Macroeconomic Uncertainty and Stock Market Uncertainty: Some Further Evidence From Pakistan

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-06-19 DOI:10.1142/s0219091521500144

Tariq Aziz, Jahanzeb Marwat, Sheraz Mustafa

引用次数: 1

Abstract

The paper provides an updated evidence of the linkage between stock market and macroeconomic factors in Pakistan. The sample period is from January 2011 to November 2017. Macroeconomic variables used are money supply, exchange rate, treasury bill rate, inflation and industrial production. Generalized autoregressive conditional heteroscedasticity (GARCH) models have been used to examine the impact of macroeconomic factors on stock market return and stock market volatility. Findings suggest that macroeconomic factors have an impact on stock market volatility. The fluctuations in inflation and money supply negatively influence the volatility of stock market returns. In contrast, industrial production positively affects the fluctuations of stock market returns. The findings are important for shareholders, investors, regulatory authorities and policymakers.

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宏观经济不确定性与股市不确定性——来自巴基斯坦的进一步证据

本文提供了巴基斯坦股市和宏观经济因素之间联系的最新证据。样本期为2011年1月至2017年11月。使用的宏观经济变量包括货币供应量、汇率、国库券利率、通货膨胀和工业生产。广义自回归条件异方差（GARCH）模型被用来检验宏观经济因素对股市回报和股市波动的影响。研究结果表明，宏观经济因素对股票市场的波动性有影响。通货膨胀和货币供应的波动对股票市场收益的波动产生了负面影响。相比之下，工业生产对股票市场收益的波动有积极影响。这些发现对股东、投资者、监管机构和决策者都很重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.