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DYNAMIC NEXUS AMONG GOLD PRICE, EXCHANGE RATES, AND EQUITY RETURN OF PAKISTAN |
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| รหัสดีโอไอ | |
| Creator | Muhammad Nehal Hussain, Imran Riaz Malik, Muhammad Bilal, Nazakat Ali, Ali Raza |
| Title | DYNAMIC NEXUS AMONG GOLD PRICE, EXCHANGE RATES, AND EQUITY RETURN OF PAKISTAN |
| Contributor | - |
| Publisher | TuEngr.com |
| Publication Year | 2563 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 11 |
| Journal No. | 6 |
| Page no. | 11A06I: 1-10 |
| Keyword | Unit Root, Stationarity, Cointegration Granger Causality test, Stock price and exchange rate, Relationship of Stock price and gold price, Pakistan Stock Exchange (PSX). |
| URL Website | https://tuengr.com/Vol11_6.html |
| Website title | ITJEMAST V10(6) @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | This paper investigated the relationship between the gold price and the exchange rate on the equity return of Pakistan. The equity market provides an opportunity for investors to capitalize on diverse markets and expand their investment portfolio. This paper consisted of monthly Gold prices in the US dollar; monthly exchange rates of US dollar in terms of Pakistani Rupee and stock market index were taken for the period of January 2010 to December 2019. The unit root is used for the stationary test, Cointegration, Granger Causality test for a lead-lag relationship. The empirical result shows that exchange rates and stock prices data series are non-stationery and integrated of order one. The result showed that there is a long-run relationship between stock price and exchange rate and gold price. Finally, we applied a Granger causality test to find out and the casual relationship among gold price, exchange rate, and stock prices. Outcomes show that there is no causal relationship between stock price and exchange rate. However, there is a causal relationship between stock price and gold price. |
