Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity
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.
|Date of creation:||2011|
|Date of revision:|
|Publication status:||Published in Interdisciplinary Journal of Contemporary Research in Business 1.3(2011): pp. 878-884|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Castanias, Richard P, II, 1979. "Macroinformation and the Variability of Stock Market Prices," Journal of Finance, American Finance Association, vol. 34(2), pages 439-50, May.
- Huberman, Gur & Schwert, G William, 1985. "Information Aggregation, Inflation, and the Pricing of Indexed Bonds," Journal of Political Economy, University of Chicago Press, vol. 93(1), pages 92-114, February.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
- Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, vol. 36(1), pages 15-29, March.
- Kandel, Shmuel & Ofer, Aharon R & Sarig, Oded, 1993. "Learning from Trading," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 507-26.
- Jain, Prem C, 1988. "Response of Hourly Stock Prices and Trading Volume to Economic News," The Journal of Business, University of Chicago Press, vol. 61(2), pages 219-31, April.
- Schwert, G William, 1989.
" Why Does Stock Market Volatility Change over Time?,"
Journal of Finance,
American Finance Association, vol. 44(5), pages 1115-53, December.
- G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
- Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
- 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.
- Douglas K. Pearce & V. Vance Roley, 1984.
"Stock Prices and Economic News,"
NBER Working Papers
1296, National Bureau of Economic Research, Inc.
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: (Joachim Winter)
If references are entirely missing, you can add them using this form.