Relationship between Macroeconomic Variables and KSE-100 Index: Evidence from Pakistan
AbstractThe present study aim to investigate the relationship of macroeconomic variables on stock returns in Pakistan. The study used monthly data from January 2001 to December 2010. For data analysis different econometrics model were used such as auto regressive distributed lag (ARDL), augmented dickey fuller (ADF), vector error correction model (VECM) are used. The study found that there is short as well as long run relationship exists between macroeconomic variables and stock returns. Money supply, exchange rate, and consumer price index have significant long run relationship with stock prices, while oil prices have no significance relations with stock returns. In short run money supply and exchange has positive significant relation with stock returns, while consumer price index and oil prices have no significant relation with stock returns.
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Bibliographic InfoArticle provided by Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest in its journal Knowledge Horizons - Economics.
Volume (Year): 5 (2013)
Issue (Month): 4 (December)
Macroeconomic Variables; KSE.100 Index; ARDL; VECM; ADF; Pakistan;
Find related papers by JEL classification:
- E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
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