IDEAS home Printed from https://ideas.repec.org/a/ibn/ijefaa/v10y2018i2p28-34.html
   My bibliography  Save this article

Impact of Macroeconomic Variables on Karachi Stock Market Returns

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://ccsenet.org/journal/index.php/ijef/article/view/71660/39918
    Download Restriction: no
    File URL: http://ccsenet.org/journal/index.php/ijef/article/view/71660
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Matthew Serfling & Dragan Miljkovic, 2011. "Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1117-1134.
    2. 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.
    3. 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.
    4. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Muhammad Imtiaz Subhani & Syed Akif Hasan & Rabia Mohammad Ayub Moten & Amber Osman, 2011. "An Application of GARCH while investigating volatility in stock returns of the World," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 5(2), pages 49-59, Fall.
    2. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "An Application of GARCH while investigating volatility in stock returns of the World," MPRA Paper 45089, University Library of Munich, Germany.
    3. Naushad Alam, 2017. "Analysis of the impact of select macroeconomic variables on the Indian Stock Market: A heteroscedastic cointegration approach," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(1), pages 119-127, March.
    4. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
    5. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
    6. Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
    7. Raphael Gwahula, 2018. "Examining Key Macroeconomic Factors Influencing the Stock Market Performance: Evidence from Tanzania," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 8(2), pages 228-234, April.
    8. Fu, Qi & So, Jacky Yuk-Chow & Li, Xiaotong, 2024. "Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    9. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
    10. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
    11. Karthigai Prakasam Chellaswamy & Natchimuthu N & Muhammadriyaj Faniband, 2020. "Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(2), pages 146-159, February.
    12. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
    13. Agliardi, Elettra & Xepapadeas, Anastasios, 2022. "Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    14. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    15. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
    16. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
    17. Roger E. A. Farmer, 2018. "Pricing Assets in a Perpetual Youth Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 106-124, October.
    18. Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
    19. Su, Hao & Ying, Chengwei & Zhu, Xiaoneng, 2022. "Disaster risk matters in the bond market," Finance Research Letters, Elsevier, vol. 47(PA).
    20. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013. "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijefaa:v:10:y:2018:i:2:p:28-34. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.