A Demonstration and Explanation of why Macroeconomic Factors Aren’t Reliable Indicators of Australian Stock Market Returns

The determination of leading indicators of stock market returns is of interest to both practitioners and academics. This paper analyses the validity of the recent macroeconomic factors indicated in the literature as providing a reliable indication of Australian stock market returns and concludes that the macroeconomic factors are not reliable indicators of stock market returns across time. The paper notes that the unreliability observed across time is consistent with financial markets being complex adaptive systems.