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Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity

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  • Subhani, Muhammad Imtiaz
  • Osman, Ms. Amber

Abstract

In the financial market the very peculiar and key focus is about the trading volume response to Consumer price index (CPI). Therefore, taking CPI as one of the important economic variables, the Karachi Stock Exchange-100 index trading volume was investigated in connection with the CPI. The outcomes of this study suggested that CPI has a major association with the KSE-100 index trading volume. The statistical test further elaborated this significance and has revealed a negative relationship between CPI “Consumer price index” and “KSE-100 index trading volume”. Another interesting key feature to this research was the presence of endogeneity in the data used for the research.

Suggested Citation

  • Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2011. "Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity," MPRA Paper 34725, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:34725
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    File URL: https://mpra.ub.uni-muenchen.de/34725/1/MPRA_paper_34725.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Muhammad Imtiaz Subhani, 2011. "Monetary Shocks or Real Shocks, Which matters the most for Share Prices," Information Management and Business Review, AMH International, vol. 2(6), pages 246-251.
    2. Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011. "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper 34736, University Library of Munich, Germany, revised 2011.
    3. Muhammad Kashif, 2015. "Comparison of Equity Markets of SAARC Nations with the Equity Markets European Union Nations," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 9(1), pages 23-31, Spring.

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    More about this item

    Keywords

    Consumer price index (CPI) announcements; Trading Volume; Endogeneity;
    All these keywords.

    JEL classification:

    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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