Long Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan
Abstract: The objective of this study is to examine the long run and short run relationship between oil prices and stock market liquidity in Pakistan stock exchange. Design/Methodology/Approach: The sample spans 10 years from 2010 to 2019. We use auto-regressive distributed lag (ARDL) to examine...
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2021
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oai:doaj.org-article:7842c95985fe4fb69862dd43c897a4362021-11-24T06:33:23ZLong Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan10.26710/sbsee.v3i3.19132708-25042708-2172https://doaj.org/article/7842c95985fe4fb69862dd43c897a4362021-09-01T00:00:00Zhttp://www.publishing.globalcsrc.org/ojs/index.php/sbsee/article/view/1913https://doaj.org/toc/2708-2504https://doaj.org/toc/2708-2172 Abstract: The objective of this study is to examine the long run and short run relationship between oil prices and stock market liquidity in Pakistan stock exchange. Design/Methodology/Approach: The sample spans 10 years from 2010 to 2019. We use auto-regressive distributed lag (ARDL) to examine long-term and short-term relationships between oil prices, exchange rate, stock market index, market volatility and inflation and stock market liquidity. We use normality checks, serial correlation tests, heteroscedasticity tests, and CUSM models to assess model stability. Findings: Result shows that there exist a long-term negative association between exchange rate and inflation, but a positive relationship is revealed between oil prices, stock returns, and market volatility. These conclusions hold for three sectors i.e. automobile, cement and sugar. Implications/Originality/Value: This study extends the existing debate on the relationship between macroeconomic variables and stock market liquidity to the emerging equity market. For this, it uses three proxies for stock market liquidity: Amihud liquidity, average trading volume, and trading volume average. Sania SarfrazMumtaz AhmadMuhammad HusnainCSRC PublishingarticleOil PricesStock MarketLiquidityExchange RateVolatilitySocial responsibility of businessHD60-60.5BusinessHF5001-6182ENSustainable Business and Society in Emerging Economies, Vol 3, Iss 3 (2021) |
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DOAJ |
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topic |
Oil Prices Stock Market Liquidity Exchange Rate Volatility Social responsibility of business HD60-60.5 Business HF5001-6182 |
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Oil Prices Stock Market Liquidity Exchange Rate Volatility Social responsibility of business HD60-60.5 Business HF5001-6182 Sania Sarfraz Mumtaz Ahmad Muhammad Husnain Long Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan |
description |
Abstract: The objective of this study is to examine the long run and short run relationship between oil prices and stock market liquidity in Pakistan stock exchange.
Design/Methodology/Approach: The sample spans 10 years from 2010 to 2019. We use auto-regressive distributed lag (ARDL) to examine long-term and short-term relationships between oil prices, exchange rate, stock market index, market volatility and inflation and stock market liquidity. We use normality checks, serial correlation tests, heteroscedasticity tests, and CUSM models to assess model stability.
Findings: Result shows that there exist a long-term negative association between exchange rate and inflation, but a positive relationship is revealed between oil prices, stock returns, and market volatility. These conclusions hold for three sectors i.e. automobile, cement and sugar.
Implications/Originality/Value: This study extends the existing debate on the relationship between macroeconomic variables and stock market liquidity to the emerging equity market. For this, it uses three proxies for stock market liquidity: Amihud liquidity, average trading volume, and trading volume average.
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format |
article |
author |
Sania Sarfraz Mumtaz Ahmad Muhammad Husnain |
author_facet |
Sania Sarfraz Mumtaz Ahmad Muhammad Husnain |
author_sort |
Sania Sarfraz |
title |
Long Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan |
title_short |
Long Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan |
title_full |
Long Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan |
title_fullStr |
Long Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan |
title_full_unstemmed |
Long Run and Short Run Co movement among Oil Prices and Stock Market Liquidity: Evidence from the Emerging Equity Market of Pakistan |
title_sort |
long run and short run co movement among oil prices and stock market liquidity: evidence from the emerging equity market of pakistan |
publisher |
CSRC Publishing |
publishDate |
2021 |
url |
https://doaj.org/article/7842c95985fe4fb69862dd43c897a436 |
work_keys_str_mv |
AT saniasarfraz longrunandshortruncomovementamongoilpricesandstockmarketliquidityevidencefromtheemergingequitymarketofpakistan AT mumtazahmad longrunandshortruncomovementamongoilpricesandstockmarketliquidityevidencefromtheemergingequitymarketofpakistan AT muhammadhusnain longrunandshortruncomovementamongoilpricesandstockmarketliquidityevidencefromtheemergingequitymarketofpakistan |
_version_ |
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