwa (21) submit that while developed economies like the USA and Canada have taken advantage of the capital market to mobilize resources for growth and development, the developing countries like Nigeria are yet to fully explore the benefits of raising capital through the developing capital market. Citing Anyanwu (25), Ita and Duke (213) reveals that in Nigeria, the majority of the studies on stock market growth or development centered on the relationship between stock market and economic growth while the very few that focused on analyzing the macroeconomic indicators that determine stock market development restricted themselves to the use of narrower measures. This study will however focus on the evaluation of the relationship and causalities between macroeconomic indicators such as foreign exchange rate, inflationary rate, interest rate and gross domestic product on capital market performance variable proxied by All Share Index. Nigeria Stock Exchange website states that the index is an aggregate of the market capitalisation of all of the industrial equities listed in the market which is computed as the percentage of Current Market Value to Base Market Value of the industrial equities. The remaining part of the study is divided into four sections. Section 2 focuses on the review of related literature, Section 3 handles the aspect of methodology for data analysis while section 4 deals with presentation of empirical findings and discussion of results. Section 5 concludes the study. 2. Review of Related Literature Theoretical Framework The study adopts the Arbitrage Pricing Theory (APT) by Ross (1976) as a result of the criticisms leveled on the popular Efficient Market Hypotheses (EMH). It is believed that most markets have not been proven to be efficient in getting market information across to the users and/or participants at the same time so as to influence their investments and returns. Nguyen and Nguyen (212) submits that the term efficiency is used to describe a market in which all relevant information is immediately impounded into the price of financial assets such that investors cannot expect to achieve superior profits from their investment strategies. Osisanwo and Atanda (212) opine that early empirical work on APT centered on returns from individual securities. They argue that it may also be used in an aggregate stock market framework; a situation where a change in a given macroeconomic variable could reflect a change or cause a movement in an underlying systemic risk factor, thereby determining future returns. In support of this argument, Rashid (28) opine that the Arbitrage Pricing Theory attempts to establish a link between risk associated with particular macroeconomic variables such as foreign exchange rate, monetary policy rate, gross domestic product, broad money supply, inflationary rate and expected asset returns as economic forces, especially demand and supply forces, affect discount rates, ability of firms to generate cash flows and future dividend payments. 13

3 Empirical Review International Journal of Financial Economics Using cointegration and error correction version of Granger causality tests, Nguyen and Nguyen (212) investigates the relationship between stock prices and macroeconomic variables in Vietnam stock exchange. It was revealed that Vietnamese stock market is not informationally efficient in both short- and long-run. The implication is that the Efficient Market Hypothesis does not hold in this regard as a professional trader can still make abnormal returns. In Pakistan, Sohail and Hussain (29), using VECM analysis, examined the long and short-run relationships between Lahore Stock Exchange and macroeconomic variable. It was revealed that inflation rate needs to come down to improve stock returns while exchange rate and money supply associate with stock returns positively. This implies that a stronger naira to the dollar rate or at least an improvement from the present exchange rate is desirable to increase stock returns. An attempt was made by Prantik and Vani (29) by applying VAR and Artificial Neural Network to exhume the relationship between the real economic variables and the capital market in India. The study shows that interest rate, output, money supply, inflation rate and the exchange rates are capable of causing movements in stock market indices. However, other variables have very negligible impact on the stock market. Asaolu and Ogunmuyiwa (21) in a related study and using Granger Causality test, Co-integration and Error Correction Method (ECM), investigates the impact of macroeconomic variables on Average Share Price (ASP) and goes further to determine whether changes in macroeconomic variables explain movements in stock prices in Nigeria. The analysis reveals a weak relationship between Average Share Price and macroeconomic variables in the long run. The relationships between Indian stock market index (BSE Sensex) and five macroeconomic variables were investigated by Naik and Padhi (212) using Johansen s co-integration and vector error correction model. Long run co integration was revealed as stock prices relate positively to money supply and industrial production but negatively to inflation. Macroeconomic variable however causes the stock prices in the longrun as unidirectional causality runs from money supply to stock price, stock price to inflation and interest rates to stock prices. Agrawal, Srivastav and Srivastava (21) analyzes the relationship between Nifty returns and Indian rupee-us Dollar Exchange Rates and found that Nifty returns and Exchange Rates were non-normally distributed and correlated negatively. Unidirectional Causality runs from Nifty returns to Exchange Rates. Simple and multiple regression analysis was applied by AL- Shubiri (21) to examine the relationship between micro and macroeconomic factors with the stock prices and found highly positive significant relationship between market price of stock and net asset value per share; market price of stock dividend percentage, gross domestic product and negative significant relationship on inflation and lending interest rate. Hussainey and Ngoc (29) investigates the effects of interest rate and the industrial production on Vietnamese stock prices using cointegration approach and citing Nasseh and Strauss (2) and Canova and de Nicolo (1995). The paper found that there are statistically significant associations among the domestic production sector, money markets, and stock prices in Vietnam and that the US macroeconomic fundamentals significantly affect Vietnamese stock prices. Using Augmented Dickey Fuller test, Johansen s co-integration and Granger s causality test, Ali, Rehman, Yilmaz, Khan and Afzal (29) examined the causal relationship between macro-economic indicators (inflation, exchange rate, balances of trade and index of industrial production) and stock market prices (represented by the general price Index) in Pakistan Karachi Stock Exchange. Co-integration was found between industrial production index and stock exchange prices but no causal relationship was found between macro-economic indicators and stock exchange prices. 131

4 O. I. Inyiama & M. C. Ekwe Olugbenga (211), panel model, investigates the impact of macroeconomic indicators (money supply (BRDM), interest rate (INTR), exchange rate (ECHR), inflation rate (INF), oil price (OIL) and gross domestic product (GDP)) on stock prices in Nigeria at the firm s level. The study found that apart from inflation rate and money supply, all the other macroeconomic variables have significant impacts on stock prices in Nigeria. The above review of related literature indicates that most of the studies on macroeconomic indicators and capital market performance were done in countries outside Nigeria and at firm levels. Most of the few studies also did not consider the impact of these indicators on the All Share Index(ASI) which is a broad based index indicating a total stock market index that paints the overall picture of movements in the prices of equity shares on a daily basis. However, an attempt in this regard in Nigeria dates back to 28 using simple regression and failing to consider Granger causalities among the variables under study. In this study, an attempt is made to validate the relationship between the macroeconomic variables and All Share Index in a multiple regression model and to ascertain the causality relationships as well as cointegration among the variables between 1985 and 213 in Nigeria. 3. Methodology Foreign Exchange Rate, Interest Rate, Inflationary Rate and Real Gross Domestic Product data were obtained from Central Bank Statistical bulletins for several years especially the CBN Statistical Bulletin, 5 years special Anniversary edition. All Share Index time series data was collected from the Nigeria Stock Exchange for the period covering 1985 to 213. The choice of 1985 was based on availability of data for the analysis. The relationship between the measure of capital market performance (All Share Index) and the macroeconomic variables (foreign exchange rate, interest rate, inflationary rate and the real gross domestic product) was estimated using the multiple regression approach. The causalities among the dependent and independent variables especially at the short run were examined by applying the Granger Causality model after using the Augmented Dickey Fuller (ADF) and Phillips Perrons (PP) Test to check for stationary of the time series data. The Johansen s cointegration approach is applied to test for long run relationship among and between the variables under study. Citing Pasquale (26), Inyiama(213) submits that Granger-causality is normally tested in the context of linear regression models and specified as follows in our bivariate linear autoregressive model of two variables X 1 and X 2 based on lagged values as follows: P p X 1 (t) = A 11,j X 1 (t j) + A 12,j X 2 (t j) + E 1 (t) j =1 j =1 P p X 2 (t) = A 21,j X 1 (t j) + A 22,j X 2 (t j) + E 2 (t) j =1 j =1 Where; p is the maximum number of lagged observations included in the equation, the matrix A contains the coefficients of the equation (i.e., the contributions of each lagged observation to the predicted values of X 1 (t) and X 2 (t), X 1 is the share price which is constant while X 2 takes the form of various macroeconomic indices identified above and, E1 and E2 are residuals (prediction errors) for each time series. The econometric model applied in data analysis is consistent with the studies done by Hussainey and Ngoc (29), Olugbenga (211), Ali, Rehman, Yilmaz, Khan and Afzal (29), Agrawal, Srivastav and Srivastava (21), Naik and Padhi (212), Asaolu and Ogunmuyiwa (21) and Sohail and Hussain (29). 132

5 International Journal of Financial Economics The relationship between foreign exchange rate, interest rate, gross domestic product, inflation rate and All Share Index (ASI) is specified by the primary model shown below: ASI = f (Intrate, Infrate, Exchrate, Rgdp) ASI = α +α 1 Intrate +α 2 Infrate + α 3 Exchrate + α 4 Rgdp + εt. INFRATE INTRATE EXCHRATE RGDP ASI Table 1: Description of Variables Inflationary Rate(All items, Year on Change) Interest Rate Exchange Rate Real Gross Domestic Product All Share Index Multiple regression equation is applied in examining the relationship between All Share Index (ASI) and Interest Rate, Inflation Rate, Foreign Exchange Rate and Real GDP as adopted in Inyiama(213). The equation is estimated in the form: ASIt = K + β 1 INTRATEt+ β 2 INFRATEt + β 3 EXCHRATEt + β 4 RGDP Where; INFRATEt = Inflation Rate in time t (All items, Year on Change) INTRATEt = Interest Rate in time t EXCHRATEt = Exchange Rate in time t. RGDPt = Real Gross Domestic Product in time, t. ASI = All Share Index in time, t. α is a constant term, t is the time and ε is the random error term. 4. Discussion of Findings Test of stationary is carried out on all the time series data to check for unit root problems. To achieve this, three methods of testing for unit root were adopted namely, the Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) procedure. Data is expected to be stationary as opine by Naik and Padhi (212), emphasizing that the mean and variance of such data series should be constant throughout the period and the value of covariance between two time periods should depend only on the distance between the two periods and not the time at which the covariance is computed. This condition is only achievable when the time series data is stationary. The time series data which includes log of All Share Index, Inflationary Rate, Interest Rate, Foreign Exchange Rate and log of Real Gross Domestic Product were tested and they could not pass the stationary test. The graphs below were preliminary evidence of the unit root issues as the line graphs failed to cross the zero lines repeatedly. However, time series data is integrated of order d when it becomes stationary after being differenced d times as opine by Hosseini, Ahmad and Lai(211). This is to avoid spurious results which may arise as a result of carrying out regressions on time series data with unit root (Asaolu and Ogunmuyiwa, 21). 133

6 O. I. Inyiama & M. C. Ekwe ASINDEX INFRATE 6, 3 5, 4, 3, 2, 1, INTRATE 16 EXCHRATE REALGDP 1, Figure 1: Graphical Representation of the Variables with Unit Root Source: Author s EView 8. Output. Table 2: Augmented Dickey- Fuller (ADF) Test Results Null Hypothesis: Time Series Data are not Stationary REAL ALL SHARE INFLATION INTEREST EXCHAN GDP INDEX (LOG) RATE RATE GE RATE (LOG) ADF Statistic Critical Value: 1% % % Status 1(1) 1(1) 1(1) 1(1) 1(2) Table 3: Phillip-Perron s (PP) Test Results Null Hypothesis: Time Series Data are not Stationary PP Statistic Critical Value: % 5% % Status 1(1) 1(1) 1(1) 1(1) 1(2) PP Statistic

7 International Journal of Financial Economics Table 4: Kwiatkowski-Phillip s-schmidt-shin(kpss) Test Results Null Hypothesis: Time Series Data are not Stationary KWSS Statistic Critical Value: % 5% % Status 1(1) 1(1) 1(1) 1(1) 1(2) KWSS Statistic Tables 2, 3 and 4 reveals that when the Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) procedures were applied respectively in testing for unit root in the time series data, the log of All Share Index, Inflationary Rate, Interest Rate and Foreign Exchange Rate achieved stationary at first difference and intercept. Log of Real Gross Domestic Product attained stationary at second difference and intercept. This means that the time series data except log of real gross domestic product were integrated of the order one. Citing Asteriou (27), Nguyen and Nguyen (212) submits that most macroeconomic variables are cointegrated of order one. The result of the unit root test is also supported by other related literature which established that most macroeconomic variables and stock indexes time series data are non stationary, as they tend to exhibit either a deterministic or a stochastic trend (Asaolu and Ogunmuyiwa, 21).The reason for applying the Phillips-Perron (PP) procedure is because the ADF Test has been accused of its low power while the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test was for robustness of the model. The graphs below show clearly the absence of unit root as the line graphs repeatedly crossed the zero lines. DLOGASINDEX DLOGRGDP DINFRATE 4 DINTRATE DEXCHRATE Figure 1: Graphical Representation of the Variables without Unit Root Source: Author s EView 8. Output. 135

8 O. I. Inyiama & M. C. Ekwe Table 5: Descriptive Statistics ASINDEX INFRATE INTRATE EXCHRATE REALGDP Mean Median Maximum Minimum Std. Dev Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq. Dev. 6.1E Observations Table 5, indicates the mean, median, standard deviation and skewness values of All Share Index, Inflationary Rate, Interest Rate, Exchange Rate and Real Gross Domestic Product for the period under study. The skewness coefficient of inflationary rate, exchange rate and real GDP are all less than 1.. This indicates a normal frequency distribution while All Share Index and Interest rate reveals an abnormal distribution as a result of skewness coefficient greater than unity. The Jarque-Bera and Kurtosis coefficients also support this result. The standard deviation of All Share Index and Real GDP is very volatile compared with the other variables. Table 6: Regression Results Dependent Variable: DLOGASINDEX Variable Coefficient Std. Error t-statistic Prob. DLOGRGDP DINFRATE DINTRATE DEXCHRATE C R-squared Adjusted R-squared S.E. of regression Equation: LogASINDEX= (DLOGRGDP) (DINFRATE) +.121(DINTRATE) (DEXCHRATE). Table 6, reveals that inflationary rate, exchange rate and the log of real GDP are negatively but insignificantly related to the log of All Share Index while interest rate is positively but not significantly related to All Share Index. A very negligible 7.4% of the variations in All Share Index could be explained by inflation, interest and exchange rates as well as real GDP while about 92.6% could be explained by other factors such as chance, error term and the unexplained. The ordinary least square estimator aims at improving the closeness between the line graph of the fitted observations and that of their corresponding observed values (Ita and Duke, 213). In Figure 3, it is evident 136

9 International Journal of Financial Economics that the line graph of the fitted observations is as close as possible to the graph of the corresponding observed values Residual Actual Fitted Figure 3: Residual graph of the parsimonious model Source: EViews 8. Output Table 7: Correlation Coefficient DLOGASINDEX DLOGRGDP DINFRATE DINTRATE DEXCHRATE DLOGASINDEX DLOGRGDP DINFRATE DINTRATE DEXCHRATE Table 7, reveals a positive correlation between interest rate, log of real GDP and log of All Share Index. A negative correlation is found between exchange rate, inflationary rate and log of All Share Index. However, amongst all the variables under study, only exchange rate indicates up to 26% magnitude of correlation as others are found to be very weak in strength. Table 8: Pairwise Granger Causality Tests Date: 4/22/14 Time: 2:34 Sample: Lags: 2 Null Hypothesis: Obs F-Statistic Prob. DLOGRGDP does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DLOGRGDP DINFRATE does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DINFRATE DINTRATE does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DINTRATE DEXCHRATE does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DEXCHRATE

10 O. I. Inyiama & M. C. Ekwe Table 9: Pairwise Granger Causality Tests Date: 4/22/14 Time: 2:37 Sample: Lags: 1 Null Hypothesis: Obs F-Statistic Prob. DLOGRGDP does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DLOGRGDP DINFRATE does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DINFRATE DINTRATE does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DINTRATE DEXCHRATE does not Granger Cause DLOGASINDEX DLOGASINDEX does not Granger Cause DEXCHRATE Tables 8 and 9 indicate that no causal relationship exists between All Share Index and all the independent variables of inflation rate, interest rate and real GDP. However, there is a unidirectional causality running from log of All Share Index to foreign exchange rate at 5% and 1% levels of significance and in lag 1. In lag 2, there is no Granger Causality between and among all the variables under study. Citing Hansen and Juselius (22), Gunasekarage, Pisedtasalasai and Power(25) submits that to find cointegration between nonstationary variables, at least two variables of all variables included in the cointergration system have to be I(1) They argued that the existence of a cointegration reveals the existence of a long term relationship between the market index and the macro-economic variables.. In this study, all share index, interest rate, inflationary rate and exchange rate are integrated in the order 1(1) while only the real gross domestic product is integrated in the order 1(2). Abraham(212) opine, while citing Johansen (1988), Stock and Watson (1988) and Johansen and Juselius (199) that the two basic test statistics involved in Johansen and Juselius s maximum likelihood test are the trace test and the maximal eigenvalue test. These two tests are conducted below and the result of the trace test indicates two(2) cointegrating equations at the.5 level while Maximum Eigenvalue indicates a cointegrating equation at the.1 level. The result indicates that the short run relationship which they presently share can also be sustained in the long-run. Table 1: Johansen Cointegration Results a) Unrestricted Cointegration Rank Test (Trace) Hypothesized No. of CE(s) Eigenvalue Trace Statistic.5 Critical Value Prob.** None * At most 1 * At most At most 3 * At most 4 *

11 International Journal of Financial Economics b) Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen.5 Eigenvalue No. of CE(s) Statistic Critical Value Prob.** None At most At most At most At most 4 * * denotes rejection of the hypothesis at the.5 level Source: EViews 8. Output 5. Summary and Conclusion The study aims at determining the relationship between All Share Index (the proxy for capital market performance) and real gross domestic product, monetary policy rate, inflationary rate and foreign exchange rate (the proxy for macroeconomic variables of the study). The regression result reveals that inflationary rate, exchange rate and the log of real GDP are negatively but insignificantly related to the log of All Share Index while interest rate is positively but not significantly related to All Share Index. This implies that maintaining a low inflationary and exchange rates could improve capital market performance while a reasonably high monetary policy rate could also yield positive results in the performance of capital market. No causal relationship exists between All Share Index and the independent variables of inflation rate, interest rate and real GDP except for a unidirectional causality running from log of All Share Index to foreign exchange rate at 5% and 1% levels of significance and in lag 1 only. Positive correlation is found between interest rate, log of real GDP and log of All Share Index while negative correlation exist between exchange rate, inflationary rate and the dependent variable(asi). The cointegrating equation found is an indication that their short run relationship could be sustained in the future. Therefore, if macroeconomic variables could be effectively regulated or controlled by the regulatory agencies such as Nigeria Stock Exchange, Securities and Exchange Commission and the Central Bank of Nigeria, as suggested by the findings of this study, the variables are most likely to impact tremendously on the performance of the Nigeria Capital Market. References Abraham, T.W(212). Stock Market Reaction to Selected Macroeconomic Variables in the Nigerian Economy, CBN Journal of Applied Statistics 2(1), Agrawal, G., Srivastav, A,K. and Srivastava, A.(21). A Study of Exchange Rates Movement and Stock Market Volatility, International Journal of Business and Management, 5(12). Ali, M,B.(211). Co integrating Relation between Macroeconomic Variables and Stock Return: Evidence from Dhaka Stock Exchange (DSE), International Journal of Business and Commerce 1(2): Ali I., Rehman K. U., Yilmaz A. K., Khan M. A. and Afzal H. (21) Causal Relationship between Macroeconomic Indicators and stock Exchange Prices in Pakistan African Journal of Business Management, 4(3), AL- Shubiri, F(21). Analysis the Determinants of Market Stock Price Movements: An Empirical Study of Jordanian Commercial Banks, International Journal of Business & Management: 5(1):137.Available athttp://connection.ebscohost.com/c/articles/ /analysis-determinantsmarket-stock- pricemovements- empirical-study-jordanian-commercial-banks Anyanwu, J. C. (25). Stock Market Development and Nigeria s Economic Growth, The Nigerian Financial Review, 13(3):

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13 International Journal of Financial Economics Pasquale, F. (26). "Testing for Granger causality between stock prices and economic growth," MPRA Paper 2962, University Library of Munich, Germany, revised 27. Rashid, A.(28): Macroeconomic Variables and Stock Market Performance: Testing for Dynamic Linkages with a Known Structural Break. Published in: Saving and Development, 1: Ross, S.A., (1976), The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory,13, Sohail, N and Hussain, K.(29). Long-Run And Short-Run Relationship Between Macroeconomic Variables And Stock Prices In Pakistan :The Case Of Lahore Stock Exchange, Pakistan Economic and Social Review 47, (2),