Abstract This study aims to investigate the effect of macroeconomic factors on Palestine and Amman Stock Exchange returns. Also, the study handles the political events in the area and their impact on Palestine and Amman stock markets returns. This study applied the macro-econometric model based on Arbitrage Pricing Theory. In addition, the most important political events are selected, and their effect was tested using the event study methodology. The results show that the consumer price index, gross domestic product, and exchange rate have a significant impact on stock index returns, but industrial production index and balance of trade have no significant effect. In addition, the results reveal that the political events have a significant effect on Palestine and Amman stock markets returns. For instance, at Palestine Stock Exchange, seven out of eleven events had a significant impact on the Palestinian general index returns. Regarding the Amman Stock Exchange, there were nine out of eleven events, which had a significant impact on the Jordanian general index returns. The main results show that the macroeconomic factors and political events have a significant impact on the Palestine and Amman stock market returns. Both Palestine and Amman Stock Markets are inefficient and the markets do not absorb uncertain information and noisy events. Mai Jabarin (Palestine), Abdulnaser Nour (Palestine), Sameh Atout (Palestine) Impact of Macroeconomic Factors and Political Events on the Market Index Returns at Palestine and Amman Stock Markets (2011–2017) Received on: 23rd of May, 2019 Accepted on: 6th of November, 2019 INTRODUCTION Financial market is the link between individuals and organizations, whereas stock prices reflect the hopes and fears for thousands of buyers and sellers and formulate their decisions based on their evaluations to many considerations. The results of many studies showed that the macroeconomic factors have an obvious effect on the financial markets (Hunjra, Chani, Ijaz, Farooq, & Khan, 2014). But it is important to mention that the effect on the advanced markets differs from that on the developing markets, as well as the political events play the same role in the financial markets (Momani & Alsharari, 2012). However, there are limited up-to-dated researches on how these factors affect the developing stock markets (Hussainey & Khanh Ngoc, 2009). Based on that, the aim of the research is to study the impact of macroeconomic factors, as well as to study the influence of political events on Palestine and Amman stock markets index returns, in order to make relevant and valuable recommendations for investors, organizations, and financial analysts, and to give a new insight about the © Mai Jabarin, Abdulnaser Nour, Sameh Atout, 2019 Mai Jabarin, Master of Accounting, Al-Najah National University, Nablus, Palestine. Abdulnaser Nour, сorresponding author, Ph.D. in Accounting, Professor of Accounting, Al-Najah National University, Nablus, Palestine. Sameh Atout, Ph.D. in Accounting, Faculty of Economics, Al-Najah National University, Nablus, Palestine. macroeconomic variables, Arbitrage Pricing Theory, political events, event study, stock market returns, stock exchanges, Palestine, Amman Keywords JEL Classification G12, G14

العنوان

Investment Management and Financial Innovations

الناشر

LLC “СPС “Business Perspectives” Hryhorii Skovoroda lane, 10, Sumy, 40022, Ukraine

بلد الناشر

أوكرانيا

Indexing

Scopus

معامل التأثير

None

نوع المنشور

Both (Printed and Online)

المجلد

16

السنة

2019

الصفحات

156-167