أثر التقلبات الاقتصادية على عوائد الأسهم : دراسة قياسية لسوق نيويورك للأوراق المالية

Abstract EN

In the last few years, high volatility of stock prices in various countries raised attention of politicians, economists and the general public.

By high volability we mean especially the mutual effects between financial markets and the real economy.

It is not news that the trends of economic developments may play an important role in the movements of stock prices and returns.

This study aims to provide practical study on the main channels of the macroeconomic fluctuations effects on the movement of stock returns in New York Stock Exchange for the period 2003-2012 using vector error correction model.

The results led to the confirmation of existence of a long-term equilibrium relationship between fluctuations in macroeconomic variables and stock returns.