The Impact of Macroeconomic Variables on Stock Returns ''An Empirical Study on the Egyptian Stock Exchange (EGX 100 Index) ''

Kassem, Khaled Moustafa; Abd Elkhalek, Abeer Mohamed; Barakat, Wael Mohamed Ali

doi:10.21608/acj.2023.328411

The Impact of Macroeconomic Variables on Stock Returns ''An Empirical Study on the Egyptian Stock Exchange (EGX 100 Index) ''

Document Type : Original Article

Authors

¹ Professor of Economics at the College of Management and Technology Arab Academy for Science, Technology and Maritime Transport

² master of Business Administration Arab Academy for Science, Technology and Maritime Transport

10.21608/acj.2023.328411

Abstract

Our study aims at analyzing the relationship between the main macroeconomic variables “the inflation rate, the interest rate, the changes in exchange rate, and indirect foreign investment’, and the dependent variable represented by stock returns measured by "EGX100" index at the period from 2011 to 2022., the main stone corner of this study was based on answering the main question: What is the relationship between macroeconomic variables and stock returns in the Egyptian financial market? The importance of the study comes from trying to find out the relationship between a group of economic variables on stock returns in the Egyptian Stock Exchange which are represented by the movement of change in stock prices under the "EGX 100"index, Which is fixed price weight rate that is reflecting accurate prices changes among "100" companies related to all Egyptian sectors’ performance.
This study is different from previous studies that were made based on "EGX 30 index" which is affected and changed by the weight value, and gives inaccurate results about price changes and movements on The Exchange Market as a result of the changes in the size of companies.
Our current study found an insignificant positive relationship between interest rate and value of stock price index on Egyptian Exchange Market "EGX100".
Finally, the study is indicated that there is a weak positive relationship between indirect foreign investments and the value of stock price index on Egyptian Exchange Market "EGX100". Also, the study showed that there was no significant effect of inflation and indirect foreign investment which is considered as an independent variable on the "EGX100" index, but when all the independent variables were combined together, they had significant effect, which led to accepting the main hypothesis of the study.

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