Variance decomposition analysis is also performed that reveals that confirm
that monetary variables are a significant source of the volatility of equity market
The contribution of an inflation shock to the equity returns ranges from 0.77 % to
7.8%. Similarly the contribution of T bill rates ranges from 3.29% to 4.39% and
contribution of X rate ranges from 3.17% to 6.42% which is also significant. Money
supply is also one of major contributor of volatility.