This study examines the relationships between the NZSE Index and a set of macroeconomic
variables during the period of January 1990 to January 2003. The time series data set employed
in this study comprises the monthly observations of the New Zealand Stock Index
(NZSE40), the inflation rate (CPI), long term interest rate (LR), short term interest rate (SR), the
real trade weighted exchange rate index (EX), real gross domestic product (GDP), narrowly defined
money supply (M1) and domestic retail oil prices (ROIL).