Title: The impact of macroeconomic variables (MEV) on the stock market returns in MENA countries

Authors: Mohamed S.S.A. Shehata

Addresses: College of Business and Economics, Department of Finance and Economics, Qatar University, 2713, Doha, Qatar

Abstract: The study analyses the effect of macroeconomic variables (MEV) on stock returns in Middle East and North Africa (MENA) countries. MEV refers to the monetary and fiscal policy variables besides economic policy uncertainty and transparency variables. This paper utilised the structural autoregressive model (SVAR) to capture the interrelations and dependencies of the MEV on stock returns. To identify the MEV shocks, the study uses a recursive approach (Cholesky decomposition). As a result of the SVAR model and the percentage contribution of the dynamic system in response to shocks through variance decomposition and impulse response function, results have shown that the stock return reacts differently to the MEV shocks depending on the status of the economy. These results conclude significant implications for policymakers to adopt policies based on the country's conditions.

Keywords: macroeconomics variables; monetary policy; fiscal policy; policy uncertainty; transparency; stock return; MENA; SVAR; structural autoregressive model.

DOI: 10.1504/JGBA.2022.131471

Journal for Global Business Advancement, 2022 Vol.15 No.5, pp.643 - 663

Received: 02 Feb 2023
Accepted: 04 Apr 2023
Published online: 13 Jun 2023 *

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