The Arbitrage Pricing Theory (APT) propounded by Ross in 1976 argued for a variety of macro economic variables (sources of systematic risk) in explaining stock returns. In the same vein, this paper examines the relationship between macroeconomic variables (GDP, inflation, interest rate, exchange...

This paper examines the relationship between select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate and Money Supply) and aggregate stock returns in emerging markets constituting the BRICS block over the period 1995 to 2014 using quarterly panel data. This relationship...

The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher...

Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the Log-periodogram (LP) and Local Whittle...

This study examined the determinants of stock returns for the emerging market of Kenya: The Nairobi Securities Exchange. The specific objectives were to establish if certain selected macroeconomic variables affect stock prices in Kenya, to examine the validity of the Capital Asset Pricing Model...

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating...