DATA DESCRIPTION AND METHODOLOGY
This study explores the long term causal relationship among macro
economic variables and Pakistani capital market for the period 6/1998 to 6/2008 by
using monthly data. The macroeconomic variables include Industrial Production
Index, Broad Money, Oil Prices, Foreign Exchange Rate, Inflation and Interest Rate.
Monthly time series has been chosen as it is consistent with earlier work done by
Chan and Faff (1998) to explore the long run relation ship between macroeconomic
variables and equity markets. Variables have been constructed and measured by
using following proxies