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Macroeconomic Determinants Of Stock Returns In Pakistan The Case Of Karachi Stock Exchange

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  • Nadeem SOHAIL
  • Hussain ZAKIR

Abstract

The stock market is one of the imperative indicators of the economy This study strived to explore the impact of five macroeconomic variables on General Index in the long run and short run In order to investigate the long run and short run relationships Johansen cointegation technique and VECM was applied This study used monthly data from November 1991 to June 2008 for analysing General Index The study revealed that consumer price index and real effective exchange rate and industrial production index had a positive impact on stock prices in Pakistan while money supply and three month treasury bills rate affected stock prices negatively in the long run The VECM demonstrated that it took more than eight months to eliminate the disequilibrium The variance decompositions exposed that consumer price index and money supply showed greater forecast error than real effective exchange rate industrial production index and three month treasury bills rate for General Index

Suggested Citation

  • Nadeem SOHAIL & Hussain ZAKIR, 2010. "Macroeconomic Determinants Of Stock Returns In Pakistan The Case Of Karachi Stock Exchange," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 1(2), pages 181-187.
    • Handle: RePEc:srs:jasf00:v:1:y:2010:i:2:p:181-187
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    Cited by:

    1. Rabia najaf, 2017. "Hedging Effectiveness of Crude Palm Oil on the performance of stock Market Malaysia," International Journal of Academic Research in Management and Business, International Journal of Academic Research in Management and Business, vol. 2(1), pages 6-15, january.
    2. Sabariah Nordin & Rusmawati Ismail, 2014. "The Impact of Palm Oil Price on the Malaysian Stock Market Performance," Journal of Economics and Behavioral Studies, AMH International, vol. 6(1), pages 1-9.

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