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RELATIONSHIP OF MACROECONOMIC VARIABLES AND STOCK PRICES: An investigation into the relationship of macroeconomic variables and stock prices in Pakistan - Couverture souple

AKBAR, MUHAMMAD

 
9783639260748: RELATIONSHIP OF MACROECONOMIC VARIABLES AND STOCK PRICES: An investigation into the relationship of macroeconomic variables and stock prices in Pakistan
Couverture souple
ISBN 10 : 3639260740 ISBN 13 : 9783639260748
Editeur : VDM Verlag Dr. Müller, 2010

Synopsis

The study investigates macroeconomic variables namely consumer price index(CPI), money supply (M2), industrial production (IP), level of interest rates measured as 6 month's T-bill rate (MTB) and exchange rate (ER) as independent variables and stock prices (KSE100) as dependent variable for the estimation and testing of the multifactor model (using monthly observations from July 1996 to June 2006). The results from the multifactor model were insignificant. The bivariate version of the Johansen's cointegration test suggested the existence of cointegration only for industrial production (IP) and stock prices (KSE100) and inflation (CPI) and stock prices (KSE100). However, the multivariate version of the Johansen's cointegration test confirmed that the variables were jointly cointegrated. The results from the VECM failed to negate the EMH for the KSE except for the lagged difference value of interest rate (MTB). Further it revealed that all macroeconomic variables other than interest rate (MTB) participate in the adjustment process to reestablish equilibrium relationship. However, stock prices (KSE100) do not participate in the adjustment process.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The study investigates macroeconomic variables namely consumer price index(CPI), money supply (M2), industrial production (IP), level of interest rates measured as 6 month's T-bill rate (MTB) and exchange rate (ER) as independent variables and stock prices (KSE100) as dependent variable for the estimation and testing of the multifactor model (using monthly observations from July 1996 to June 2006). The results from the multifactor model were insignificant. The bivariate version of the Johansen's cointegration test suggested the existence of cointegration only for industrial production (IP) and stock prices (KSE100) and inflation (CPI) and stock prices (KSE100). However, the multivariate version of the Johansen's cointegration test confirmed that the variables were jointly cointegrated. The results from the VECM failed to negate the EMH for the KSE except for the lagged difference value of interest rate (MTB). Further it revealed that all macroeconomic variables other than interest rate (MTB) participate in the adjustment process to reestablish equilibrium relationship. However, stock prices (KSE100) do not participate in the adjustment process.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2010
Langue
anglais
ISBN 10 
3639260740
ISBN 13 
9783639260748
Reliure
Broché
Nombre de pages
96
Coordonnées du fabricant
non disponible
Personne responsable
non disponible