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Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data

Author

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  • Subhani, Muhammad Imtiaz
  • Osman, Amber
  • Gul, Ameet

Abstract

This study examined monthly KSE-100 index trading volume response to announcements about Consumer price index (CPI) in the period of January 2004 to august 2009. Regression results supported the hypothesis that change in CPI has significant association with the change in KSE 100 index trading volume and regression was statistically significant and has shown that there is a negative relationship between CPI “Consumer price index” and KSE-100 index trading volume. More over the Presence of endogeneity has also been discussed via applying heckman's correction in the data.

Suggested Citation

  • Subhani, Muhammad Imtiaz & Osman, Amber & Gul, Ameet, 2010. "Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data," MPRA Paper 26375, University Library of Munich, Germany, revised 02 Nov 2010.
  • Handle: RePEc:pra:mprapa:26375
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    File URL: https://mpra.ub.uni-muenchen.de/29712/1/MPRA_paper_29712.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Consumer price index (CPI) announcements; trading volume; different beliefs and information.;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • A10 - General Economics and Teaching - - General Economics - - - General
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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