Co-integration analysis between stock prices & exchange rates: Evidence from Pakistan

  • Abstract
  • Keywords
  • References
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  • Abstract

    Objective: The objective of the study is to investigate the relationship between stock prices represent by (KSE100 index) and Exchange rates in case of Pakistani economy. Methodology: Quarterly data from 1993 to 2010 has been used for the study & co-integration technique applied to examine the relationship between KSE 100 index & Pakistani currency in terms of rupees per dollar. Findings: The results suggest that the residual from the OLS regression are non-stationary at level using critical values suggest by Davidson and MacKinnon (1993) so there is no co-integrated relationship found between stock prices & exchange rates. Conclusion: study can be concluded with the view that there is no long term relationship between stock prices & exchange rates.

  • Keywords

    Stock Prices; Exchange Rate; Co-Integration; KSE100 Index; Co-Movement.

  • References

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Article ID: 6609
DOI: 10.14419/ijaes.v4i2.6609

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