Exploring Philosophy of Co-Movements Between Stocks and Macroeconomic Variables

Umer Ilyas, Matti Ullah Butt, Muhammad Gulzar


This study's background is to explore how significant are macroeconomic variables (MEV) in explaining stock movements in the developing economy for every sector and each firm of those sectors. To overcome the deficiencies of traditional index base studies, which provide only cumulative impact and response of MEV and Stock movements, fill the gap of existing literature that is not available for all Pakistan stock exchange (PSX). Panel ARDL Model with Co-Integration is using to achieve this objective. The results show that the overall sector response for changing independent variables was different from the firms from the same sectors in many cases. These results show superiority over the conventional method of using a stock index as the dependent variable, which shows only cumulative response, which was not comprehensive for taking the right portfolio and designing policy for economic development. This study has general applicability to developing economies.

JEL Classification: E4, F3, G1, M1

How to Cite:

Ilyas, U., Ullah, M., & Gulzar, M. (2021). Exploring Philosophy of Co-Movements Between Stocks and Macroeconomic Variables. Etikonomi, 20(1), 67 – 76. https://doi.org/10.15408/etk.v20i1.17614.


portfolio; sectorial analysis; macro economic variables; stock market performance; Panel ARDL Model

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DOI: https://doi.org/10.15408/etk.v20i1.17614 Abstract - 0 PDF - 0


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