Bookcover of The Macroeconomic Variables and Stock Returns
Booktitle:

The Macroeconomic Variables and Stock Returns

Evidence from Pakistan

LAP LAMBERT Academic Publishing (2012-05-08 )

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ISBN-13:

978-3-659-11318-5

ISBN-10:
3659113182
EAN:
9783659113185
Book language:
English
Blurb/Shorttext:
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.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Nadeem Sohail, Zakir Hussain
Number of pages:
124
Published on:
2012-05-08
Stock:
Available
Category:
Economics
Price:
59.00 €
Keywords:
Stock Returns, cointegration, VECM, Macroeconomic Variables, Variance Decompositions

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