Irfan Ahmed, PhD

Abstact The objective of this study is to examine the stock returns variation to specific economic variables by applying a multi-factor model. The firms relating to banking and textile sectors were selected for this study on the basis of data availability, profitability and performance on the Karachi Stock Exchange. The data for the selected firms and economic variables obtained for the period of 10 years. GARCH model used to analyze risk and returns relationship. The tests applied on the stock returns of each firm and on the data set of the entire industry to generalize the results. The results disclose that market return is mainly accounts variation in stock returns, however the inclusion of other macroeconomic and industry related variables has added additional explanatory power in describing the stock returns variation. It is found that economic exposure is higher at industry level than firm level stock returns. Results also indicate tha...

Stock market plays an important role in the economic development of a country. A number of studies have been investigated on the causal relationship between macro-economic indicators and stock exchange prices. But in the context of Pakistan, not many studies can be traced in literature, moreover this study has used the set of macro-economic indicators which has not been previously used by researchers in Pakistan. It has examined the causal relationship between macro-economic indicators and stock market prices in Pakistan. The data from June 1990 to December 2008 have been used to analyze the causal relationship between various macro-economic variables and stock exchange prices. The set of macro-economic indicators includes; inflation, exchange rate, balances of trade and index of industrial production, whereas the stock exchange prices have been represented by the general price index of the Karachi Stock Exchange, which is the largest stock exchange in Pakistan. The statistical techniq...