Abstract
This study investigates the relationship between oil price and stock market.
Granger Causality is applied on daily data during March 1998 to December
2005 to determine the relationship between oil prices and stock returns. The
empirical results indicate that no significant effect of oil prices is found on stock
returns. The reasons are more use of gas and increase the liquidity in Pakistan.
However, we found the positive significant relation of stock prices and volume
and gas prices. This study also found no relation between news and stock
returns and no day of the week effect.
Nooreen Mujahid, Roohi Ahmed, Khalid Mustafa. (2012) OIL PRICE TRANSMIT TO EMERGING STOCK RETURNS: A CASE STUDY OF PAKISTAN ECONOMY, Journal of Social Science and Humanities, Volume 51, Issue 1.
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