Cointegration and Causality Relationship Between Stock Market,Money Market and Foreign Exchange Market in Pakistan

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	Cointegration and Causality Relationship Between Stock Market,Money Market and Foreign Exchange Market in Pakistan
其他题名	Cointegration and Causality Relationship Between Stock Market, Money Market and Foreign Exchange Market in Pakistan
	Abbas Ghulam 1; Bhowmik Roni 2; Koju Laxmi 2; Wang Shouyang 2
	2017
发表期刊	系统科学与信息学报：英文版
ISSN	1478-9906
卷号	0.0 期号:1.0 页码:1-20
摘要	This paper examines the relationship between stock market(KSE-100), money market(M2 and 180 days T-bill rate), and foreign exchange market(ER: PKR/USD) in Pakistan by using monthly data covering the period from 2000:M1 to 2015:M12. The study investigates long-run equilibrium relationship between these three financial markets by employing Johansen and Juselius1cointegration tests. Long-run and short-run causality relationship between stock market and other macroeconomic variables is also established by employing vector error correction model(VECM) and pairwise granger causality tests. The results of multivariate cointegration test(trace test) indicate a one cointegrating vector, and the significant normalized cointegrating coefficients are evident of long run equilibrium relationship between all the selected variables. Negative and significant ECT(-1) for all variables during full sample period witness the presence of long-run causality connection among variables, while during the military regime and democratic regime, significant difference of long-run causal connections are identified across the regimes. Moreover, the results of granger causality test also indicate that there are significant variations in the causality relationship among variables across the regimes. Therefore, it is essential for forecasting, planning and policy making to consider the importance of political governance system while analyzing the historical cointegration among financial market and make the necessary adjustments accordingly.
其他摘要	This paper examines the relationship between stock market (KSE-100),money market (M2 and 180 days T-bill rate), and foreign exchange market (ER: PKR/USD) in Pakistan by using monthly data covering the period from 2000:M1 to 2015:M12. The study investigates long-run equilibrium relationship between these three financial markets by employing Johansen and Juselius cointegration tests. Long-run and short-run causality relationship between stock market and other macroeconomic variables is also established by employing vector error correction model (VECM) and pairwise granger causality tests. The results of multivariate cointegration test (trace test) indicate a one cointegrating vector, and the significant normalized cointegrating coefficients are evident of long run equilibrium relationship between all the selected variables. Negative and significant ECT (-1) for all variables during full sample period witness the presence of long-run causality connection among variables, while during the military regime and democratic regime, significant difference of long-run causal connections are identified across the regimes. Moreover, the results of granger causality test also indicate that there are significant variations in the causality relationship among variables across the regimes. Therefore, it is essential for forecasting, planning and policy making to consider the importance of political governance system while analyzing the historical cointegration among financial market and make the necessary adjustments accordingly.
关键词	KSE-100 index money supply interest rate exchange rate Pakistan
收录类别	CSCD
语种	中文
CSCD记录号	CSCD:5961988
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/56926
专题	中国科学院数学与系统科学研究院
作者单位	1.中国科学院 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Abbas Ghulam,Bhowmik Roni,Koju Laxmi,et al. Cointegration and Causality Relationship Between Stock Market,Money Market and Foreign Exchange Market in Pakistan[J]. 系统科学与信息学报：英文版,2017,0.0(1.0):1-20.
APA	Abbas Ghulam,Bhowmik Roni,Koju Laxmi,&Wang Shouyang.(2017).Cointegration and Causality Relationship Between Stock Market,Money Market and Foreign Exchange Market in Pakistan.系统科学与信息学报：英文版,0.0(1.0),1-20.
MLA	Abbas Ghulam,et al."Cointegration and Causality Relationship Between Stock Market,Money Market and Foreign Exchange Market in Pakistan".系统科学与信息学报：英文版 0.0.1.0(2017):1-20.