Shah Sayyed Sadaqat Hussain, Yaqub Muhammad, Khan Muhammad Asif, Haddad Hossam, Al-Ramahi Nidal Mahmoud, Zaheer Abrish, Khan Mohammed Arshad, Mata Mário Nuno
Department of Commerce and Finance, Government College University Lahore, Pakistan.
Department of Commerce, University of Kotli, AJK, Pakistan.
Heliyon. 2023 Aug 12;9(8):e19115. doi: 10.1016/j.heliyon.2023.e19115. eCollection 2023 Aug.
In an asymmetric information environment, investors diversify their investments to minimize risk and maximize their wealth. Such diversification ranges from one market to another market and from one country to another country. Investors prefer foreign portfolio investment over foreign direct investment because of the economy's turmoil, changes in macroeconomic indicators, and market liberation. This study analyzes the dynamic relationship among stock market volatility, foreign portfolio investment, and macroeconomic indicators (foreign exchange rate, interest rate, and Gross Domestic Product) using the dynamic long-run Auto-regressive Distributed Lag (ARDL) model concerning the Pakistan environment. This study also considers the impact of multiple structural breaks, representing variables' endogenous and exogenous shocks. The secondary data is used from Oct. 01, 2009, to Sept. 30, 2019, with monthly frequency. The results indicate a co-integration between SMV, FPI, FXR, IR, and GDP. In short-run analyses, the error correction term is statistically significant, while in the long run, the SMV, FPI, and FXR are not impacted. As no evidence of volatility has been found between SMV and FPI, unidirectional or bi-directional policies can be devised to further attract the new FPI for strengthening the foreign reserves, the balance of payments, and other macroeconomic variables. Additionally, investors should update their knowledge based on considering the endogenous and exogenous shocks on the SMV.
在信息不对称的环境中，投资者通过分散投资来将风险降至最低并实现财富最大化。这种分散投资涵盖从一个市场到另一个市场，以及从一个国家到另一个国家。由于经济动荡、宏观经济指标变化和市场开放，投资者更倾向于外国证券投资而非外国直接投资。本研究使用动态长期自回归分布滞后（ARDL）模型，针对巴基斯坦的环境，分析股票市场波动性、外国证券投资和宏观经济指标（汇率、利率和国内生产总值）之间的动态关系。本研究还考虑了多个结构突变的影响，这些突变代表变量的内生和外生冲击。使用的二手数据时间跨度为2009年10月1日至2019年9月30日，频率为月度。结果表明股票市场波动性（SMV）、外国证券投资（FPI）、汇率（FXR）、利率（IR）和国内生产总值（GDP）之间存在协整关系。在短期分析中，误差修正项具有统计显著性，而从长期来看，股票市场波动性、外国证券投资和汇率不受影响。由于未发现股票市场波动性和外国证券投资之间存在波动证据，因此可以制定单向或双向政策，以进一步吸引新的外国证券投资，从而加强外汇储备、国际收支和其他宏观经济变量。此外，投资者应根据考虑股票市场波动性上的内生和外生冲击来更新他们的知识。
