MACROECONOMIC DETERMINANTS OF STOCK PRICE VARIATIONS: AN ECONOMIC ANALYSIS OF KSE-100 INDEX

Altaf Hussain, Musrat Rafique, Ambar Khalil () and Maryam Nawaz ()
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Ambar Khalil: Department of Economics, The Islamia University of Bahawalpur, Pakistan.
Maryam Nawaz: National College of Business Administration & Economics, Lahore, Multan Campus.

Pakistan Journal of Humanities and Social Sciences, 2013, vol. 1, issue 1, 28-46

Abstract: The main objective of this study is to assess the macroeconomic determinants of stock price variability in Pakistan. The quarterly data on macroeconomic variables (Gross Domestic Product, Foreign Direct Investment, Interest Rates, Exports, Money Supply and Unemployment Rate) and KSE-100 Index as proxy of stock price variation for the period of 1992:01 to 2012:04 is taken for the empirical investigation. Johansen co-integration test and VECM is used for this purpose. The analysis of this study specifies that the foreign direct investment, interest rates, export and unemployment rate have significant and negative impact on KSE-100 index, while money supply has found to be a significant and positive determinant of stock prices. On the other hand gross domestic product have a positive but insignificant impact on stock prices in Pakistan.

Keywords: Macroeconomics; Financial Markets; Stock Exchanges; Index; Cointegration; VECM; Time Series; Stationary Series (search for similar items in EconPapers)
JEL-codes: B22 C22 C43 C51 E44 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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