Journal of Hotel and Business Management
Open Access

Abstract

Impact of Macro Level Economic Factors on Capital Market Returns: Evidence from the Emerging Market of Asia

Syed Asim Shah

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka forthe period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns.  Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period. The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of Pakistan for the study period. T-Bills have significant negative impact, Exchange rate and Consumer price index having significant positive impact on the stock returns of the India. In the case of Sri Lanka only T-bills rate having significant negative impact on stock returns.