Impact of Terrorism And Exchange Rate On PSE 100 Index.

تاریخ : نومبر ۲۰۱۴ - دسمبر ۲۰۱٦

The purpose of the study is to examine the long and short term impact of the terrorist attacks and exchange rate on Pakistan Stock Exchange 100 index (PSE). To check the long term and short term impact of terrorism attacks and exchange rate on PSE 100 index (Stock Market) used monthly data in context to Pakistan. To check the stationary of the data in this study used augmented dickey fuller (ADF) in unit root test. For long run and short run impact co-integration, Wald test and vector error correction model are applied (VECM). To know about the auto correlation and heteroscedasticity problem, Breusch Pagan Godfrey tests is applied.Trend analysis is also applied to check the trend in variables. In this study data used from July 2013 to June 2016 on monthly bases on terrorism, exchange rate, and stock market. Data of terrorism collected from the global data base, and data of exchange rate and PSE 100 index collected from FOREX and PSE. According to the empirical evidence terrorism and exchange rate have negatively impacts on stock market and in the long run terrorism and exchange rate have significant impact but in the short run no impact is founded in this study. Keywords: Pakistan, Stock markets, Terrorism, Exchange Rate. Regarding to the topic of the study mostly researcher used different methods and variable to check the impact of terrorist attacks on stock exchange (Vader, Barrett et al., 1990) applied standard cumulative residual analysis to check the impact of terrorism on stock market prices after the crash of airline. Furthermore Eldor and Melnick ( 2004) in his study used exchange rate and stock market of Israel and how it fluctuate after Palestinian terror attacks by taking daily time series data. Chen and Siems (2004) checked the effect of terrorism attacks on global capital markets. Karolyi (2006) and Johnston and Nedelescu ( 2005) explain the consequences of terrorist attacks by taking the stock market and terrorism. this fill the gap in its.