Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience

Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience

Waqar Khalid

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Saifullah Khan

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Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience

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Abstract

This research paper empirically investigates the effects of interest rates, exchange rates and inflation rates on stock market performance of Pakistan by using annual time series data covering the 1991-2017 periods. The prime intention of this research was to inspect the long-run and short-run relationships between the KSE-100 index and macroeconomic variables by employing the econometric techniques of autoregressive distributed lag (ARDL) bounds testing procedure to cointegration and the Error Correction Model (ECM), respectively. By applying the ARDL model, the empirical results revealed the fact that there was a negative and significant impact of interest rate on the market index, whereas; the exchange rate and inflation rate have a positive impact on stock market volatility in the long-run.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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How to Cite This Article

Waqar Khalid. 2017. \u201cEffects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 17 (GJMBR Volume 17 Issue B4).

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GJMBR Volume 17 Issue B4

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-B Classification FOR Code: B22

Submission ReceivedDecember 11, 2016
Peer Review Double Blind
Handling Editor
Accepted December 31, 2016
Published January 15, 2017

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Issue date

September 23, 2017

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Article Matrices

Total Score: 102

Country: Pakistan

Subject: Global Journal of Management and Business Research - B: Economic & Commerce

Authors: Waqar Khalid, Saifullah Khan (PhD/Dr. count: 0)

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Publish Date: 2017 09, Sat

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Total Views: 3560

Total Downloads: 1574

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