Relationship Between Macroeconomic Variables and Stock Market Returns: Empirical Analysis of Emerging Market Economies

Mearaj Ud Din Dar & Khursheed Ahmad Butt

Published: December 2022

The present study is an attempt to understand the interactions between prominent macroeconomic variables and stock market returns among seven emerging economies by using a novel econometric technique, the ARDL model. The study found macroeconomic variables do have significant impact on stock market returns although varying in magnitude and direction across sample countries. Significant external impact of oil prices and exchange rates is visible on stock market returns of emerging economies. Stock returns of the emerging economies are informationally inefficient because understanding the trends in macroeconomic variables can be used to beat the market.