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首页> 外文期刊>International Journal of Econometrics and Financial Management >Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience
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Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience

机译：宏观经济变量对股票市场波动的影响：巴基斯坦的经验

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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 the inflation rate have a positive impact on stock market volatility in the long-run. Furthermore, the ECM analysis pointed out that an estimated coefficient of the error correction term was significant with expected negative sign and showed that 46.53% deviation of the stock market index are corrected in the short-run per year. The study recommended that the monetary authorities should further reduce the bank rate up to the lowest rate in order to stimulate the stock market performance, which in turn; will boost the existing investment level and will encourage the new investment into the stock market. In addition, this policy will also ensure in the reduction of higher inflation rates. And the study found that the reduction in bank rate and stabilization in exchange rate is essential to local and foreign investors in the short-run.
机译：本研究论文通过使用涵盖1991-2017年期间的年度时间序列数据，以实证方法研究了利率，汇率和通货膨胀率对巴基斯坦股市表现的影响。这项研究的主要目的是通过使用自回归分布滞后（ARDL）边界检验程序对协整和误差校正模型（ ECM）。通过使用ARDL模型，实证结果表明，利率对市场指数产生了负面而显着的影响。从长远来看，汇率和通货膨胀率对股市波动具有积极影响。此外，ECM分析指出，误差校正项的估计系数显着，带有预期的负号，并表明短期内每年校正股市指数的46.53％偏差。研究建议，货币当局应进一步将银行利率降低到最低利率，以刺激股票市场的表现。将提高现有投资水平，并鼓励新的投资进入股市。此外，该政策还将确保降低较高的通货膨胀率。研究发现，短期而言，降低银行利率和稳定汇率对本地和外国投资者至关重要。

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