In 2016, the performance of Capital markets in Africa experienced a downward\ntrend. Notable among them were Zambia, Ghana and Nigeria\n(http://www.african-markets.com/). The Lusaka Securities Exchange (LuSE)\nshare price index was the worst performer year-to-date, down 26.83% in local\ncurrency. Among the contributing factors cited were commodity prices as the\ncountry relies on copper for more than 70% of its export revenue and had\ntherefore suffered from commodity prices plunged which led to weakened\ncurrencies and widened budget shortfalls (http://www.african-markets.com/).\nAlthough the contributing factors are known, their impact on the Zambian\nstock market is not known. This study was an attempt to establish the impact\nof commodity prices and macroeconomic factors on the stock market returns.\nLike in similar studies, Nordin et al. (2014) and Alam & Uddin (2009), we\nused Auto regression Distribution Lag and Cointegration analysis and the\nVector Error Correction model on the variables (stock price index, copper\nprice, oil price, interest rates, and exchange rates) for the period 2004-2016.\nThe findings of the study revealed Interest rates, exchange rates, copper and\nOil price jointly have the long and short Run impact on the Lusaka Stock\nMarket, but individually, only interest rates and copper prices had a significant\nlong term impact on the stock market, but in the short run only Copper\nand Exchange rates had an immediate impact on the stock market. One important\npolicy implication of this study is that it will alert the authorities and\nthe investors on the impact of commodity prices, interest rate, and the exchange\nrate on the Lusaka Securities Exchange stock market performance.
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