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- W2240533788 abstract "The objective of this study is to investigate the integration of stock market, foreign exchange marketand money market in the context of Pakistan. The intra-country integration of these financialmarkets in the short and long-run are estimated using monthly data covering the period May 1994 toOctober 2012. To accomplish the objectives we use cointegration analysis and Vector ErrorCorrection Method (VECM). The empirical results from both the techniques of cointegration i.e. theEngle-Granger and Johansen and Juselius (J-J), demonstrate that the Pakistani financial markets arecointegrated in the long-run. Results from VECM shows that in the short run, exchange rate andinterest rate do not affect stock prices and similarly stock prices and interest rate do not affectexchange rate. However, exchange rate significantly affects interest rate in the short run. Thefindings based on impulse response functions and variance decomposition demonstrates that mostof the variations in each market variable can be explained by its own lag. Thus, the Pakistanifinancial markets offer less opportunities of intra-country diversification of financial portfolio." @default.
- W2240533788 created "2016-06-24" @default.
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- W2240533788 date "2014-01-01" @default.
- W2240533788 modified "2023-09-24" @default.
- W2240533788 title "Integration of Pakistani Financial Markets: An Empirical Investigation" @default.
- W2240533788 hasPublicationYear "2014" @default.
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