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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Autores principales: Sania Sarfraz, Mumtaz Ahmad, Muhammad Husnain
Formato: article
Lenguaje:EN
Publicado: CSRC Publishing 2021
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spelling 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)
institution DOAJ
collection DOAJ
language EN
topic Oil Prices
Stock Market
Liquidity
Exchange Rate
Volatility
Social responsibility of business
HD60-60.5
Business
HF5001-6182
spellingShingle 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.
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
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