Effects of Macroeconomic Indicators on Stock Market Performance in Emerging African Economies: An Autoregressive Distributed Lag Model with Pooled Mean Group Estimation Approach

This dataset supports the manuscript "Effects of Macroeconomic Indicators on Stock Market Performance in Emerging African Economies: An Autoregressive Distributed Lag Model with Pooled Mean Group Estimation Approach". It is sourced from the World Bank's World Development Indicators (WDI), International Financial Statistics (IFS) of the International Monetary Fund (IMF), Countries’ Central Banks and National Statistical Agencies, and United Nations Conference on Trade and Development (UNCTAD) and African Securities Exchanges. The dataset is a quarterly data on macroeconomic indicators and stock market performance metrics that accurately capture both short-term changes and long-term trends. This quarterly interval offers an optimal balance between data availability and tracking business cycle dynamics, outperforming annual data that might miss short-term shifts and monthly data that could add unnecessary noise. The chosen period spans from 2000 to 2024, providing enough observations for a thorough econometric analysis. This timeframe has been purposefully selected to encompass major economic cycles, financial crises, policy changes, and global shocks, such as the 2008 global financial crisis, the COVID-19 pandemic, and structural economic reforms in emerging African economies. The dataset comprises panel data from six emerging African economies: Egypt, Ghana, Kenya, Morocco, Nigeria, and South Africa.