Abstract: The research paper aims to investigate the significant macro-economic factors affecting the stock Prices of KSE-100 Index. Time series Data for Stock Prices on monthly basis for the period ranging January, 2005 to March, 2014 has been taken from KSE-100 Index. The study used time series data analysis. Sample comprises of 30 companies from KSE-100 Index for analysis. Macro-economic variables selected in the study are Inflation (CPI), Producer Price Index (PPI), Gold price, Silver price, Exports and Imports. Augmented Dickey Fuller test has been used to check stationarity of data, Johansen’s Cointegration test and Ganger’s causality tests has been used to measure the causal relationship between stock prices and selected macro-economic variables. The results suggested that stock prices are cointegrated with macro-economic variables in long term. Furthermore, macro-economic variables Inflation, PPI, Gold price and Exports have long term causal relationship with stock prices in Pakistan.
Keywords: Stock prices, PPI, Gold price, causal relationship, Silver price.
Title: Causal Relationship between Macroeconomic Factors and Stock Prices in Pakistan
Author: Muhammad Ahmad Shahid, Fareena Farheen Kamran
International Journal of Management and Commerce Innovations
ISSN 2348-7585 (Online)
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