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        Determinants of Pakistan Stock Exchange (PSX) Index Under Optimal Conditions

        Tanzeela YAQOOB,Rahat BIBI 한국유통과학회 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.6

        Macroeconomic variables play a significant role in the progress of the emerging economy. In this context this study attempts to obtain the optimal solution of Pakistan Stock Exchange (PSX) by utilizing M2, Gold Prices (per troy ounce) in US dollars, Real Effective Exchange Rate Index, 6 Month Treasury bill, Call Money Rate, Foreign Exchange, Net Foreign Assets, Food Price Inflation, Manufacturing Production and Balance of Trade as principal macroeconomic indicators. To achieve the optimal solution monthly data from June 2006 till November 2016 has been deployed. Exploratory factor analysis (EFA) has been used to extract the factors and these extracted factors were then used in a bi-objective goal programming model to obtain the optimal solution. Additionally, multiple regression analysis has been done to find the relationship of the extracted factors with PSX, and model reliability has been accessed through the coefficient of determination. Results retrieved from EFA suggest two significant factors at a threshold of 0.4. The multiple regression models formed from extracted factors explain more than 90% variation of the factors showing a reliable model. At the last stage, Bi-objective goal programming has been employed to get the optimal solution. It has been observed that extracted factors have successfully achieved the required goals and obtained satisfactory optimal solutions.

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