Foreign Exchange Market, Energy and Gold Price Influencing Conventional and Islamic Indices (Pakistan Stock Exchange)

10 Pages Posted: 30 Jun 2020

See all articles by Muhammad Rehan

Muhammad Rehan

Gaziosmanpasa University - Faculty of Economics and Administrative Sciences

Jahanzaib Alvi

​Mohammad Ali Jinnah University; IQRA University

Hanaa Ibraheem Hussein

Gaziosmanpasa University

Date Written: May 6, 2020

Abstract

The main purpose of this research is to find out the relationship between stock indices i.e. Conventional and Islamic index which is taken as dependent variables and foreign exchange commodities. A further specific objective is to find out that selected variables are useful to predict each other or not. The sample is taken all conventional indices i.e. KSE_100, KSE_All, KSE_30 foreign exchange i.e. (USD, UK and EURO) commodities (gold and cured oil) from January 2008 to December 2019 as Islamic Index i.e. KMI-30 has started from October 2008 so data has been taken from October 2008 to December 2019 of Pakistan stock exchange. The unit root test has performed to check whether data is stationary or not and which test is appropriate for the specific data. OLS and Granger Causality test is performed with the help of Eviews10 to find the relationship between Stock Indices, Foreign Exchange and Commodities. This research determines that all conventional indices have a significant and negative relation with USD and KSE_100 index the only have a positive and significant impact with Cured oil, Islamic Index has only significant and positive relationship with Cured oil. Further, Granger Causality shows that the only variable is useful to predict the conventional and Islamic index which is USD.

Keywords: Granger Causality test, Commodity Market, Foreign Exchange Market, Stock Market Indices,

JEL Classification: G30

Suggested Citation

Rehan, Muhammad and Alvi, Jahanzaib and Ibraheem Hussein, Hanaa, Foreign Exchange Market, Energy and Gold Price Influencing Conventional and Islamic Indices (Pakistan Stock Exchange) (May 6, 2020). Available at SSRN: https://ssrn.com/abstract=3608177 or http://dx.doi.org/10.2139/ssrn.3608177

Muhammad Rehan (Contact Author)

Gaziosmanpasa University - Faculty of Economics and Administrative Sciences ( email )

Tokat
Turkey

Jahanzaib Alvi

​Mohammad Ali Jinnah University ( email )

22-E Block-6 P.E.C.H.S.
Karachi, Sindh 75400
Pakistan

IQRA University ( email )

Defence View
Shaheed-e-Millat Road (Ext.)
Karachi, Sindh 75500
Pakistan

Hanaa Ibraheem Hussein

Gaziosmanpasa University ( email )

Tokat, 60150,
Turkey

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
36
Abstract Views
155
PlumX Metrics