摘要：Stock market is a greatly important type of financial system of an economy; and development of the stock market plays a vital role in the development of financial system and economy on the whole. This study builds the ARIMA model to identify the relevant macroeconomic variables that cause stock price movements. This study finds a negative and significant impact of inflation and exchange rate on the stock prices and a positive but weak impact of economic growth on the stock prices at Karachi Stock Exchange. The relationship of money supply with stock prices however, was found to be positive but insignificant. This study on the whole confirms the propositions of arbitrage pricing theory. By employing a larger data set, this study provides insight regarding the stock price behavior in response to the macroeconomic variables which could help the investment analysts and policy makers to device their strategies according to the desired outcomes.
关键词：Karachi stock exchange; macroeconomic variables; ARIMA model; arbitrage pricing theory
