The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange
This article investigates the effects of macroeconomic variables of treasury bill interest rate and industrial production on stock returns on Dhaka Stock Exchange for the period between January 2000 and February 2007 on the basis of monthly time series data using Autoregressive Integrated Moving Ave...
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| Format: | Article |
| Language: | English |
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EconJournals
2012-12-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31955/351865?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| _version_ | 1828031354412990464 |
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| author | Muhammed Monjurul Quadir |
| author_facet | Muhammed Monjurul Quadir |
| author_sort | Muhammed Monjurul Quadir |
| collection | DOAJ |
| description | This article investigates the effects of macroeconomic variables of treasury bill interest rate and industrial production on stock returns on Dhaka Stock Exchange for the period between January 2000 and February 2007 on the basis of monthly time series data using Autoregressive Integrated Moving Average (ARIMA) model. The paper has taken the overall market stock returns as an independent variable. It does not consider the stock returns of different companies separately. Though the ARIMA model finds a positive relationship between Treasury bill interest rate and industrial production with market stock returns but the coefficients have turned out to be statistically insignificant. |
| first_indexed | 2024-04-10T14:45:35Z |
| format | Article |
| id | doaj.art-3e51bbca54944779a6c2f2c3459e8738 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:45:35Z |
| publishDate | 2012-12-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-3e51bbca54944779a6c2f2c3459e87382023-02-15T16:07:53ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382012-12-01244804871032The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock ExchangeMuhammed Monjurul QuadirThis article investigates the effects of macroeconomic variables of treasury bill interest rate and industrial production on stock returns on Dhaka Stock Exchange for the period between January 2000 and February 2007 on the basis of monthly time series data using Autoregressive Integrated Moving Average (ARIMA) model. The paper has taken the overall market stock returns as an independent variable. It does not consider the stock returns of different companies separately. Though the ARIMA model finds a positive relationship between Treasury bill interest rate and industrial production with market stock returns but the coefficients have turned out to be statistically insignificant.https://dergipark.org.tr/tr/pub/ijefi/issue/31955/351865?publisher=http-www-cag-edu-tr-ilhan-ozturkstock returns macroeconomic variables autoregressive integrated moving average |
| spellingShingle | Muhammed Monjurul Quadir The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange International Journal of Economics and Financial Issues stock returns macroeconomic variables autoregressive integrated moving average |
| title | The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange |
| title_full | The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange |
| title_fullStr | The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange |
| title_full_unstemmed | The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange |
| title_short | The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange |
| title_sort | effect of macroeconomic variables on stock returns on dhaka stock exchange |
| topic | stock returns macroeconomic variables autoregressive integrated moving average |
| url | https://dergipark.org.tr/tr/pub/ijefi/issue/31955/351865?publisher=http-www-cag-edu-tr-ilhan-ozturk |
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