IMPACT OF EXCHANGE RATE, OIL PRICES, AND STOCK MARKET: EVIDENCE FROM PAKISTAN STOCK EXCHANGE (TIME SERIES DATA ANALYSIS)

Muhammad Subhan, Muhammad Tayyab, Farooq Ali, Atta Ur Rahman, Asia Ahmad, Tofail Ahmed and Muhammad Naveed Jamil
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Muhammad Subhan: Management Sciences, Islamia College University Peshawar, KPK, Pakistan
Muhammad Tayyab: Abdul Wali Khan University Mardan, KPK, Pakistan
Farooq Ali: University of Peshawar, KPK, Pakistan
Atta Ur Rahman: Bacha Khan University Charsadda, KPK, Pakistan
Asia Ahmad: Virtual University of Pakistan
Tofail Ahmed: Management Science, Islamia College University Peshawar, KPK, Pakistan
Muhammad Naveed Jamil: Institute of Business Administration, KFUEIT, Rahim Yar Khan, Pakistan

Bulletin of Business and Economics (BBE), 2023, vol. 12, issue 2, 93-103

Abstract: This article analyzes the correlation between oil prices, the exchange rate, and returns on the KSE 100 index over a short period. This article takes a time series approach, looking at the exchange rate, oil prices, and KSE 100 index of the Pakistan stock market daily from the first month of 2010 through the last month of 2018. This study performed a statistical analysis by using a VAR model, a cointegration test, and the ADF test. The exchange rate of the rupee to the dollar has a negligible correlation with the KSE 100 index. In contrast, oil prices correlate highly with stock market returns and have a short-term positive influence on the index.

Keywords: Cointegration test; VAR model; Oil Price; US Exchange Rate; KSE 100 index (search for similar items in EconPapers)
Date: 2023
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