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An-Najah University Journal for Research - B (Humanities)

Abstract

The study aimed to show the impact of macroeconomic variables (inflation rate, market interest rate) on returns of Palestine Stock Exchange Indices (Al-Quds index, Investment sector index, Insurance sector index, Banks sector index, Services sector index, Industry sector index). The Auto- Regressive Distributed Lag Model (ARDL) has been applied in the study during the period 2008-2018. The results of the study have shown that inflation has left a negative impact on the returns of Palestine Stock Exchange Indices (Al-Quds index, Investment sector index, Insurance sector index, Banks sector index, Services sector index, Industry sector index) and there are a co-integration and long-run relationship between inflation and the returns of Palestine Stock Exchange Indices during 2008-2018. The study also has shown that the market interest rate has a negative impact on the returns of Palestine Stock Exchange Indices. The study recommended that the governmental bodies in Palestine should follow a clear economic policy, exploit all the tools of fiscal and monetary policy in order to reduce inflation rates in Palestine and leave a positive effect on stock returns to stimulate the indirect investment within Palestine Stock Exchange.

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