Abstract
This study aims to investigate the effect of macroeconomic factors on Palestine and Amman Stock Exchange returns. Also, the study handles the political events in the area and their impact on Palestine and Amman stock markets returns. This study applied the macro-econometric model based on Arbitrage Pricing Theory. In addition, the most important political events are selected, and their effect was tested using the event study methodology. The results show that the consumer price index, gross domestic product, and exchange rate have a significant impact on stock index returns, but industrial production index and balance of trade have no significant effect. In addition, the results reveal that the political events have a significant effect on Palestine and Amman stock markets returns. For instance, at Palestine Stock Exchange, seven out of eleven events had a significant impact on the Palestinian general index returns. Regarding the Amman Stock Exchange, there were nine out of eleven events, which had a significant impact on the Jordanian general index returns. The main results show that the macroeconomic factors and political events have a significant impact on the Palestine and Amman stock market returns. Both Palestine and Amman Stock Markets are inefficient and the markets do not absorb uncertain information and noisy events.
Highlights
Financial market is the link between individuals and organizations, whereas stock prices reflect the hopes and fears for thousands of buyers and sellers and formulate their decisions based on their evaluations to many considerations
It is important to mention that the effect on the advanced markets differs from that on the developing markets, as well as the political events play the same role in the financial markets (Momani & Alsharari, 2012)
Empirical results of political events values for the macroeconomic variables are less than 0.23, which revealed that there is no problem In this subsection, we showed the effect of politiof multicollinearity in this model
Summary
Financial market is the link between individuals and organizations, whereas stock prices reflect the hopes and fears for thousands of buyers and sellers and formulate their decisions based on their evaluations to many considerations. The results of many studies showed that the macroeconomic factors have an obvious effect on the financial markets (Hunjra, Chani, Ijaz, Farooq, & Khan, 2014). There are limited up-to-dated researches on how these factors affect the developing stock markets (Hussainey & Khanh Ngoc, 2009).
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
