RELATIONSHIP BETWEEN STOCK MARKET INDICATORS AND FOREIGN PORTFOLIO INVESTMENT (FPI): EVIDENCE FROM PAKISTAN

被引：0

作者：

Zahirullah ^{[1
]}

Shah, Mumtaz Hussain ^{[1
]}

机构：

[1] Univ Peshawar, Inst Management Studies, Peshawar, Pakistan

来源：

INTERNATIONAL TRANSACTION JOURNAL OF ENGINEERING MANAGEMENT & APPLIED SCIENCES & TECHNOLOGIES | 2019年 / 10卷 / 17期

关键词：

Foreign Portfolio Investment (FPI); Co-Integration; VECM; Pakistan Stock Exchange (PSX); Stock Market Returns; DIVERSIFICATION; COINTEGRATION; GAINS;

D O I：

10.14456/ITJEMAST.2019.231

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This research study is designed to study the relationship between stock market indicators and net foreign portfolio investment (NFPI). Long-term and short-term relationships of five stock market indicators namely stock market capitalization, market returns, market turnover, market risk and market indices with NFPI are analysed through co-integration and vector error correction models (VECM). Three co-integrated vectors are found to show long term relationships and three variables are found to have short term relationships. Similarly, past values have an impact on current values. Regression analysis displays the impact of stock market indicators on NFPI. The results demonstrate that all the stock market indicators have positive and significant impact on NFPI except the market risk which has a negative relation with NFPI. (C) 2019 INT TRANS J ENG MANAG SCI TECH.

引用

页数：10

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