The objective of this paper is to examine the impact of macroeconomic variables on the NASDAQ OMX Vilnius sectors’ stock returns. Theoretical aspects of macroeconomic variables impact on stock returns are presented in the first part of the work. The second part of the paper presents research methodology. A multiple regression model is designed to test the the impact of 7 macroeconomic factors on 16 sectors’ stock returns for the period from March 2002 to February 2011 on monthly base. Macroeconomic variables used in this study are growth rate of industrial production index, change in consumer price index, growth rate of money supply (M1), change in exchange rate LT/RUB and LT/USD, change in 6 months interbank interest rate VILIBOR, change in Europe Brent oil price. Research results are introduced in the third part of the work. The results reveal that macroeconomic factors affect different sectors’ stock returns in different manner. Furthermore the results indicate that macroeconomic factors impact depends on the state of the economy. The results also show that macroeconomic variables explain more defensive than cyclical stock returns’ variation.

Raktažodžiai: macroeconomic, factors, stock, returns