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Macroeconomic Uncertainty and Stock Market Uncertainty: Some Further Evidence From Pakistan

Author

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  • Tariq Aziz

    (Sukkur IBA University, Sukkur, Pakistan)

  • Jahanzeb Marwat

    (Sukkur IBA University, Sukkur, Pakistan)

  • Sheraz Mustafa

    (Sukkur IBA University, Sukkur, Pakistan)

Abstract

The paper provides an updated evidence of the linkage between stock market and macroeconomic factors in Pakistan. The sample period is from January 2011 to November 2017. Macroeconomic variables used are money supply, exchange rate, treasury bill rate, inflation and industrial production. Generalized autoregressive conditional heteroscedasticity (GARCH) models have been used to examine the impact of macroeconomic factors on stock market return and stock market volatility. Findings suggest that macroeconomic factors have an impact on stock market volatility. The fluctuations in inflation and money supply negatively influence the volatility of stock market returns. In contrast, industrial production positively affects the fluctuations of stock market returns. The findings are important for shareholders, investors, regulatory authorities and policymakers.

Suggested Citation

  • Tariq Aziz & Jahanzeb Marwat & Sheraz Mustafa, 2021. "Macroeconomic Uncertainty and Stock Market Uncertainty: Some Further Evidence From Pakistan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 24(02), pages 1-15, June.
    • Handle: RePEc:wsi:rpbfmp:v:24:y:2021:i:02:n:s0219091521500144
    DOI: 10.1142/S0219091521500144
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    Cited by:

    1. Amina Malik & Babar Zaheer Butt & Haroon Aziz, 2022. "COVID-19 Entwined the Dynamic Relationship between Stock Returns and Macroeconomic Variables," Information Management and Business Review, AMH International, vol. 13(4), pages 11-22.

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