MACROECONOMIC DETERMINANTS OF STOCK RETURNS IN PAKISTAN THE CASE OF KARACHI STOCK EXCHANGE

Nadeem Sohail () and Hussain Zakir ()

Journal of Advanced Studies in Finance, 2010, vol. 1, issue 2, 181-187

Abstract: The stock market is one of the imperative indicators of the economy This study strived to explore the impact of five macroeconomic variables on General Index in the long run and short run In order to investigate the long run and short run relationships Johansen cointegation technique and VECM was applied This study used monthly data from November 1991 to June 2008 for analysing General Index The study revealed that consumer price index and real effective exchange rate and industrial production index had a positive impact on stock prices in Pakistan while money supply and three month treasury bills rate affected stock prices negatively in the long run The VECM demonstrated that it took more than eight months to eliminate the disequilibrium The variance decompositions exposed that consumer price index and money supply showed greater forecast error than real effective exchange rate industrial production index and three month treasury bills rate for General Index

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:srs:jasf00:v:1:y:2010:i:2:p:181-187

Access Statistics for this article

Journal of Advanced Studies in Finance is currently edited by Laura GAVRILĂ (formerly Ştefănescu)

More articles in Journal of Advanced Studies in Finance from ASERS Publishing
Bibliographic data for series maintained by Claudiu Popirlan ( this e-mail address is bad, please contact ).