Impact Of Dollar Index On Karachi Stock Indices

Abstract

Adjusted stock indices is a new concept developed by Jalbert (2012), his recent studies examine U.S existing stock indices and is limited to eight indices of U.S stock exchange. The study relates existing literature with emerging country like Pakistan. Closing daily data from 2008-2015 of Karachi Stock Exchange three indices is used. This paper investigates distribution properties of indices and identifies the portion of wealth changes explain by both stock value changes and currency value changes. The results indicate significant distribution differences for index level but insignificant for returns variance between adjusted and unadjusted indices. Further results show stock indices explain as much as 96.97 percent of wealth changes, however dollar index attributes as much as 80.77 percent, which explains more portion of wealth relative to Jalbert (2014) and Jalbert (2015) results.