The Cointegration between Exchange Rates and Stock Prices in Highly Volatile Markets : Evidence from Pakistan

This paper empirically tests the existence and direction of causality between stock market index (KSE) and exchange rates in the post-floating exchange rate regime and vibrant stock market performance of Pakistan. The data period ranges from January 1998 to December 2009. Results of Engle-Granger causality test and VAR test show that a bi-directional causality exists between the variables. Our results are different from earlier studies on this topic in Pakistan as those studies used data of pre-floating exchange rate regimes

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Year of publication:	2011
Authors:	Subayyal, Muhammad
Other Persons:	Shah, Attaullah (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Wechselkurs \| Exchange rate \| Pakistan \| Börsenkurs \| Share price \| Volatilität \| Volatility \| Kointegration \| Cointegration \| Schätzung \| Estimation \| Kausalanalyse \| Causality analysis