Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data

Muhammad Subhani (), Amber Osman and Ameet Gul

MPRA Paper from University Library of Munich, Germany

Abstract: This study examined monthly KSE-100 index trading volume response to announcements about Consumer price index (CPI) in the period of January 2004 to august 2009. Regression results supported the hypothesis that change in CPI has significant association with the change in KSE 100 index trading volume and regression was statistically significant and has shown that there is a negative relationship between CPI “Consumer price index” and KSE-100 index trading volume. More over the Presence of endogeneity has also been discussed via applying heckman's correction in the data.

Keywords: Consumer price index (CPI) announcements; trading volume; different beliefs and information. (search for similar items in EconPapers)
JEL-codes: A10 C01 C80 D53 E31 F21 (search for similar items in EconPapers)
Date: 2010-11-01, Revised 2010-11-02
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https://mpra.ub.uni-muenchen.de/29712/1/MPRA_paper_29712.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26375

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