Macroeconomic Factors and Equity Prices - Pakistan Institute of ...
Macroeconomic Factors and Equity Prices - Pakistan Institute of ...
Macroeconomic Factors and Equity Prices - Pakistan Institute of ...
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
DeFina, R.H., (1991), “Does Inflation Depress the Stock Market?”, Business Review, Federal<br />
Reserve Bank <strong>of</strong> Philadelphia, 3-12.<br />
Fazal H <strong>and</strong> Mahmood T.(2001), “The Stock Market <strong>and</strong> the Economy in <strong>Pakistan</strong>”<br />
<strong>Pakistan</strong> Development Review, 40 : 2 pp. 107–114<br />
The<br />
Fazal H(2006), “Stock <strong>Prices</strong>, Real Sector <strong>and</strong> the Causal Analysis: The Case <strong>of</strong> <strong>Pakistan</strong>”<br />
Journal <strong>of</strong> Management <strong>and</strong> Social Sciences Vol. 2, No. 2, 179-185<br />
Engle, R. F. <strong>and</strong> Granger, C. W. J.(1987),” Cointegration <strong>and</strong> Error Correction:<br />
Representation, Estimation <strong>and</strong> Testing” , Econometrica; 55: 251-276.<br />
Fama, E. F. (1981), Stock returns, real activity, inflation <strong>and</strong> money. American Economic<br />
Review, Volume 71(4), pp. 545-565.<br />
Firth (1979),“The relationship between stock market returns <strong>and</strong> rates <strong>of</strong> inflation”, Journal <strong>of</strong><br />
Finance, Volume 34, pp. 743-760.<br />
Flannery, M. J. & Protopapadakis, A. A. (2002), “ <strong>Macroeconomic</strong> factors do influence<br />
aggregate stock returns” , The Review <strong>of</strong> Financial Studies, 15, 3, 751-782<br />
Geske, R. <strong>and</strong> Roll, R., 1983. The fiscal <strong>and</strong> monetary linkage between stock returns <strong>and</strong><br />
inflation. Journal <strong>of</strong> Finance; 38: 1-33.<br />
Hamao, Y., 1988. An empirical examination <strong>of</strong> Arbitrage Pricing Theory: using<br />
Japanese data. Working Paper. University <strong>of</strong> California, USA<br />
Ioannidis et al. (2004), Inflation, Uncertainty <strong>and</strong> Stock Market Returns Evidence Using Greek<br />
Data. Under Publication<br />
Johansen, S. <strong>and</strong> Juselius, K.(1990),” Maximum likelihood estimation <strong>and</strong> inference on<br />
cointegration with application to the dem<strong>and</strong> for money” ,Oxford Bulletin <strong>of</strong> Economics <strong>and</strong><br />
Statistics; 52: 169-210.<br />
Johansen, S.1(988),” Statistical analysis <strong>of</strong> cointegration vectors”, Journal <strong>of</strong> Economic<br />
Dynamics <strong>and</strong> Control; 12: 231-254.<br />
Johansen, S., Juselius, K.(1990), “Maximum likelihood estimation <strong>and</strong> inference on<br />
cointegration – With applications to the dem<strong>and</strong> for money”, Oxford Bulletin <strong>of</strong> Economics <strong>and</strong><br />
Statistics 51, 169–210<br />
Johansen, S.1(991),”Estimation <strong>and</strong> Hypothesis Testing <strong>of</strong> Cointegration Vectors<br />
in Gaussian Vector Autoregressive Models”, Econometrica; 59(6): 1551-<br />
1580.