The Impact Of Macroeconomic Variables On Stock Market: Empirical Evidence On Karachi Stock Exchange By Using ARDL Model

Adnan Javed (), Rafiq Muhammad, Sarfaraz Khan and Muhammad Mohsin Khan
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Adnan Javed: Institute of Management Sciences, Peshawar
Sarfaraz Khan: Institute of Management Sciences, Peshawar
Muhammad Mohsin Khan: Institute of Management Sciences, Peshawar

Business & Economic Review, 2011, vol. 3, issue 2, 125-142

Abstract: This research work provides a broader area to examine the impact of macroeconomic variables on Karachi Stock Exchange. KSE-100 index data is the dependent variable while macroeconomic variables are independent variable. CPI, foreign exchange rate, foreign portfolio liabilities (equities), oil prices and t-bill rates are selected as macroeconomic variables. Data is collected quarterly from the period of 1992 to 2009. A powerful ARDL model is used in this research work. Result of the ARDL model shows that CPI, exchange rate, and t-bill rates got negative relationship with KSE-100 index. Foreign portfolio liabilities (equities) and oil prices showed positive relationship with KSE-100 index

Keywords: Stock exchange; ARDL model; foreign portfolio; liabilities (search for similar items in EconPapers)
JEL-codes: G10 G21 G32 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:bec:imsber:v:3:y:2011:i:2:p:125-142

DOI: 10.22547/BER/3.2.1

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