Purpose

This study examines the short-run and long-run impact of macroeconomic variables such as industrial production index, inflation, exchange rate, interest rate, foreign direct investment and trade balance, on KSE 100 index and sectorial stock indices under bearish, bullish and normal states of the stock market prices. Moreover, we take into account the effect of three crises observed from 2005 to 2009.

Design/methodology/approach

This study uses quantile autoregressive distributed lag (QARDL) model for examining the short-run and long-run effect across various quantiles of the dependent variables and compare its' results standard autoregressive distributed lag (ARDL) model.

Findings

ARDL estimates indicate that, in the long-run, industrial production index, trade balance and foreign direct investment significantly affect stock prices. These findings remain same when three crises have been taken into consideration. In addition, estimates from QARDL model indicate that, in the short-run, the effect of exchange rate, interest rate, consumer price index and foreign direct investment, varies across bearish, bullish and normal states of the overall stock prices. Moreover, the short-run findings for Auto Assembler, Cement, Commercial Banks sector are consistent with overall stock indices, whereas other sectors, such as, Oil and Gas and Power Generation and distribution are asymmetrically affected by all macroeconomic variables. In the long-run, the effect of all macro-variables varies across different states of the stock markets except industrial production index for Auto Assembler sector, Oil and Gas sector and composite index of KSE 100 index.

Originality/value

We take into account the effect of three crises observed from 2005 to 2009 and also examine the macroeconomic effect across bullish, bearish and normal states of the sectorial stock indices and composite index of Pakistan stock exchange. Finally, we use novel approach, called QARDL model, which has several advantages over other techniques.

中文翻译：

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宏观经济变量和股票指数：分位数ARDL模型的不对称证据

目的

这项研究研究了在看跌，看涨和正常的情况下，宏观经济变量（如工业生产指数，通货膨胀，汇率，利率，外国直接投资和贸易平衡）对KSE 100指数和部门股票指数的短期和长期影响股市价格的状态。此外，我们考虑了从2005年到2009年观察到的三场危机的影响。

设计/方法/方法

本研究使用分位数自回归分布滞后（QARDL）模型检查因变量各个分位数之间的短期和长期影响，并比较其结果标准自回归分布滞后（ARDL）模型。

发现

ARDL估计表明，从长远来看，工业生产指数，贸易平衡和外国直接投资会严重影响股票价格。当考虑到三个危机时，这些发现仍然是相同的。此外，QARDL模型的估计表明，短期内，汇率，利率，消费者物价指数和外国直接投资的影响在总体股票价格的看跌，看涨和正常状态下会有所不同。此外，汽车装配商，水泥，商业银行部门的短期发现与总体股票指数一致，而其他部门（例如，石油和天然气以及发电和分配）受到所有宏观经济变量的不对称影响。长期来说，

创意/价值

我们考虑了2005年至2009年发生的三场危机的影响，并考察了跨部门股票指数和巴基斯坦证券交易所综合指数的看涨，看跌和正常状态的宏观经济影响。最后，我们使用一种称为QARDL模型的新颖方法，该方法比其他技术有很多优势。