Arbitrage Price Theory (APT) and Karachi Stock Exchange (KSE)

Mohammad, Sulaiman D. and Naqvi, Syed Iqbal Hussain and Lal, Irfan and Zehra, Saba (2012): Arbitrage Price Theory (APT) and Karachi Stock Exchange (KSE). Published in: Asian Social Science , Vol. 8, No. 2

Abstract

The intention of this study is to analyze the variability of Arbitrage price theory (APT) in case of KSE. The data from Jan 1985 to Dec 2008 is monthly based has been considered and two econometric methodologies, Johanson co integration and Error correction model are used to checkout the validity of APT in this study. The conclusion of this study illustrates that Quasi money responds negatively with KSE 100 index return while IIP (industrial index of production), exchange rate, petroleum price, domestic interest responds negatively with KSE 100 index return. On the Contrary bullion price and inflation rate are insignificant regarding to KSE 100 index returns

• Item Type: MPRA Paper
• Language: English
• Keywords: KSE-100Index, Arbitrage pricing theory, Co integration
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; G - Financial Economics > G1 - General Financial Markets > G10 - General

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