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Arbitrage Price Theory (APT) and Karachi Stock Exchange (KSE)

Author

Listed:
  • Mohammad, Sulaiman D.
  • Naqvi, Syed Iqbal Hussain
  • Lal, Irfan
  • Zehra, Saba

Abstract

The intention of this study is to analyze the variability of Arbitrage price theory (APT) in case of KSE. The data from Jan 1985 to Dec 2008 is monthly based has been considered and two econometric methodologies, Johanson co integration and Error correction model are used to checkout the validity of APT in this study. The conclusion of this study illustrates that Quasi money responds negatively with KSE 100 index return while IIP (industrial index of production), exchange rate, petroleum price, domestic interest responds negatively with KSE 100 index return. On the Contrary bullion price and inflation rate are insignificant regarding to KSE 100 index returns

Suggested Citation

  • Mohammad, Sulaiman D. & Naqvi, Syed Iqbal Hussain & Lal, Irfan & Zehra, Saba, 2012. "Arbitrage Price Theory (APT) and Karachi Stock Exchange (KSE)," MPRA Paper 106875, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:106875
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    References listed on IDEAS

    as
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    3. MacKinlay, A. Craig, 1987. "On multivariate tests of the CAPM," Journal of Financial Economics, Elsevier, vol. 18(2), pages 341-371, June.
    4. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
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    More about this item

    Keywords

    KSE-100Index; Arbitrage pricing theory; Co integration;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

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