Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity

Muhammad Subhani () and Amber Osman

MPRA Paper from University Library of Munich, Germany

Abstract: In the financial market the very peculiar and key focus is about the trading volume response to Consumer price index (CPI). Therefore, taking CPI as one of the important economic variables, the Karachi Stock Exchange-100 index trading volume was investigated in connection with the CPI. The outcomes of this study suggested that CPI has a major association with the KSE-100 index trading volume. The statistical test further elaborated this significance and has revealed a negative relationship between CPI “Consumer price index” and “KSE-100 index trading volume”. Another interesting key feature to this research was the presence of endogeneity in the data used for the research.

Keywords: Consumer price index (CPI) announcements; Trading Volume; Endogeneity (search for similar items in EconPapers)
JEL-codes: O16 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-fmk and nep-mkt
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Citations: View citations in EconPapers (4)

Published in Interdisciplinary Journal of Contemporary Research in Business 1.3(2011): pp. 878-884

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:34725

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