Конференция, 2017, Кръговата икономика
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Item EXCHANGE RATE, INTEREST RATE AND STOCK MARKET: EVIDENCE FROM PAKISTAN STOCK EXCHANGE(Бургаски Свободен Университет, 2017) Quayyoum, Sobia; Simonetti, Biagio; Husnain, MuhammadThe study analyzes the impact of change in exchange rate and interest rate on the volatility of stock market in Pakistan from January 2000 to December 2015 on weekly basis. The result clearly indicates the existence of ARCH and GRACH effect, and further, change in exchange rate is a source that can enhance the volatility of equity markets in Pakistan. While the effect of interest rate is observed reverse as compare to exchange rate. It has calm effect on the volatility of dependent variables. Finally, study has implication for investor, managers and policy makers in Pakistani equity market.