Advanced Search
MyIDEAS: Login to save this article or follow this journal

Macroeconomic Determinants of Stock Returns in Pakistan: the Case of Karachi Stock Exchange

Contents:

Author Info

  • Nadeem SOHAIL

    ()
    (University of Sargodha, Pakistan)

  • Hussain ZAKIR

    ()
    (University of Sargodha, Pakistan)

Registered author(s):

    Abstract

    The stock market is one of the imperative indicators of the economy. This study strived to explore the impact of five macroeconomic variables on General Index in the long run and short run. In order to investigate the long run and short run relationships Johansen co-integation technique and VECM was applied. This study used monthly data from November 1991 to June 2008 for analyzing General Index. The study revealed that consumer price index, and real effective exchange rate, and industrial production index had a positive impact on stock prices in Pakistan while money supply and three month treasury bills rate affected stock prices negatively in the long run. The VECM demonstrated that it took more than eight months to eliminate the disequilibrium. The variance decompositions exposed that consumer price index and money supply showed greater forecast error than real effective exchange rate, industrial production index, and three month treasury bills rate for General Index.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.asers.eu/journals/jasf/jasf-issues.html
    Download Restriction: no

    Bibliographic Info

    Article provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.

    Volume (Year): I (2010)
    Issue (Month): 2 (December)
    Pages: 181 - 187

    as in new window
    Handle: RePEc:srs:jasf12:5:v:1:y:2010:i:2:p:181-187

    Contact details of provider:
    Web page: http://www.asers.eu/journals/jasf.html

    Related research

    Keywords: stock returns; macroeconomic variables; co-integration; Variance decompositions;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:srs:jasf12:5:v:1:y:2010:i:2:p:181-187. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Stefanescu).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.