Author(s) | Countries in which the study was conducted | Macroeconomic factors studied | Microeconomic factors with significant relationship with stock returns |
Chen et al. (1986 as cited in | USA | Industrial production, inflation (anticipated and unanticipated), long- and short-term government bond yield | All the factors were found to be significant |
| Jordan | Exports, unemployment rate, Gross domestic product (GDP), and industrial producers price index (IPPI) | None |
| interest rate, inflation and exchange rate | Interest rate and inflation | |
Gan et al. (2006, as cited in | New Zealand | interest rates, inflation, and exchange rates | None |
Barakat et al. (2016, as cited in | Greece and Tunisia | CPI, exchange rate, money supply, and interest rates | CPI, exchange rate, money supply, and interest rates were positive for Greece and Tunisia. CPI was not applicable for Tunisia |
Zulfa and Tan (2009, as cited in | Indonesia | Inflation and interest rate | Inflation |
| Indonesia | Exchange rate, inflation and GDP | Exchange rate |
| Indonesia | GDP, Interest rate, inflation rate and the exchange rate | GDP, Interest rate, exchange rate |
| Russia | Inflation, oil prices, money supply, exchange rates, and production industry | All the factors were found to be significant |
| Turkey | Oil prices, money supply, consumer price index, industrial production, import, export, gold prices, exchange rate, interest rates, economic growth, foreign reserve, unemployment rate and market pressure index | None of the factors had a significant relationship with stock returns |
| Croatia | inflation, industrial production, interest rates, market indices and oil prices | market index, Interest rates, oil prices and industrial production |
| Nigeria | output growth, interest rate and inflation rate | inflation rate, interest rate and real GDP |
| Pakistan | Consumer prices, industrial production, exchange rate and the market rate of interest | All macroeconomic variables tested significant |
Wongbampo and Sharma (2002, as cited in | Philippines, Malaysia, Thailand, Indonesia and Singapore | interest rates | Interest rates was significant only for Malaysia and Indonesia |
| Malaysia | money supply, interest rate, exchange rate, reserves and industrial production index | All macroeconomic variables tested significant |
| Ghana | interest rate, inflation and money supply and Foreign Direct Investment (FDI) | In the short-term, interest rate, inflation and money supply tested significant. while inflation, money supply and Foreign Direct Investment (FDI) were significant in the long run |
| India | industrial production index, inflation, money supply, short term interest rate exchange rates and stock market index | money supply and industrial production |
| Pakistan | Interest rate, exchange rate, and GDP and inflation rate | All factors tested significant only in the long run |