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The Macroeconomic Variables and Stock Returns

Evidence from Pakistan - .
Book on DemandKartoniert, Paperback
124 Seiten
Englisch
LAP Lambert Academic Publishingerschienen am08.05.2012Aufl.
The study explores long run and short run effects of macroeconomic variables i.e. consumer price index, industrial production, real effective exchange rate, money supply, and three months treasury bills rate on four stock indices i.e. KSE100 index, General index, LSE25 index, and ISE10 index relating three stock exchanges namely Karachi Stock Exchange, Lahore Stock Exchange, and Islamabad Stock Exchange in Pakistan. In order to study the long run and short run relationships Johansen cointegation technique and VECM was applied. The results showed that industrial production has long run positive impact on stock returns in all three markets. Exchange rate was positively affecting all indices except ISE10 index. Inflation was positively related with stock returns at Karachi Stock market, while it was negatively related with rest of the two markets. The money supply affected stock returns negatively, while treasury bills rate had mixed effect. The VECM analysis depicted that it takes more than four months, nine months, five months, and two months for the adjustment of disequilibrium of the previous period in case of KSE100 index, General Index, LSE25 index and ISE10 index respectively.mehr

Produkt

KlappentextThe study explores long run and short run effects of macroeconomic variables i.e. consumer price index, industrial production, real effective exchange rate, money supply, and three months treasury bills rate on four stock indices i.e. KSE100 index, General index, LSE25 index, and ISE10 index relating three stock exchanges namely Karachi Stock Exchange, Lahore Stock Exchange, and Islamabad Stock Exchange in Pakistan. In order to study the long run and short run relationships Johansen cointegation technique and VECM was applied. The results showed that industrial production has long run positive impact on stock returns in all three markets. Exchange rate was positively affecting all indices except ISE10 index. Inflation was positively related with stock returns at Karachi Stock market, while it was negatively related with rest of the two markets. The money supply affected stock returns negatively, while treasury bills rate had mixed effect. The VECM analysis depicted that it takes more than four months, nine months, five months, and two months for the adjustment of disequilibrium of the previous period in case of KSE100 index, General Index, LSE25 index and ISE10 index respectively.
Details
ISBN/GTIN978-3-659-11318-5
ProduktartBook on Demand
EinbandartKartoniert, Paperback
Erscheinungsjahr2012
Erscheinungsdatum08.05.2012
AuflageAufl.
Seiten124 Seiten
SpracheEnglisch
Artikel-Nr.17993821
Rubriken
GenreWirtschaft

Autor

Nadeem Sohail currently working in O.P. Jindal Global University, India, earned his B.Sc and M.L.I.Sc degree from Aligarh Muslim University, India. He has presented several papers in various conferences. So far his 10 scholarly papers have been published. Areas of interest are Content Management, Institutional Repository, Knowledge Management, DRM.