Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2017.1340176
Multivariate Granger causality between macro variables and KSE 100 index: evidence from Johansen cointegration and Toda & Yamamoto causality
Rizwan Raheem Ahmed
; Faculty of Management Sciences, Indus University, Karachi, Pakistan
Jolita Vveinhardt
; Institute of Sport Science and Innovations, Lithuanian Sports University, Kaunas, Lithuania
Dalia Streimikiene
orcid.org/0000-0002-3247-9912
; Institute of Sport Science and Innovations, Lithuanian Sports University, Kaunas, Lithuania
Majid Fayyaz
; Faculty of Management Sciences, Indus University, Karachi, Pakistan
Sažetak
The pursue of this article is to scrutinise the long-haul relationship
between stock returns of the KSE 100 index and monetary indicators
such as rate of exchange, inflation, and interest rates. Month-to-month
data from the KSE 100 index and monetary variables were extracted for
the period January 1992 to November 2015. We transformed the data
series into a stationary form by employing the augmented Dickey–
Fuller method. The Johansen cointegration approach reinforces the
long-haul association between equity prices and monetary indicators,
for instance the rate of exchange, inflation, and interest rates. Results
of the Granger and Toda and Yamamoto causalities demonstrate the
unidirectional causal relationship between interest rate and KSE 100
index; the one-way causation existed from interest rate to equity
returns for the KSE100 index. The analysis of the impulse response
function concludes that the changes in the KSE 100 index happened
due to its own shocks. However, changes in exchange and inflation
rates were experienced because of the interest rate. The outcome of
variance decomposition demonstrated that most of the changes in
the KSE 100 index are because of its own shocks. Thus, it is concluded
that the predictability of the equity prices for the KSE 100 heavily
relied on exchange rate, inflation, and interest rate variations.
Ključne riječi
KSE 100 index; macroeconomic variables; variance decomposition; Granger causality; Johansen cointegration; Toda and Yamamoto causality
Hrčak ID:
193196
URI
Datum izdavanja:
1.12.2017.
Posjeta: 1.052 *