Macroeconomic factors influence on Arab stock markets : empirical evidence from panel data modeling

Abstract EN

The purpose of the present study is to examine the relationship between Saudi Arabia, Egypt, and Morocco stock market Indexes and a set of macroeconomic factors are: inflation rate, unemployment rate, broad money growth, annual growth rate of Gross Domestic Product using annual data from 2002 to 2018.

Fixed- and Random-effects models of Panel data method are used to test the relationship and investigates which macroeconomic factors that might affect stock market Indexes in these Arab countries.

The results confirm that random effect model is more appropriate (HAUSMAN TEST).

Evidence suggests that Broad money growth has a statistically significant effect (positive) on Arab stock indexes for a significance level of 5%; while the other independent variables show no significant effect.