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272233

Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

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Last updated: 04 Jan 2025

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Abstract

The aim of this study is to develop a framework identifying the micro and macroeconomic variables that are expected to affect stocks' return of emerging markets. For the microeconomic variables, the five variables presented in Fama and French five factor model are examined (market excess return, size, value, profitability and investment) while for the macroeconomic model, five macroeconomic variables are selected such that three variables are domestic (exchange rate, inflation rate, industrial production index) and two are global macroeconomic factors (federal fund rate and global commodity index). Time-series regression analysis is run to determine the significant variables of each model separately using monthly data from June 2010 to June 2020. The results of the microeconomic variables showed the significant impact of size, value and profitability variables. Regarding the macroeconomic variables, the results have revealed that the only significant variable is the industrial production index with a positive impact on excess-return of portfolios constructed. The value of the current study emerges from its contribution in filling the gap of the macroeconomic literature as a gap is found in the empirical studies that investigated the impact of global macroeconomic variables on the stock market of the emerging economies. Additionally, the study adds to the microeconomic literature that examines the validity of Fama and French Five factor model while using a different measure for the profitability variable.

DOI

10.21608/acj.2022.272233

Keywords

Domestic variables, Global variables, Fama and French Five Factors model, Emerging market, Egyptian stock market

Authors

First Name

Silvia Adly

Last Name

Saweris

MiddleName

-

Affiliation

Lecturer In College of International transport and Logistics, AASTMT

Email

silvia-adly@aast.edu

City

-

Orcid

-

First Name

Sara Hassan

Last Name

El Gazar

MiddleName

-

Affiliation

Arab Academy for Science, Technology and Maritime Transport Faculty of International Transport and Logistics Alexandria Egypt

Email

sara.elgazzar@aast.edu

City

الاسکندریة

Orcid

-

First Name

Svetlana

Last Name

Sapuric

MiddleName

-

Affiliation

Associate professor in Economics and Finance, University of Nicosia, Nicosia

Email

sapuric.s@unic.ac.cy

City

-

Orcid

-

First Name

Ifigenia

Last Name

Georgiou

MiddleName

-

Affiliation

Assistant professor in Economics and Finance, University of Nicosia, Nicosia, Cyprus

Email

georgiou.i@unic.ac.cy

City

-

Orcid

-

Volume

59

Article Issue

5

Related Issue

37596

Issue Date

2022-09-01

Receive Date

2022-06-07

Publish Date

2022-08-20

Page Start

111

Page End

159

Print ISSN

2682-4183

Online ISSN

2682-4191

Article File

ACJ_Volume 59_Issue 5_Pages 111-159.pdf

PDF . 10.4MB

Link

https://acjalexu.journals.ekb.eg/article_272233.html

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https://acjalexu.journals.ekb.eg/service?article_code=272233

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4

Type

المقالة الأصلية

Type Code

759

Publication Type

Journal

Publication Title

مجلة جامعة الإسکندرية للعلوم الإدارية

Publication Link

https://acjalexu.journals.ekb.eg/

MainTitle

Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

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Type

Article

Created At

22 Jan 2023