RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE
RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE
Author(s): Waseem AslamSubject(s): Economy
Published by: Editura Tehnopress
Keywords: KSE 100 (Karachi Stock Market Index 100); Exchange Rate; Normality Test; Unit Root Test; Correlation; Granger Causality Test;
Summary/Abstract: This paper guides us about the impact of Exchange rate Pakistan rupee in terms of US Dollar and KSE 100 index. We take the data of period comprises from January 01, 2006 to December 31, 2012 excluding year 2013due to general elections of Pakistan, which held in May 2013 after which stock market took a boom. We applied different statistical tools to analyze the obtained data. We also analyze the causal relationship between both the time series. First of all we carry out normality test and found that both PKR-USD exchange rate and KSE 100 index are non-normally distributed. We conclude through unit root test that both series are stationary at the level form. Furthermore we found negative correlation in between KSE100 indices and USD-PKR exchange rate though very weak relationship exists. Furthermore we check for causal relationship between two time series through Granger Causal Test and found that bidirectional relationship exists between KSE 100 indices and Exchange Rate.
Journal: Journal of Public Administration, Finance and Law
- Issue Year: 2014
- Issue No: 05
- Page Range: 62-72
- Page Count: 11
- Language: English