This study attempts to examine the causal relationship between money supply and stock prices in Pakistan economy using monthly data from June 1991 to June 1999 and applying Co-integration and Error Correction Models. The Co-integration analysis suggests that, in general, there exist a long run...

This paper re-examines the causal relationship between stock prices and macro variables like consumption expenditure, investment spending, and economic activity (measured by GDP) in Pakistan. Using annual data from 1959-60 to 1998-99 and applying cointegration and error correction analysis, the...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

This paper reconsiders the A versus K debate, namely, which factor is the leading contributor to economic growth? productivity gains (A) or factor accumulation (K). The growth accounting analysis is conducted for ten Middle Eastern and North African (MENA) countries over the period 1960-1998....

This study examines the impact of macroeconomic variables on stock prices. We use the Databank stock index to represent the stock market and (a) inward foreign direct investments, (b) the treasury bill rate (as a measure of interest rates), (c) the consumer price index (as a measure of...

The aim of this paper is twofold. First it aims to compare several GARCH family models in order to model and forecast the conditional variance of German, Swiss, and UK stock market indexes. The main result is that all GARCH family models show evidence of asymmetric effects. Based on the “out...

There is a growing literature on how macroeconomic variables can have effects on equity returns in both developed and emerging stock markets. We test for the long run relationship between some key macroeconomic indicators and equity returns in Jordan. Using both GETS methodology and the ARDL...

We empirically investigate the existence of periodically collapsing bubbles in seven Middle East and North African (MENA) financial markets for the period ending in May 2009. We use the Taylor and Peel (1998) residual augmented least square Dickey and Fuller test (RALS DF) to detect the bubbles....

This paper investigates relationship between FDI and current account (CA) in Pakistan using the Johansen-Juselius cointegration technique and the Granger causality test. The study results indicate that FDI and CA are cointegrated and thus exhibit a reliable long run relationship. The Granger...