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Arbitrage Price Theory (APT) and Karachi Stock Exchange (KSE)Sulaiman D. MuhammadFederal Urdu University of Arts Science & Technology Irfan LalUniversity of Karachi - Applied Economics Research Centre; Institute of Business Management (IoBM) Syed Iqbal Hussain Naqviaffiliation not provided to SSRN Saba Zehraaffiliation not provided to SSRN February 2, 2012 Asian Social Science, Vol. 8, No. 2, February 2012 Abstract: The intention of this study is to analyze the variability of Arbitrage price theory (APT) in case of KSE. The data from Jan 1985 to Dec 2008 is monthly based has been considered and two econometric methodologies, Johanson co integration and Error correction model are used to checkout the validity of APT in this study. The conclusion of this study illustrates that Quasi money responds negatively with KSE 100 index return while IIP (industrial index of production), exchange rate, petroleum price, domestic interest responds negatively with KSE 100 index return. On the Contrary bullion price and inflation rate are insignificant regarding to KSE 100 index returns
Number of Pages in PDF File: 6 Keywords: KSE-100Index, arbitrage pricing theory, co integration Accepted Paper SeriesDate posted: February 10, 2012Suggested CitationContact Information
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