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IMPACT OF MACROECONOMIC VARIABLES ON STOCK MARKETS EVIDENCE FROM FRONTIER MARKETS LIKE PAKISTAN STOCK EXCHANGE PSX

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35 Pages : 595-610

http://dx.doi.org/10.31703/gssr.2018(III-III).35      10.31703/gssr.2018(III-III).35      Published : Sep 2018

Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX)

Abstract

    The macroeconomic version of the APT is of great significance in examining the return on assets. It analyzes the estimated security return with reference to various macroeconomic variables. Despite availability of research studies related to the developed and emerging stock markets of the world, still a research gap exists for exploring the frontier markets like equity market of Pakistan. The study examines the long and short term impact of macroeconomic variables on the KSE 100 index for the period of July 1996 - June 2015. Cointegration technique and VECM models have been applied. Among these variables, GDP, inflation, exchange rate, unemployment rate, labor force cost and stock market of US were found significant for explanation of effects on return of stock market of Pakistan. The study findings have potential implications for both policymakers and investors pertaining to macroeconomic factors and stock market volatility.

    Macroeconomic factors, Arbitrage pricing theory, Stock Returns, KSE 100 index, Exchange, ADF, Cointegration technique, Vector Error Correction Model, CPI

    (1) Muhammad Nadeem Iqbal
    PhD Scholar, Department of Leadership and Management Studies, National Defence University, Islamabad, Pakistan
    (2) Muhammad Zia ur Rehman
    Assistant Professor, Department of Leadership and Management Studies, National Defence University, Islamabad, Pakistan.
    (3) Kashif Saleem
    Assistant Professor, Qurtuba University, Department of Science and Information Technology, D. I Khan, KP, Pakistan.
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Cite this article

APA

    APA : Iqbal, M. N., Rehman, M. Z. u., & Saleem, K. (2018). Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX). Global Social Sciences Review, III(III), 595-610. https://doi.org/10.31703/gssr.2018(III-III).35

CHICAGO

    CHICAGO : Iqbal, Muhammad Nadeem, Muhammad Zia ur Rehman, and Kashif Saleem. 2018. "Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX)." Global Social Sciences Review, III (III): 595-610 doi: 10.31703/gssr.2018(III-III).35

HARVARD

    HARVARD : IQBAL, M. N., REHMAN, M. Z. U. & SALEEM, K. 2018. Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX). Global Social Sciences Review, III, 595-610.

MHRA

    MHRA : Iqbal, Muhammad Nadeem, Muhammad Zia ur Rehman, and Kashif Saleem. 2018. "Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX)." Global Social Sciences Review, III: 595-610

MLA

    MLA : Iqbal, Muhammad Nadeem, Muhammad Zia ur Rehman, and Kashif Saleem. "Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX)." Global Social Sciences Review, III.III (2018): 595-610 Print.

OXFORD

    OXFORD : Iqbal, Muhammad Nadeem, Rehman, Muhammad Zia ur, and Saleem, Kashif (2018), "Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX)", Global Social Sciences Review, III (III), 595-610

TURABIAN

    TURABIAN : Iqbal, Muhammad Nadeem, Muhammad Zia ur Rehman, and Kashif Saleem. "Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX)." Global Social Sciences Review III, no. III (2018): 595-610. https://doi.org/10.31703/gssr.2018(III-III).35