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Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data

By Muhammad Imtiaz Subhani, Ameet Gul and Amber Osman

Abstract

This study examined monthly KSE-100 index trading volume response to announcements about Consumer price index (CPI) in the period of January 2004 to august 2009. Regression results supported the hypothesis that change in CPI has significant association with the change in KSE 100 index trading volume and regression was statistically significant and has shown that there is a negative relationship between CPI “Consumer price index” and KSE-100 index trading volume. More over the Presence of endogeneity has also been discussed via applying heckman's correction in the data.

Topics: D53 - Financial Markets, E31 - Price Level; Inflation; Deflation, F21 - International Investment; Long-Term Capital Movements, A10 - General, C80 - General, C01 - Econometrics
Year: 2010
OAI identifier: oai:mpra.ub.uni-muenchen.de:29712

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