Effect of Macro-economic Factors on Aggregate Stock Returns in the Tunisian Financial Market

The stock market returns are known to be significantly correlated with both inflation and money growth. Nevertheless, the impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps, because their effects are neither linear nor time-invariant. Therefore, we estimate a GARCH model of daily equity returns in which the realized returns and their conditional volatility depend on twelve macro-series announcements. Hence, we perceive the absence of a significant relation between the macroeconomic announcement and the stock market returns. Moreover, the effect of the announcement of these variables has been tested on the returns. The obtained results show that the macroeconomic variables disclosed in the Tunisian financial market do not have any impact on the volatility of the returns of the shares quoted in the B.V.M.T.