Hussain, Adnan and Lal, Irfan Lal and Memon, Mubin (2013): Short run and Long run Dynamics of Macroeconomic Variables and Stock prices: Case Study of Karachi Stock Exchange. Published in: Kashmir Economic Review , Vol. XVIII, No. 1 (5 December 2009)
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Abstract
The prime object of the study is to find the long run relationship between macroeconomic variables and prices of shares in Karachi stock exchange in Pakistan context. For this purpose the study considers the monthly data of several macroeconomic variables such as real foreign exchange rate, foreign exchange reserve, industrial production index, whole sale price index, gross fixed capital formation, and broad money M2 , these variables are obtain from 1987 to 2008 period. For the purpose of finding long run relationship among the variables Johansen co-integration test is applied. The results show that after the reforms in 1991 the influence of foreign exchanges rate and foreign exchange reserve effects significantly to stock market. The result also shows that there was positive relationship between GFCF and M2 while WPI is negative relationship with stock price. The result also highlighted that interest rate is insignificant with stock prices in the long run. The results of variance decompositions revealed that out of seven macroeconomic variables inflation showed greater forecast error for KSE 100 Index.
Item Type: | MPRA Paper |
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Original Title: | Short run and Long run Dynamics of Macroeconomic Variables and Stock prices: Case Study of Karachi Stock Exchange. |
English Title: | Short run and Long run Dynamics of Macroeconomic Variables and Stock prices: Case Study of Karachi Stock Exchange. |
Language: | English |
Keywords: | Stock prices, Macroeconomics variables |
Subjects: | E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E20 - General G - Financial Economics > G2 - Financial Institutions and Services > G20 - General |
Item ID: | 37889 |
Depositing User: | Irfan Lal |
Date Deposited: | 25 Apr 2021 14:20 |
Last Modified: | 25 Apr 2021 14:20 |
References: | Shefali sharma and balwinder Singh (2007) share prices and macroeconomics variables in India, retrieved on Artja vijnana June 2007. Nishat (2004) Macro economics factors and Pakistan equity market retrieved by May 2004. Hasan fazal and Mehmood tariq (2001) the stock market and economy of Pakistan retrieved inPIDE (Pakistan institute of development economics. Stock Prices, Real Sector and the Causal Analysis: The Case of Pakistan (2004) retrieved by journal of management and social sciences. Ayub mehar Stock market consequences of macroeconomic fundamentals (2001) retrieved in MRPA. Shahbaz Akmal (2007) Stock return and inflation in case of Pakistan retrieved in Pakistan social and development review |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/37889 |