RELATIONSHIP BETWEEN STOCK MARKET INDICATORS AND FOREIGN PORTFOLIO INVESTMENT (FPI): EVIDENCE FROM PAKISTAN

This research study is designed to study the relationship between stock market indicators and net foreign portfolio investment (NFPI). Long-term and short-term relationships of five stock market indicators namely stock market capitalization, market returns, market turnover, market risk and market indices with NFPI are analysed through co-integration and vector error correction models (VECM). Three co-integrated vectors are found to show long term relationships and three variables are found to have short term relationships. Similarly, past values have an impact on current values. Regression analysis displays the impact of stock market indicators on NFPI. The results demonstrate that all the stock market indicators have positive and significant impact on NFPI except the market risk which has a negative relation with NFPI. (C) 2019 INT TRANS J ENG MANAG SCI TECH.