References
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- Aggarwal, R. (1981). Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates. Akron Business and Economic Review, 7-12.
- Bahmani-Oskooee, M. (1992). A time-series approach to test the productivity bias hypothesis in purchasing power parity. Kyklos, 45(2), 227-236.
- Boyer, M. M., & Filion, D. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy economics, 29(3), 428-453.
- Chughtai, M. W., Malik, M. W., & Aftab, R. (2015). Impact of Major Economic Variables on Economic Growth of Pakistan. Acta Universitatis Danubius: Oeconomica, 11(2).
- Cohn, R. A., & Lessard, D. R. (1980). The Effect of Inflation on Stock Prices: Internat. Evidence
- Doong, S.-C., Yang, S.-Y., & Wang, A. T. (2005). The dynamic relationship and pricing of stocks and exchange rates: Empirical evidence from Asian emerging markets. Journal of American Academy of Business, 7(1), 118-123.
- Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
- Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of financial economics, 5(2), 115-146.
- Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
- Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic dynamics and control, 12(2-3), 231-254.
- Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: journal of the Econometric Society, 1551-1580.
- Johansen, S. (1995). Identifying restrictions of linear equations with applications to simultaneous equations and cointegration. Journal of econometrics, 69(1), 111-132.
- Johansen, S., Mosconi, R., & Nielsen, B. (2000). Cointegration analysis in the presence of structural breaks in the deterministic trend. The Econometrics Journal, 3(2), 216-249
- Kabir, M. H., Sharma, D., Islam, A., & Salat, A. (2011). Big 4 auditor affiliation and accruals quality in Bangladesh. Managerial Auditing Journal.
- Kazi, M. H. (2008). Systematic risk factors for Australian stock market returns: a cointegration analysis. Australasian Accounting, Business and Finance Journal, 2(4), 6
- Lintner, J. (1973). Inflation and common stock prices in a cyclical context. Annual Report. National Bureau of Economic Research. New York: Author, 23-36.
- Lobo, B. J. (2000). Asymmetric effects of interest rate changes on stock prices. Financial Review, 35(3), 125-144.
- Menike, L. (2006). The effect of macroeconomic variables on stock prices in emerging Sri Lankan stock market. Sabaragamuwa university journal, 6(1), 50-67.
- Momani, G. F., & Alsharari, M. A. (2012). Impact of economic factors on the stock prices at Amman stock market (1992-2010). International Journal of Economics and Finance, 4(1), 151-159.
- Obben, J., Pech, A., & Shakur, S. (2006). Analysis of the relationship between the share market performance and exchange rates in New Zealand: A cointegrating VAR approach. New Zealand Economic Papers, 40(2), 147-180.
- Osisanwo, B. G., & Atanda, A. A. (2012). Determinants of stock market returns in Nigeria: a time series analysis. African Journal of Scientific Research, 9(1).
- Ratanapakorn, O., & Sharma, S. C. (2007). Dynamic analysis between the US stock returns and the macroeconomic variables. Applied Financial Economics, 17(5), 369-377.
- Ryan, S. K., & Worthington, A. C. (2004). Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach. International Journal of Applied Business and Economic Research, 2(2), 81-103.
- Saleem, F., Zafar, L., & Rafique, B. (2013). Long run relationship between inflation and stock return: evidence from Pakistan. Academic Research International, 4(2), 407.
- Smith, C. E. (1992). Equities and the UK exchange rate. Applied economics, 24(3), 327-335
- Solnik, B. (1987). Using financial prices to test exchange rate models: A note. The journal of Finance, 42(1), 141-149.
- Soenen, L. A., & Hennigar, E. S. (1988). An analysis of exchange-rates and stock-prices-the unitedstates experience between 1980 and 1986. Akron Business and Economic Review, 19(4), 7- 16.
- Talla, J. T. (2013). Impact of macroeconomic variables on the stock market prices of the Stockholm stock exchange (OMXS30). Jonkoping International Business School.
- Zhang, D. (2017). Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. Energy economics, 62, 323-333.
- Zohaib Khan, Sangeen Khan, Lala Rukh, Imdadullah and Wajeeh ur Rehman. (2012). Impact of Interest Rate, Exchange Rate and Inflation on Stock Returns of KSE 100 Index. Int. J. Eco. Res., 2012v3i5, 142-155.
- Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25-35.
- Aggarwal, R. (1981). Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates. Akron Business and Economic Review, 7-12.
- Bahmani-Oskooee, M. (1992). A time-series approach to test the productivity bias hypothesis in purchasing power parity. Kyklos, 45(2), 227-236.
- Boyer, M. M., & Filion, D. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy economics, 29(3), 428-453.
- Chughtai, M. W., Malik, M. W., & Aftab, R. (2015). Impact of Major Economic Variables on Economic Growth of Pakistan. Acta Universitatis Danubius: Oeconomica, 11(2).
- Cohn, R. A., & Lessard, D. R. (1980). The Effect of Inflation on Stock Prices: Internat. Evidence
- Doong, S.-C., Yang, S.-Y., & Wang, A. T. (2005). The dynamic relationship and pricing of stocks and exchange rates: Empirical evidence from Asian emerging markets. Journal of American Academy of Business, 7(1), 118-123.
- Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
- Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of financial economics, 5(2), 115-146.
- Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
- Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic dynamics and control, 12(2-3), 231-254.
- Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: journal of the Econometric Society, 1551-1580.
- Johansen, S. (1995). Identifying restrictions of linear equations with applications to simultaneous equations and cointegration. Journal of econometrics, 69(1), 111-132.
- Johansen, S., Mosconi, R., & Nielsen, B. (2000). Cointegration analysis in the presence of structural breaks in the deterministic trend. The Econometrics Journal, 3(2), 216-249
- Kabir, M. H., Sharma, D., Islam, A., & Salat, A. (2011). Big 4 auditor affiliation and accruals quality in Bangladesh. Managerial Auditing Journal.
- Kazi, M. H. (2008). Systematic risk factors for Australian stock market returns: a cointegration analysis. Australasian Accounting, Business and Finance Journal, 2(4), 6
- Lintner, J. (1973). Inflation and common stock prices in a cyclical context. Annual Report. National Bureau of Economic Research. New York: Author, 23-36.
- Lobo, B. J. (2000). Asymmetric effects of interest rate changes on stock prices. Financial Review, 35(3), 125-144.
- Menike, L. (2006). The effect of macroeconomic variables on stock prices in emerging Sri Lankan stock market. Sabaragamuwa university journal, 6(1), 50-67.
- Momani, G. F., & Alsharari, M. A. (2012). Impact of economic factors on the stock prices at Amman stock market (1992-2010). International Journal of Economics and Finance, 4(1), 151-159.
- Obben, J., Pech, A., & Shakur, S. (2006). Analysis of the relationship between the share market performance and exchange rates in New Zealand: A cointegrating VAR approach. New Zealand Economic Papers, 40(2), 147-180.
- Osisanwo, B. G., & Atanda, A. A. (2012). Determinants of stock market returns in Nigeria: a time series analysis. African Journal of Scientific Research, 9(1).
- Ratanapakorn, O., & Sharma, S. C. (2007). Dynamic analysis between the US stock returns and the macroeconomic variables. Applied Financial Economics, 17(5), 369-377.
- Ryan, S. K., & Worthington, A. C. (2004). Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach. International Journal of Applied Business and Economic Research, 2(2), 81-103.
- Saleem, F., Zafar, L., & Rafique, B. (2013). Long run relationship between inflation and stock return: evidence from Pakistan. Academic Research International, 4(2), 407.
- Smith, C. E. (1992). Equities and the UK exchange rate. Applied economics, 24(3), 327-335
- Solnik, B. (1987). Using financial prices to test exchange rate models: A note. The journal of Finance, 42(1), 141-149.
- Soenen, L. A., & Hennigar, E. S. (1988). An analysis of exchange-rates and stock-prices-the unitedstates experience between 1980 and 1986. Akron Business and Economic Review, 19(4), 7- 16.
- Talla, J. T. (2013). Impact of macroeconomic variables on the stock market prices of the Stockholm stock exchange (OMXS30). Jonkoping International Business School.
- Zhang, D. (2017). Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. Energy economics, 62, 323-333.
- Zohaib Khan, Sangeen Khan, Lala Rukh, Imdadullah and Wajeeh ur Rehman. (2012). Impact of Interest Rate, Exchange Rate and Inflation on Stock Returns of KSE 100 Index. Int. J. Eco. Res., 2012v3i5, 142-155.
Cite this article
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APA : Shah, R. U., Saleem, K., & Malik, F. (2020). Short Run and Long Run Association of Macro-Economic Indicators with Stock Market: Evidence from Pakistan Stock Market. Global Social Sciences Review, V(I), 36-43. https://doi.org/10.31703/gssr.2020(V-I).04
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CHICAGO : Shah, Raza Ullah, Kashif Saleem, and Faizan Malik. 2020. "Short Run and Long Run Association of Macro-Economic Indicators with Stock Market: Evidence from Pakistan Stock Market." Global Social Sciences Review, V (I): 36-43 doi: 10.31703/gssr.2020(V-I).04
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HARVARD : SHAH, R. U., SALEEM, K. & MALIK, F. 2020. Short Run and Long Run Association of Macro-Economic Indicators with Stock Market: Evidence from Pakistan Stock Market. Global Social Sciences Review, V, 36-43.
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MHRA : Shah, Raza Ullah, Kashif Saleem, and Faizan Malik. 2020. "Short Run and Long Run Association of Macro-Economic Indicators with Stock Market: Evidence from Pakistan Stock Market." Global Social Sciences Review, V: 36-43
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MLA : Shah, Raza Ullah, Kashif Saleem, and Faizan Malik. "Short Run and Long Run Association of Macro-Economic Indicators with Stock Market: Evidence from Pakistan Stock Market." Global Social Sciences Review, V.I (2020): 36-43 Print.
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OXFORD : Shah, Raza Ullah, Saleem, Kashif, and Malik, Faizan (2020), "Short Run and Long Run Association of Macro-Economic Indicators with Stock Market: Evidence from Pakistan Stock Market", Global Social Sciences Review, V (I), 36-43
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TURABIAN : Shah, Raza Ullah, Kashif Saleem, and Faizan Malik. "Short Run and Long Run Association of Macro-Economic Indicators with Stock Market: Evidence from Pakistan Stock Market." Global Social Sciences Review V, no. I (2020): 36-43. https://doi.org/10.31703/gssr.2020(V-I).04