The relationship between selected macroeconomic variables and stock return at the Nairobi Securities Exchange

Abstract

The main aim of this study was to examine the relationship between selected macroeconomic variables and stock return at the Nairobi securities exchange. The study focused on Consumer price index (CPI), market interest rate, Industrial Production Index (IPI) and Foreign exchange rate (FEX) using monthly data for a nine year period between January 2003 and December 2011. Inferential statistical analysis such as regression, Analysis of the Variance (ANOVA) and the t tests were used to summarize, describe, analyze and present the study findings. The main findings were that Market interest rate, consumer price index and exchange rate have a negative relationship with stock return, while industrial production index exhibited a positive relationship.