IMPACT OF EXCHANGE RATE, OIL PRICES, AND STOCK MARKET: EVIDENCE FROM PAKISTAN STOCK EXCHANGE (TIME SERIES DATA ANALYSIS)

Authors

  • MUHAMMAD SUBHAN Management Sciences, Islamia College University Peshawar, KPK, Pakistan Author
  • MUHAMMAD TAYYAB Abdul Wali Khan University Mardan, KPK, Pakistan Author
  • FAROOQ ALI University of Peshawar, KPK, Pakistan Author
  • ATTA UR RAHMAN Bacha Khan University Charsadda, KPK, Pakistan Author
  • ASIA AHMAD Virtual University of Pakistan Author
  • TOFAIL AHMED Management Science, Islamia College University Peshawar, KPK, Pakistan Author
  • MUHAMMAD NAVEED JAMIL Institute of Business Administration, KFUEIT, Rahim Yar Khan, Pakistan Author

Keywords:

Cointegration test, VAR model, Oil Price,, US Exchange Rate, KSE 100 index

Abstract

This article analyzes the correlation between oil prices, the exchange rate, and returns on the KSE 100 index over a short period. This article takes a time series approach, looking at the exchange rate, oil prices, and KSE 100 index of the Pakistan stock market daily from the first month of 2010 through the last month of 2018. This study performed a statistical analysis by using a VAR model, a cointegration test, and the ADF test. The exchange rate of the rupee to the dollar has a negligible correlation with the KSE 100 index. In contrast, oil prices correlate highly with stock market returns and have a short-term positive influence on the index.

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Published

2023-08-30

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Articles

How to Cite

SUBHAN, M. ., TAYYAB, M. ., ALI, F. ., RAHMAN, A. U. ., AHMAD, A. ., AHMED, T. ., & JAMIL, M. N. . (2023). IMPACT OF EXCHANGE RATE, OIL PRICES, AND STOCK MARKET: EVIDENCE FROM PAKISTAN STOCK EXCHANGE (TIME SERIES DATA ANALYSIS). Bulletin of Business and Economics (BBE), 12(2), 93-103. https://bbejournal.com/index.php/BBE/article/view/452

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