RELATIONSHIP OF MACROECONOMIC VARIABLES AND STOCK PRICES
MUHAMMAD AKBAR
Broschiertes Buch

RELATIONSHIP OF MACROECONOMIC VARIABLES AND STOCK PRICES

An investigation into the relationship of macroeconomic variables and stock prices in Pakistan

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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...