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The Impact Of Macroeconomic Variables On Stock Market: Empirical Evidence On Karachi Stock Exchange By Using ARDL Model

Author

Listed:
  • Adnan Javed

    (Institute of Management Sciences, Peshawar)

  • Muhammad Rafiq

    (Institute of Management Sciences, Peshawar)

  • Sarfaraz Khan

    (Institute of Management Sciences, Peshawar)

  • Muhammad Mohsin Khan

    (Institute of Management Sciences, Peshawar)

Abstract

This research work provides a broader area to examine the impact of macroeconomic variables on Karachi Stock Exchange. KSE-100 index data is the dependent variable while macroeconomic variables are independent variable. CPI, foreign exchange rate, foreign portfolio liabilities (equities), oil prices and t-bill rates are selected as macroeconomic variables. Data is collected quarterly from the period of 1992 to 2009. A powerful ARDL model is used in this research work. Result of the ARDL model shows that CPI, exchange rate, and t-bill rates got negative relationship with KSE-100 index. Foreign portfolio liabilities (equities) and oil prices showed positive relationship with KSE-100 index

Suggested Citation

  • Adnan Javed & Muhammad Rafiq & Sarfaraz Khan & Muhammad Mohsin Khan, 2011. "The Impact Of Macroeconomic Variables On Stock Market: Empirical Evidence On Karachi Stock Exchange By Using ARDL Model," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 3(2), pages 125-142, October.
    • Handle: RePEc:bec:imsber:v:3:y:2011:i:2:p:125-142
    DOI: dx.doi.org/10.22547/BER/3.2.1
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    References listed on IDEAS

    as
    1. Arshad Hasan & Zafar Mueen Nasir, 2008. "Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 47(4), pages 501-513.
    2. Mohammed Nishat & Rozina Shaheen, 2004. "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 619-637.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stock exchange; ARDL model; foreign portfolio; liabilities;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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