Özet:

Purpose - The relationship between some macroeconomic variables and stock market returns still attracts the attention of researchers. Indeed, this interest lies in the fact the stock development enhances real economic growth. Within this context, the objective of this paper is to examine the Jordanian capital market (Amman Stock Exchange / ASE) in terms of the nexus between macroeconomic variables and the stock price index. Methodology - To examine the relationship between real Gross Domestic Product (GDP) and consumer price index (CPI) and the ASE’s market index, this paper covers the period 1980 – 2019, and uses time series techniques including stationarity test, lag length selection criteria, co-integration, Vector Error Correction Model (VECM), and some stability tests. Findings – In contrast to most of the published literature, the impact of real GDP on the ASE’s market index and on its market capitalization is negative and significant. In addition, while the impact of consumer price index on the market index is not significant, its impact of market capitalization is negative and significant. Conclusion – Based on the estimated results, we argue that the ASE’s performance does not reflect the performance of the national economy. On the contrary, the relationship is negative. In addition, we argue that the ASE’s market index does not hedge investors against inflation. These results indicate that the ASE’s market index should not be used as a proxy measure of the performance of the national economy.

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