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Relationship Between Stock Market Volatility And Exchange Rate: A Study Of Kse

Author

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  • Waseem ASLAM

    (University Rawalpindi, Department of Finance and Economics, seem_aslam@yahoo.com, Pakistan,)

Abstract

This paper guides us about the impact of Exchange rate Pakistan rupee in terms of US Dollar and KSE 100 index. We take the data of period comprises from January 01, 2006 to December 31, 2012 excluding year 2013due to general elections of Pakistan, which held in May 2013 after which stock market took a boom. We applied different statistical tools to analyze the obtained data. We also analyze the causal relationship between both the time series. First of all we carry out normality test and found that both PKR-USD exchange rate and KSE 100 index are non-normally distributed. We conclude through unit root test that both series are stationary at the level form. Furthermore we found negative correlation in between KSE100 indices and USD-PKR exchange rate though very weak relationship exists. Furthermore we check for causal relationship between two time series through Granger Causal Test and found that bidirectional relationship exists between KSE 100 indices and Exchange Rate.

Suggested Citation

  • Waseem ASLAM, 2014. "Relationship Between Stock Market Volatility And Exchange Rate: A Study Of Kse," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 5(5), pages 62-72, June.
    • Handle: RePEc:aic:jopafl:y:2014:v:5:p:62-72
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    Citations

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    Cited by:

    1. Faizal Reza & Titin Ruliana & Imam Nazarudin Latif & Adisthy Shabrina Nurqamarani, 2020. "Causality Between Exchange Rate and Stock Prices: Evidence From ASEAN-5 Countries," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 10(2), pages 17-33.
    2. Yousaf Ali Khan, 2022. "Modeling Dependent Structure Among Micro-Economics Variables Through COPAR (1)-Model in Pakistan," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 257-279, March.
    3. Akbar, Muhammad & Iqbal, Farhan & Noor, Farzana, 2019. "Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan," Resources Policy, Elsevier, vol. 62(C), pages 154-164.
    4. P. Anusha & B. Dhushanthan & T. Vinayagathasan, 2022. "The Relationship between Exchange Rate and Stock Market Performance: Empirical Evidence from Sri Lanka," Business and Economic Research, Macrothink Institute, vol. 12(2), pages 135-154, December.

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