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 Naik, 2013 )

USA

Industrial production, inflation (anticipated and unanticipated), long- and short-term government bond yield

All the factors were found to be significant

(Elshqirat, 2019)

Jordan

Exports, unemployment rate, Gross domestic product (GDP), and industrial producers price index (IPPI)

None

Al-Abdallah & Aljarayesh (2017)

interest rate, inflation and exchange rate

Interest rate and inflation

Gan et al. (2006, as cited in Reza et al., 2018 )

New Zealand

interest rates, inflation, and exchange rates

None

Barakat et al. (2016, as cited in Reza et al., 2018 )

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 Reza et al., 2018 )

Indonesia

Inflation and interest rate

Inflation

Reza et al. (2018)

Indonesia

Exchange rate, inflation and GDP

Exchange rate

Amtiran et al. (2017)

Indonesia

GDP, Interest rate, inflation rate and the exchange rate

GDP, Interest rate, exchange rate

Paavola (2006)

Russia

Inflation, oil prices, money supply, exchange rates, and production industry

All the factors were found to be significant

Tursoy, Gunsel, & Rjoub (2008)

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

Benakovic & Posedel (2010)

Croatia

inflation, industrial production, interest rates, market indices and oil prices

market index, Interest rates, oil prices and industrial production

Olorunleke (2014)

Nigeria

output growth, interest rate and inflation rate

inflation rate, interest rate and real GDP

Rashid (2008)

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 Olorunleke, 2014 )

Philippines, Malaysia, Thailand, Indonesia and Singapore

interest rates

Interest rates was significant only for Malaysia and Indonesia

Rahman et al. (2009)

Malaysia

money supply, interest rate, exchange rate, reserves and industrial production index

All macroeconomic variables tested significant

Issahaku et al. (2013)

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

Naik (2013)

India

industrial production index, inflation, money supply, short term interest rate exchange rates and stock market index

money supply and industrial production

Hunjra et al. (2014)

Pakistan

Interest rate, exchange rate, and GDP and inflation rate

All factors tested significant only in the long run