This paper tests the interconnected form of PPP and UIP while allowing the random component of exchange rate in the specification. We find a significant long-run association among exchange rates, price and interest rate differentials. Besides the PPP and UIP conditions, the previous period...

This paper tests the weak form efficiency hypothesis in the Pakistani equity market. Using daily closing prices of 36 stocks, 8 sector indices, and the market index from January 1, 1989 to December 30, 1993 and applying Serial correlation and Runs analysis, the paper does not find the market to...

This study re-examines the causal relations between money and the two variables, i.e., income and prices. Using annual data from 1959/60 to 2003/04, examining the stochastic properties of the variables used in the analysis, and taking care of the shifts in the series due to the start of the...

This study extends the analysis of casuality by Husain and Rashid by taking care of the shift in the variables due to the price hikes in the early 1970s. We investigate the casual relations between real money and real income, between nominal money and nominal income, and between nominal money...

This study attempts to conduct an investigation of the characteristics of the South Asian stock markets including the effects of the opening of these markets. These markets were liberalised in early 1990s as a part of the economic reforms started in the South Asian region about two decades ago....

This paper investigates the day of the week effect in the Pakistani equity market. Using daily data on eight sector indices as well as the general market index from January 1989 to December 1993, the analysis did not find, in general, significant differences in stock returns across trading days...

This paper attempts to explore the nature of the goods in a Two Commodity world. The analysis suggests that the only possibility that the two goods have same income elasticity is the case when both goods have unit income elasticities. Moreover, if both the goods have equal income elasticities,...

This paper examines the validity of the Random Walk Model in the Pakistani equity market. The model, extensively tested in other equity markets, implies that past movements in a stock price are not helpful in predicting future prices of that stock. The model states that changes in stock prices...

This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies, 8 sector indices, and the general market index, the AutoRegressive Conditional Heteroscedasticity (ARCH) class of models was applied. The analyses suggest that one of the...

This paper re-examines the causal relationship between stock prices and the variables representing the real sector of the Pakistani economy.Using annual data from 1959/60 to 2004/05, examining the stochastic properties of the variables used in the analysis, and taking care of the shifts in the...