Macroeconomic Determinants of Stock Price Variations: An Economic Analysis of Kse-100 Index

Authors

  • Altaf Hussain The Islamia University of Bahawalpur, Pakistan Bahawalnagar Campus.
  • Musrat Rafique The Islamia University of Bahawalpur, Pakistan Bahawalnagar Campus.
  • Ambar Khalil The Islamia University of Bahawalpur, Pakistan Bahawalnagar Campus.
  • Maryam Nawaz National College of Business Administration & Economics, Lahore, Multan Campus.

DOI:

https://doi.org/10.52131/pjhss.2013.0101.0003

Keywords:

Macroeconomics, Financial Markets, Stock Exchanges, Index, Cointegration, VECM, Time Series, Stationary Series

Abstract

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.

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Author Biographies

Altaf Hussain, The Islamia University of Bahawalpur, Pakistan Bahawalnagar Campus.

Lecturer, Department of Economics.

Musrat Rafique, The Islamia University of Bahawalpur, Pakistan Bahawalnagar Campus.

M. Sc. Scholar of Economics.

Ambar Khalil, The Islamia University of Bahawalpur, Pakistan Bahawalnagar Campus.

Research Scholar of Economics.

Maryam Nawaz, National College of Business Administration & Economics, Lahore, Multan Campus.

M. Phil. Scholar of Economics.

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Published

2013-06-30

How to Cite

Hussain, A., Rafique, M., Khalil, A., & Nawaz, M. (2013). Macroeconomic Determinants of Stock Price Variations: An Economic Analysis of Kse-100 Index. Pakistan Journal of Humanities and Social Sciences, 1(1), 28–46. https://doi.org/10.52131/pjhss.2013.0101.0003

Issue

Vol. 1 No. 1 (2013)

Section

Articles

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