期刊名称：Sustainable Business and Society in Emerging Economies
印刷版ISSN：2708-2504
电子版ISSN：2708-2172
出版年度：2021
卷号：3
期号：3
DOI：10.26710/sbsee.v3i3.1913
语种：English
出版社：CSRC Publishing
摘要：Abstract: The objective of this study is to examine the long run and short run relationship between oil prices and stock market liquidity in Pakistan stock exchange. Design/Methodology/Approach: The sample spans 10 years from 2010 to 2019. We use auto-regressive distributed lag (ARDL) to examine long-term and short-term relationships between oil prices, exchange rate, stock market index, market volatility and inflation and stock market liquidity. We use normality checks, serial correlation tests, heteroscedasticity tests, and CUSM models to assess model stability. Findings: Result shows that there exist a long-term negative association between exchange rate and inflation, but a positive relationship is revealed between oil prices, stock returns, and market volatility. These conclusions hold for three sectors i.e. automobile, cement and sugar. Implications/Originality/Value: This study extends the existing debate on the relationship between macroeconomic variables and stock market liquidity to the emerging equity market. For this, it uses three proxies for stock market liquidity: Amihud liquidity, average trading volume, and trading volume average.
