Twahili, Hemed2021-02-032021-02-032019Hemed, T ( 2019 ) Econometric analysis of effects of inflation and exchange rate on stock market returns at the Dar es salaam stock exchange market, Masters dissertation, University of Dar es Salaam, Dar es Salaam.http://41.86.178.5:8080/xmlui/handle/123456789/14633Available in print form, EAF collection, Dr. Wilbert Chagula Library, class mark ( THS EAF HG5993.T34H453)The stable and well –organized stock market encourages savings growth and promotes investments, which a leads to the country economic health. The core function of stock market is to act as the mediator among saving unit and investing unit in the economy. Various macroeconomic indicator and the stock exchange market are immediately connected. Different study explains that stock exchange market is prone by change in macroeconomic indicators. The main objective of this study is to find out the statistical evidence of the affects of inflation rate and exchange rate on stock market returns at the Dar es Salaam stock exchange market in order to understand the behaviour of stock market performance in Tanzania. Time serious data of 180 months for the period from 2002 to 2016 was used in this study. To achieve this objective, the study engaged the multiple Linear Regression model and Generalized Autoregressive Conditional Hetero scedasticity (GARCH) Models. The ordinary Least squire estimation technique was used to estimate the parameter of Multiple Linear regression model with the different stock market returns as the dependent variable while different rate of inflation and foreign exchange rates as independent variables. Multiple Linear Regression results indicate that exchange rate has positive significant influence on stock market exchange returns at the Dar es Salaam stock exchange market while inflation has negative significant influence on stock exchange market returns which means that stock will persist to many future periods. The GARCH in mean was used to capture the connection between market risk and market exchange returns. Stock exchange market returns was found to be positively related with market risk. It is recommended that the government must establish the policies and measures to help controlling and to stabilize inflation rate and foreign exchange rate fluctuations therefore creating investors confidence in the stock market.enStock exchangeInflationExchange ratesStock marketDar es salaam stock exchange marketTanzaniaThesis