学科分类
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1 个结果
  • 简介:Thispaperexaminestherelationshipbetweenstockmarket(KSE-100),moneymarket(M2and180daysT-billrate),andforeignexchangemarket(ER:PKR/USD)inPakistanbyusingmonthlydatacoveringtheperiodfrom2000:M1to2015:M12.Thestudyinvestigateslong-runequilibriumrelationshipbetweenthesethreefinancialmarketsbyemployingJohansenandJuselius[1]cointegrationtests.Long-runandshort-runcausalityrelationshipbetweenstockmarketandothermacroeconomicvariablesisalsoestablishedbyemployingvectorerrorcorrectionmodel(VECM)andpairwisegrangercausalitytests.Theresultsofmultivariatecointegrationtest(tracetest)indicateaonecointegratingvector,andthesignificantnormalizedcointegratingcoefficientsareevidentoflongrunequilibriumrelationshipbetweenalltheselectedvariables.NegativeandsignificantECT(-1)forallvariablesduringfullsampleperiodwitnessthepresenceoflong-runcausalityconnectionamongvariables,whileduringthemilitaryregimeanddemocraticregime,significantdifferenceoflong-runcausalconnectionsareidentifiedacrosstheregimes.Moreover,theresultsofgrangercausalitytestalsoindicatethattherearesignificantvariationsinthecausalityrelationshipamongvariablesacrosstheregimes.Therefore,itisessentialforforecasting,planningandpolicymakingtoconsidertheimportanceofpoliticalgovernancesystemwhileanalyzingthehistoricalcointegrationamongfinancialmarketandmakethenecessaryadjustmentsaccordingly.

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