RELATIONSHIP IN STOCK MARKET RETURNS AND THE MACROECONOMIC FACTORS IN PAKISTAN

  • Muhammad Arshad Sial Lecturer Department of Commerce University of Sargodha, Mianwali
  • Muhammad Imran Khan Assistant Professor Department of Management Science COMSAT Vehari
  • Rafaqet Ali Assistant Professor Department of Management Science COMSAT Vehari
Keywords: Equity Market, Macroeconomic Factors, Economy, KSE 100 Index

Abstract

The aim of the research to discover the long-term and cause and effect relationship amid set of macroeconomic indicators and KSE-100 index return regarding Pakistan. Macroeconomic factors of study are exchange rate, inflation rate, interest rate, gold prices and oil prices. Tow co-integration vectors has found in multivariate co-integration test. Bi-variate co-integration test outcome indicate that long-term co-integration exits between KSE-100 Index and inflation rate and KSE-100 and Oil prices. Result of pair wise granger causality test reports that causality relationship exists between KSE-100 Index and macroeconomic factors except gold prices. Variance decomposition analysis shows variance due to own shocks.

Published
2016-06-30
Section
Articles