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

Waqar Khalid

Authors

Waqar Khalid

Keywords:

stock exchange, ardl, macroeconomic variables, time series data, kse-100 index, Pakistan

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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Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience. (2017). Global Journal of Management and Business Research, 17(B4), 69-91. https://journalofbusiness.org/index.php/GJMBR/article/view/2301

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