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The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange

Year 2012, Volume: 2 Issue: 4, 480 - 487, 01.12.2012

Muhammed Monjurul Quadir

Abstract

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.

Keywords

Stock Returns Macroeconomic Variables Autoregressive Integrated Moving Average

Year 2012, Volume: 2 Issue: 4, 480 - 487, 01.12.2012

Muhammed Monjurul Quadir

Abstract

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Details

Other ID JA58EU55HN
Authors

Muhammed Monjurul Quadir This is me

Publication Date December 1, 2012
Published in Issue Year 2012 Volume: 2 Issue: 4

Cite

APA Quadir, M. M. (2012). The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange. International Journal of Economics and Financial Issues, 2(4), 480-487. https://izlik.org/JA32BM75SU
AMA 1.Quadir MM. The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange. IJEFI. 2012;2(4):480-487. https://izlik.org/JA32BM75SU
Chicago Quadir, Muhammed Monjurul. 2012. “The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange”. International Journal of Economics and Financial Issues 2 (4): 480-87. https://izlik.org/JA32BM75SU.
EndNote Quadir MM (December 1, 2012) The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange. International Journal of Economics and Financial Issues 2 4 480–487.
IEEE [1]M. M. Quadir, “The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange”, IJEFI, vol. 2, no. 4, pp. 480–487, Dec. 2012, [Online]. Available: https://izlik.org/JA32BM75SU
ISNAD Quadir, Muhammed Monjurul. “The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange”. International Journal of Economics and Financial Issues 2/4 (December 1, 2012): 480-487. https://izlik.org/JA32BM75SU.
JAMA 1.Quadir MM. The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange. IJEFI. 2012;2:480–487.
MLA Quadir, Muhammed Monjurul. “The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange”. International Journal of Economics and Financial Issues, vol. 2, no. 4, Dec. 2012, pp. 480-7, https://izlik.org/JA32BM75SU.
Vancouver 1.Quadir MM. The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange. IJEFI [Internet]. 2012 Dec. 1;2(4):480-7. Available from: https://izlik.org/JA32BM75SU