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

Subhani, Muhammad Imtiaz and Osman, Amber and 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.

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.

• Item Type: MPRA Paper
• Language: English
• 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

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