Open AccessMacroeconomic Determinants of Stock Price Variations: An Economic Analysis of Kse-100 Index
Author(s) -
Altaf Hussain,
M. Qaisar Rafique,
Ambar Khalil,
Maryam Nawaz
Publication year - 2013
Publication title -
pakistan journal of humanities and social sciences
Language(s) - English
Resource type - Journals
eISSN - 2709-801X
pISSN - 2415-007X
DOI - 10.52131/pjhss.2013.0101.0003
Subject(s) - economics , money supply , gross domestic product , stock (firearms) , interest rate , monetary economics , price index , econometrics , index (typography) , foreign direct investment , stock market index , wholesale price index , stock market , macroeconomics , price level , mid price , mechanical engineering , paleontology , horse , biology , world wide web , computer science , engineering
The main objective of this study is to assess the macroeconomic determinants of stock price variability in Pakistan. The quarterly data on macroeconomic variables (Gross Domestic Product, Foreign Direct Investment, Interest Rates, Exports, Money Supply and Unemployment Rate) and KSE-100 Index as proxy of stock price variation for the period of 1992:01 to 2012:04 is taken for the empirical investigation. Johansen co-integration test and VECM is used for this purpose. The analysis of this study specifies that the foreign direct investment, interest rates, export and unemployment rate have significant and negative impact on KSE-100 index, while money supply has found to be a significant and positive determinant of stock prices. On the other hand gross domestic product have a positive but insignificant impact on stock prices in Pakistan.