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

  • Authors

    • Asim Rafiq Karachi university
    • Shabib Hasan Karachi university
    2016-09-29
    https://doi.org/10.14419/ijaes.v4i2.6609
  • Stock Prices, Exchange Rate, Co-Integration, KSE100 Index, Co-Movement.

  • 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.

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    Rafiq, A., & Hasan, S. (2016). Co-integration analysis between stock prices & exchange rates: Evidence from Pakistan. International Journal of Accounting and Economics Studies, 4(2), 148-151. https://doi.org/10.14419/ijaes.v4i2.6609