Advanced Search
MyIDEAS: Login to save this paper or follow this series

Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity

Contents:

Author Info

  • Subhani, Muhammad Imtiaz
  • Osman, Ms. Amber

Abstract

In the financial market the very peculiar and key focus is about the trading volume response to Consumer price index (CPI). Therefore, taking CPI as one of the important economic variables, the Karachi Stock Exchange-100 index trading volume was investigated in connection with the CPI. The outcomes of this study suggested that CPI has a major association with the KSE-100 index trading volume. The statistical test further elaborated this significance and has revealed a negative relationship between CPI “Consumer price index” and “KSE-100 index trading volume”. Another interesting key feature to this research was the presence of endogeneity in the data used for the research.

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://mpra.ub.uni-muenchen.de/34725/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34725.

as in new window
Length:
Date of creation: 2011
Date of revision:
Publication status: Published in Interdisciplinary Journal of Contemporary Research in Business 1.3(2011): pp. 878-884
Handle: RePEc:pra:mprapa:34725

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Consumer price index (CPI) announcements; Trading Volume; Endogeneity;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 59(3), pages 383-403, July.
  2. Michael Smirlock, 1986. "Inflation announcements and financial market reaction: evidence from the long-term bond market," Working Papers 86-6, Federal Reserve Bank of Philadelphia.
  3. Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, American Finance Association, vol. 36(1), pages 15-29, March.
  4. Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, American Finance Association, vol. 49(3), pages 923-50, July.
  5. Huberman, Gur & Schwert, G William, 1985. "Information Aggregation, Inflation, and the Pricing of Indexed Bonds," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 93(1), pages 92-114, February.
  6. Jain, Prem C, 1988. "Response of Hourly Stock Prices and Trading Volume to Economic News," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 61(2), pages 219-31, April.
  7. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 58(1), pages 49-67, January.
  8. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  9. Kandel, Shmuel & Ofer, Aharon R & Sarig, Oded, 1993. "Learning from Trading," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(3), pages 507-26.
  10. Castanias, Richard P, II, 1979. "Macroinformation and the Variability of Stock Market Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 34(2), pages 439-50, May.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2011. "Monetary Shocks or Real Shocks, Which matters the most for Share Prices," MPRA Paper 34730, University Library of Munich, Germany, revised 2011.
  2. Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011. "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper 34736, University Library of Munich, Germany, revised 2011.

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:pra:mprapa:34725. 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: (Ekkehart Schlicht).

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.