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Causal relationship between macroeconomic variables and stock prices In Pakistan

Saleem, Faiza and Alifiah, Mohd. Norfian (2017) Causal relationship between macroeconomic variables and stock prices In Pakistan. Jurnal Kemanusiaan, 26 (1). pp. 1-9. ISSN 1675-1930

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Abstract

The intention of this research is to provide empirical evidence regarding causality among interest rate, inflation rate and exchange rate with stock prices in Pakistan for the period from 1990 to 2015. The findings from cointegration test indicated that there was a negative relationship of interest rate, inflation rate and exchange rate with stock prices. Granger causality test result shows unidirectional causality running from interest rate to stock prices and no causality was observed for inflation rate and exchange rate. The overall evidence proposed that equity market of Pakistan does not incorporate substantial information of interest rate, inflation rate and exchange rate in its stock prices and do not reflect the macroeconomic condition of the country.

Item Type:Article
Uncontrolled Keywords:Interest rate, inflation rate, exchange rate, stock prices, Pakistan
Subjects:H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:Management
ID Code:80283
Deposited By: Fazli Masari
Deposited On:25 Apr 2019 09:24
Last Modified:25 Apr 2019 09:24

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