THE EFFECT OF MACROECONOMIC VARIABLES ON STOCK RETURN IN THE EMERGING MARKETS: THE CASE OF EGYPT

The main objective of this paper is to examine the effect of macroeconomic variables on Egyptian stock market return across different types of industries and different level of economic states. The empirical tests conducted Durbin Watson Statistics, Granger causality and the vector autoregressive model (VAR) to explore the dynamic and the significant relationship between Interest rate, Inflation, exchange rate and Money supply and Stock market return across different types of industries and across different level of economic states. Covering the period from 1993 : 2009. The results revealed that there are asymmetric responses to the macroeconomic variables across different level of economic states.