期刊名称：International Journal of Development and Sustainability
印刷版ISSN：2186-8662
出版年度：2018
卷号：7
期号：2
页码：604-619
出版社：International Society for Development and Sustainability (ISDS)
摘要：The literature has concluded that the Stock Market returns are affected by the macroeconomic variables performance. Treasury bill rate was taken as a proxy and a measure of interest rate. The study examines the joint impact of interest rates and Treasury bill rate on stock market returns on Egyptian Stock Exchange over the period between November 2004 and November 2017. The study used econometric models to investigate the relationship between Treasury bill rate, interest rate, and Egyptian Stock Market returns. Results showed that there is a negative relationship between Treasury bill rate, interest rate, and Egyptian Stock Market returns. Moreover, the econometric analysis showed co-integration between these three variables which means that there is a long run relationship. Therefore, the study concluded that both interest rate and Treasury bill rate have a joint impact on Egyptian stock market returns in the long run. Finally, it is important to policy makers in the Egyptian Financial Sector, investors, mutual fund and portfolio managers to understand the effects of both Treasury bill rate and interest rate dynamics on Egyptian stock market returns in order to take optimal investment decisions.
