Impact of Macroeconomic Factors and Political Events on the Market Index Return at Palestine and Amman Stock Markets

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Naser Farah Jabarin, Mai
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An Najah National University
This study aims to investigate the Macroeconomic Factors impact on Palestine and Amman Stock Exchange Returns. They are identified by the return of general price index and the return of Exchange Sectors’ Indexes in particular; in order to identify different results between different sectors and markets. The macroeconomic factors represented by five variables which are; gross domestic product, balance of trade, consumer price index, exchange rate, and industrial product index. The second section of the thesis handles the political events in the area and their impact on Palestine and Amman Stock Exchange Returns, identified by the return of general price index. This study makes use of time series based on monthly data for macroeconomic factors from January 2011, and January 2007 for the Palestinian and Jordanian markets respectively continuing to December 2017. The study applies macro-econometric model based on Arbitrage Pricing Theory, and testing these variables with unit root test, correlation coefficient, ordinary least square test, and ARCH/GARCH models. Moreover, the most seventeen important political events during the years 2011-2017 are selected and tested to show how they affect stock index return by using event study methodology in event windows of 5, 10 and 30
Macroeconomic , Stock Exchange Returns , Arbitrage Pricing Theory,