![Sample our Global Development journals, sign in here to start your access, latest two full volumes FREE to you for 14 days]({"type":"image" , "src" : "/sda/5929/TOC-Subject-Sample-2021-Global-Development.jpg"})
Abstract
This research is an attempt to framework the applied strides to evaluate the long run relationship among commonly used inflation proxies induces such as, wholesale price index (WPI) and consumer price index (CPI), and crude oil price (COP) with KSE100 index returns. In this research we used monthly data for the time period from July 1995 to June 2016, and thus, in this way total 252 observations have been considered. Time series have been made stationary by applying ADF and PP tests at first difference. Johansen multivariate conintegration approach was used to test the long-term association amongst the considered macroeconomic variables. The results indicated that CPI and COP significantly affect KSE100 index returns that indicated CPI along with COP have foreseen power to impact KSE100 index. In contrary, the results of WPI and COP do not have long run relationship with KSE100 index in case of Pakistani economy. Results of variance decomposition exhibited that the index of LKSE100 was realistically rarer exogenous in connection to distinctive factors, as around 92.31% of its variation was explained due to its own specific shocks. It is concluded that CPI and COP can impact the KSE100 index returns. It is confirmed by the results of impulse response function that there is a positive and long run relationship between KSE100 returns and consumer price index (proxy of inflation) and international crude oil prices.
Additional information
Notes on contributors
Rizwan Raheem Ahmed
Rizwan RAHEEM AHMED is a Professor at the faculty of management Sciences, Indus University, Karachi (Pakistan); He obtained his PhD from Hamdard University, and MS/M.Phil. (Economics) from SZABIST University, Karachi. He is also an independent consultant for the Pharmaceutical Industry for last several years. During his thorough research career of more than 12 years, he mainly focused on marketing strategy, digital marketing, organizational performance, and behavior of stocks, money market portfolios and Liquidity market problems by using Time Series analysis models, Multivariate Regression, CFA and EFA models. Besides, he also made a significant research in current issues related to Sales & Marketing of local and global Pharmaceutical Industry; he used quantitative & qualitative models for this purpose.
Jolita Vveinhardt
Jolita VVEINHARDT is Professor, PhD, Chief Researcher, Lithuanian Sports University, Institute of Sport Science and Innovations, and holds PhD from Vytautas Magnus University in Lithuania. Dr Jolita Vveinhardt has published over 100 peer-reviewed papers on human resource management, corporate social responsibility, mobbing and other issues.
Dalia Štreimikienė
Dalia ŠTREIMIKIENĖ is a Principal Research Fellow at Lithuanian Sports University, Institute of Sport Science and Innovations, and holds PhD from Vilnius Gediminas Technical University, Lithuania. Prof. Dr Dalia Štreimikienė has published over 200 peer-reviewed papers on multi-criteria decision making, efficiency analysis, and energy and agricultural economics in such outlets as Applied Energy, Energy Policy, Renewable and Sustainable Energy Reviews.
Saghir Pervaiz Ghauri
Saghir Pervaiz GHAURI is a visiting Professor and Research Scholar at Faculty of Management Sciences, Indus University (Pakistan); He obtained his PhD in Economics from Pakistan Institute of Development Economics, Islamabad. He is also Research Director in State Bank of Pakistan. His areas of research expertise are macroeconomic indicators, study of stock prices and its behavior, comparison of financial security markets by using Econometrics techniques including Time Series analysis models, Multivariate Regression models, and other Econometrics models. He has more than 20 peer-reviewed publications in national and international reputed journals.
Nawaz Ahmad
Nawaz AHMAD is Assistant Professor, at the faculty of management Sciences, Institute of Business Management, Karachi, (Pakistan); He obtained his MS/M.Phil. (Economics) from SZABIST University, Karachi. He is also an independent researcher and Editor of a Journal for last 15 years. During his broad research career of more than 15 years, he mainly focused on macro & microeconomics related issues of Pakistani economy, his research expertise area are macroeconomic indicators, study of stock prices and its behavior, comparison of financial security markets by using Time Series analysis models, Multivariate Regression models, and other Econometrics models. Besides, he also made a significant contribution of research for private sector employees’ and Organizational related issues; he used quantitative models for these studies.