Subhani, Muhammad Imtiaz and Gul, Ameet and Osman, Amber (2010): Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data.
This is the latest version of this item.
Download (47Kb) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data|
|Keywords:||Consumer price index (CPI) announcements, trading volume, different beliefs and information.|
|Subjects:||D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D53 - Financial Markets
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation
F - International Economics > F2 - International Factor Movements and International Business > F21 - International Investment; Long-Term Capital Movements
A - General Economics and Teaching > A1 - General Economics > A10 - General
C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology; Computer Programs > C80 - General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Muhammad Imtiaz Subhani|
|Date Deposited:||23. Mar 2011 19:36|
|Last Modified:||19. Feb 2013 20:31|
Adams, G., McQueen, G., & Wood, R. (2004). The effects of inflation news on high frequency stock returns. Journal of Business, 77, 547-574.
Black, F. (1986). Noise. The Journal of Finance, 41, 529-543.
Castanias, R.P. (1979). Macro information and the variability of stock market prices. Journal of Finance, 34, 439-50.
Carlton, D.W. (1983). Futures trading, market interrelationships, and industry structure. American Journal of Agricultural Economics, 65, 380-387.
Chen, N.F., Roll, R., & Ross, S.A. (1986). Economic forces and the stock market. Journal of Business, 59, 383-403. Fair, R. C. (2002). Events that shook the market. Journal of Business, 75, 713-731.
Huang, H. (2008). Price and liquidity effects of US economic news releases on German stock index futures. JEL, 1-49.
Huberman, G., & Schwert, G.W. (1985). Information aggregation, inflation, and the pricing of indexed Bonds. The Journal of Political Economy, 93, 92-114.
Jain, P. C. (1988). Response of hourly stock prices and trading volume to economic news. Journal of Business, 61, 219-31.
Kandel, S., Ofer, A.R., & Sarig, O. (1993). Learning from trading. The Review of Financial Studies, 6, 507-526.
Kim, O., & Verrecchia, R.E. (1991). Trading volume and price reactions to public announcements. Journal of Accounting Research, 29, 302-321.
Mitchell, M.L., & Mulherin, J.H. (1994). The impact of public information on the stock market. The Journal of Finance, 49, 923-950.
Pearce, D. K., & Roley, V. V. (1985). Stock prices and economic news. Journal of Business, 58, 49-67.
Schwert, G.W. (1981). The adjustment of stock prices to information about inflation. Journal of Finance, 36, 15-29.
Schwert, G.W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44, 1115-1153.
Smirlock, M. (1986). Inflation announcements and financial market reaction: evidence from the long-term bond market. The Review of Economics and Statistics, 68, 329-333.
Available Versions of this Item
Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data. (deposited 15. Nov 2010 13:38)
- Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data. (deposited 23. Mar 2011 19:36) [Currently Displayed]