Macroeconomic Factors and Stock Returns

Macroeconomic variables and their effects on stock returns have been interested by scholars, investors and companies. This research aims to identify the effects of selected macroeconomic variables including inflation rate, exchange rate, interest rate, current account deficit and unemployment rate on stock returns of 45 companies from 11 different sectors. Autoregressive distributed lag method is employed for the data spanning from February, 2005 to May, 2012. The research provides the results of the empirical analyses and conclusion of the findings. It ends with the implications for practice and future research.