Suisse Stock Return, Macro Factors, and Efficient Market Hypothesis: Evidence From ARDL Model

This study investigates the long-run equilibrium relationship between Suisse stock market (SSM) prices and a set of macroeconomic variables (inflation, interest rate, exchange rate) using Monthly data for period 1999:1 to 2018:4. Different specifications tests will be carried out, namely unit root (ADF PP), Vector Auto Regression (VAR) select optimal lag length Granger causality Toda Yamamoto (TY) Wald non testing, VEC Model (Johansen, 1988)’s test no cointegration, ARDL framework FPSS cointegration hypothesis. Once ECM representation model is used, it confirms temporal price. Finding say that there dynamic short-run adjustment stable considered (except in SSM. imply SSM informationally inefficient because publicly available information on (inflation can potentially used predicting prices.