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International Journal of Academic Research in Economics and Management Sciences

Open Access Journal

ISSN: 2226-3624

Perspective of the Relationship between Stock Returns and Macroeconomic Indicators: Case of Tunisia

Nizar EL OUNI, Mekki HamdaouI, Manelle Lahdhir

http://dx.doi.org/10.6007/IJAREMS/v3-i6/1409

Open access

First, we will be interested in the statistical properties of the data collected and especially stationarity. The test was used to identify the properties of the previously studied series is the test Adjusted Dickey Fuller (1981). Indeed, the first step is to study the stationarity of individual time series. In addition, they must be non-stationary as a necessary condition to implement causality tests. In a second step; we will choose the Johanson cointegration test to analyze the long-run equilibrium relationship between stock returns and different macroeconomic variables .In fact the cointegration relationships assume that all variables are integrated of the same order: the level integration will be achieved through the implementation of the ADF test .The third step is to test in a uni-frame varied the type of the relationship between the stock index (TUNINDEX) and the two-monetary and economic variables two and the direction and the sign of a possible causal relationship (if it exists). This type of tests are designed to test whether the economic and monetary activity predict stock returns or not. Finally; and in a final stage; we will try to decompose the variance of the forecast error in order to highlight the proportion related to each shock.

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(OUNI et al., 2014)
OUNI, N. EL, HamdaouI, M., & Lahdhiri, M. (2014). Perspective of The Relationship Between Stock Returns and Macroeconomic Indicators: Case of Tunisia. International Journal of Academic Research in Economics and Management Sciences, 3(6), 161–175.