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Impact of Macroeconomic Variables on Karachi Stock Market Returns

Author

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  • Javed Pervaiz
  • Junaid Masih
  • Teng Jian-Zhou

Abstract

The study examines the impact of selected macroeconomic variables (inflation, exchange rate, interest rate) on Karachi stock market returns. Mainly secondary data used in the research process. The study consists of data for the period of 10 years and 5 months starting from January 2007 till May 2017. For this purpose, monthly data of KSE-100 index has been observed for the period January 2007 to May 2017. The market returns have been calculated through the opening and closing index value of each month. The inflation, interest rate, and exchange rate has been taken as independent variables. Hypotheses have been tested to find out whether there exists a significant relationship between the Stock market return and macroeconomic variables or not. To test this hypothesis, Regression analysis used and results are calculated through Stata software.

Suggested Citation

  • Javed Pervaiz & Junaid Masih & Teng Jian-Zhou, 2018. "Impact of Macroeconomic Variables on Karachi Stock Market Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 28-34, February.
    • Handle: RePEc:ibn:ijefaa:v:10:y:2018:i:2:p:28-34
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    References listed on IDEAS

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    3. Guneratne Wickremasinghe, 2011. "The Sri Lankan stock market and the macroeconomy: an empirical investigation," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(3), pages 179-195, August.
    4. Charles K.D. Adjasi, 2009. "Macroeconomic uncertainty and conditional stock-price volatility in frontier African markets: Evidence from Ghana," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 333-349, August.
    5. Karam Pal & Ruhee Mittal, 2011. "Impact of macroeconomic indicators on Indian capital markets," Journal of Risk Finance, Emerald Group Publishing, vol. 12(2), pages 84-97, March.
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    Cited by:

    1. Nadia Naz & Asif Saeed Naji & Afaq Ali Khan & Abdul Gaffar, 2024. "Macroeconomic Determinants of Market Capitalization of PSX 100 Index: An Application of VAR Approach," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(2), pages 752-762.

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    More about this item

    Keywords

    Pakistan; macroeconomic variables; KSE returns; stock prices;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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