Authors

1. Mr. Sarwar Uddin Ahmed
2. Mr. Md. Zahirul Quiyum
3. Mr. Mohammad Fahad Noor

Affiliation

• Ahmed School of Business Independent University, Bangladesh
• School of Business Independent University, Bangladesh
• School of Business Independent University, Bangladesh

Abstract

The purpose of this study is to investigate the predictability of selected macroeconomic factors in determining the stock prices in the context of an emerging market by taking the case of Dhaka Stock Exchange (DSE) of Bangladesh. Johansen co integration test, vector error correction model, and Granger causality test have been used to conduct this study. The Granger causality test has found bidirectional causality between remittances & stock prices and unidirectional causality between narrow money supply & stock prices that runs from the narrow money supply to stock prices. On the other hand, inflation affects stock prices in both short-term and long-term periods. Finally, money supply, remittance inflows and inflation have been found to be the most influential factors in determining stock prices in both short-run and long-run periods.

Keywords

Macroeconomic Factors, Stock Prices, Johansen Cointegration, , Vector Error Correction Model, Granger Causality

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