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INTRODUCTION

**Broad Problem Area
**

Over the course of the past year the Pakistani economy has taken such drastic turns that it has baffled even seasoned economists and researchers, one such change has been the unprecedented success of the Karachi Stock Exchange, represented mostly by the KSE-100 index. Just to take an example, in April 2003 the KSE-100 index stood a hundred points shy of the 3000 mark, a coveted position at that time, and now little over an year later it stands well past the 5000 point a level. lot Such a radical to change uncover has the naturally forced of people

fundamental reasons behind the change. This research paper is an effort by the researcher to find out which are the fundamental determinants of the KSE index and what is the extent of their influence on it.

Background Of KSE

The KSE is a relatively young (it was established soon after independence in 1947) and small market. In 2002, it had 758 stocks listed with a total market capitalization of about $10 billion or 16% of GDP. The KSE captures 74% of the overall trading volume in Pakistan. There are two smaller stock exchanges covering the remaining 26%: The Lahore stock exchange (22%), and the Islamabad stock

1

exchange

(4%).

The

KSE-100

index,

which

is

a

weighted

price index of the top 100 companies listed on the stock market, is usually taken as a benchmark index in Pakistan.

**Rationale Of The Study
**

There is a consensus that stock among macroeconomists prices are and finance by

theorists

market

driven

macroeconomic variables, the so- called “fundamentals” in the economy. Moreover, it is also agreed that the linkage is two-way; that is, feedback exists between the stock market and real activity. There has been a great deal of research into the

phenomenon described above in the developed economies such as the US, the UK, Germany, Japan etc, where researchers have come up with some very informative and insightful results. These results have helped them explain to some degree the behavior of their stock exchanges and in turn have helped them make better predictions about its current and that future we too performance. can benefit It is only the logical predictive that such of studies be conducted for the Pakistani stock market so from power economic variables for our stock exchanges.

2

Research Questions

Trying to investigate relations between the variables, the aim is to make it easier to try to answer the following hypothesis:1. Does industrial production affect the KSE index? 2. Do interest rates affect the KSE index? 3. Does inflation affect industrial production? 4. Does inflation affect interest rates? 5. Does inflation affect the KSE index? 6. Do interest rates affect industrial production? In analysis of this paper ten years’ monthly data for the period 1994 until 2004 is taken for all variables.

3

Theoretical Framework

To examine the relationship for the hypothesis listed, the following multivariate model is specified: U = (KSE, IPI, INF, STI) Where, KSE= KSE-100 Index IPI= Industrial Production Index of Pakistan INF= Inflation rate of Pakistan STI= Short Run Interest Rate of Pakistan, in percentage The Karachi Stock Exchange’s 100 index (KSE), being an equally weighted price index, is calculated by taking the average of the prices of a set of 100 biggest companies listed on the KSE. These companies are sufficiently representative of the Pakistani Stock Market, because of the weight of these companies; the KSE-100 index accounts for majority of the total trading volume. The Industrial Production Index, (IPI), is included as a proxy for real economic activity in the Pakistani market. Inflation (INF) is taken on a monthly basis from the

Consumer Price Index. The Short Run Interest Rates (STI), corresponds to the Weighted average rate of return on 3 month or less fixed

4

or term deposits (interest bearing and PLS) offered by All Scheduled Banks in Pakistan in percent per annum.

**Objectives Of The Study
**

The objective of this paper is to investigate the

relations among key economic variables such as: Inflation Interest rates Industrial production

and the stock market index in the small Pakistani economy, where stock exchanges are less mature as compared to those in e.g. US, Japan and the UK.

**Definition Of The Terms
**

The following and terms have it been is used extensively to in the

report

therefore

appropriate

adequately

define them for the reader. Liner Regression: Linear Regression estimates the

coefficients of the linear equation, involving one or more independent variables that best predict the value of the dependent variable. Confidence intervals: depicts the model’s ‘confidence’ in the result i.e. whether estimations have been made at 90%

5

or

95%

etc,

confidence

intervals

for

each

regression

coefficient R squared change: The change in the R2 statistic that is produced by adding or deleting an independent variable. If the R2 change associated with a variable is large, that means that the variable is a good predictor of the dependent variable. Descriptives: analysis. Part and partial range correlations: from –1 to Convey 1. The the zero-order, of the Provides the number of valid cases, the

mean, and the standard deviation for each variable in the

part, and partial correlations. Values of a correlation coefficient sign coefficient indicates the direction of the relationship, and its absolute value indicates the strength, with larger absolute values indicating stronger relationships. Residuals: serial Depicts the of Durbin-Watson the test result for

correlation

residuals

and

casewise

diagnostics for the cases meeting the selection criterion. Predicted Values: Values that the regression model

predicts for each case. Unstandardized: dependent The value The the model predicts for the are

variable.

unstandardized

coefficients

the coefficients of the estimated regression model Standardized: A transformation of each predicted value

into its standardized form. That is, the mean predicted

6

value

is

subtracted values. are an

from

the the

predicted independent to make

value,

and

the are

difference is divided by the standard deviation of the predicted or betas Often variables the measures in different units. The standardized coefficients attempt regression coefficients more comparable. Adjusted: The predicted value for a case when that case is excluded from the calculation of the regression coefficients. S.E. of mean predictions: Standard errors of the predicted values. An estimate of the standard deviation of the average value of the dependent variable. Prediction Intervals: The upper and lower bounds for both mean and individual prediction intervals. Mean: Lower and upper bounds for the prediction interval of the mean predicted result. Individual: Lower and upper bounds for the prediction

interval of the dependent variable. Residuals: The actual value of the dependent variable

minus the value predicted by the regression equation. Bivariate its Correlations: levels. The Bivariate Correlations measure how

procedure computes Pearson's correlation coefficient, with significance Correlations variables are related. Pearson's correlation coefficient is a measure of linear association.

7

Correlation

Coefficients:

Correlation

coefficients

range

in value from –1 (a perfect negative relationship) and +1 (a perfect positive relationship). A value of 0 indicates no linear relationship. Test of Significance: Dependent on either two-tailed or one-tailed probabilities. If the direction of association is known in advance, One-tailed is taken. If the direction of association is not known then Two-tailed test of significance is taken.

8

CHAPTER 2

LITERATURE REVIEW

The relationships among real, monetary and financial

variables have been active topics of economic research for most of this century. An increasing amount of empirical evidence conclusion 1987, noticed that a by several of and researchers financial Stambaugh, and leads to the range macroeconomic Fama and

variables can affect stock market activity (e.g. Campbell, French, Schwert 1987, French, 1989, Balvers, Cosimano and McDonald, 1990, Been, Glosten and Jaganathan, 1990, Cochrane, 1991, Campbell and Hamao, 1992, Ferson and Harvey, 1993, Glosten, Jaganathan and Runkie, 1993 and Pesaran and Timmerman, 1995, 2000). The relationship between stock in market the activity U.S. is and well

fundamental

economic

variables

documented (Fama 1970, 1990 and 1991). In recent years, numerous studies (Fama 1981, Chen, Roll and Ross 1986, Chen 1991) modeled real yield rates, yields, activity, the relation between GNP stock in growth among and market of rate, stock activity production unemployment, dividend market and economic spread, These activities interest terms

productivity,

rates,

inflation, monetary

etc. real

relationships activity

economic

variables in the U.S. also have been studied by (Geske & Roll 1983), (Mallaris & Urrutia, 1991), (Darrat & Brocato,

9

1994),

(Darrat

&

Dickens,

1999),

while

Known,

(Shin

&

Bacon, 1997) studied these relationships in Korea. (Mallaris industrial Index; et the al., 1991) studied to three the and linkage the that are among 500 the not

production, results

interest seem the

rates

S&P

suggest variables Since wisdom,

interrelationships and financial

among

statistically significant, contrary to what the economic literature assumes. this it is finding worth challenged economic conventional

determining whether the economic role of the stock markets in relatively less developed countries, such as Pakistan, is in or is not of clearly stock significant. activity, Specifically, to changes it in is its interesting to examine how the Pakistani market responds, terms market fundamental economic variables. This question, as of yet, remains unanswered. (Harbeler, 1937) has summarized a wealth of economic

theories attempting to explain the nature and causes of stock market activity and particularly fluctuations. The great depression Theory the of 1930’s and the of the impact of of Keynes’ Preand the the General 1960’s interrupted research the demand from

Keynesian economists, and during the 1950’s to the late Keynesian doctrine aggregate attention have activist 1982), fiscal among policy distracted

monetary and financial areas. (Friedman & Schwartz 1963, other economists, redirected attention of researchers to the role of interest rates, while financial economists such as (Sharp, 1964) focused on financial assets.

10

More

recently,

numerous

studies 1974)

have has

focused studied

on the

specialized (Barro, between (Fama, returns,

issues. has

(Rozeff, analyzed the

relationship between interest rates and stock prices, and 1977) 1981) real potential real relationships output. money. monetary factors and industrial and

investigates the relationships among stock economic activity, inflation

(Plosser, 1989) reviews an extensive literature on real industrial activity and emphasizes the significant role of technological shocks on the production function and the economy’s real output. (Mankiw, 1989) criticizes Plosser’s research and cites the significant role of tight monetary policies. (Kydland & Prescott, 1990) developed an in-depth methodological various procedure to measure conclude fluctuations that for variables. They credit

considerations could play an important role in current and future industrial activity. (Malliaris et al., 1991) observed that the performance of the stock market might be used as a leading indicator for real economic activities in the United States. For the United Kingdom, (Thornton, 1993) also found that stock returns tend to lead real economic activity. In related work, (Chang & Pinegar, 1989) and (Chen et al., 1986) also concluded that there is a close relationship between stock market and the domestic economic activity. (Neftci, steeper 1984) and more presented short-lived evidence that to support in his

hypothesis that recessions in economic activity tend to be recovery economic activity. (Falk, 1986) extended the study of Neftci to

11

other economic series typically associated with the U.S. industrial activity: real GNP, output per worker-hour, and gross domestic private investment. In addition, he studied the behavior of industrial production in Canada, Italy, West Germany, the United Kingdom, and France. Furthermore, during the past decade a significant number of papers have investigated the excessive volatility in stock markets and questioned the validity of the efficient financial market hypothesis. (Schiller, 1989) summarizes these studies and argues that volatilities in stock market indices are excessive relative to the volatilities in real or monetary variables. This evidence among increases changes the in challenge levels this of is to real, not a industrial monetary, new idea; the

activity theorists who must now explain not only potential relations their economic and financial variables, but also relations among volatilities. et of al., Actually, rates (Friedman volatility 1963) had shown that changes in the generated changes in

interest

volatility of industrial output. In their seminal paper, (Chen, Roll and Ross, 1986) find that the following macro variables market were significant in explaining expected stock industrial production, inflation periods when changes and in the in activity: of

risk premium, twists in the yield curve and, more weakly, measures expected unanticipated during changes inflation these variables

were highly volatile. Studies on non-US markets have mostly been based on the (Chen et al., 1986) approach. (Hamao, 1988) tested the

12

Japanese market and found strong relations, except for the case of Japanese monthly production. (Martinez & Rubio, 1989) used Spanish data and found no significant relationship between stock market activity and macroeconomic variables. (Poon & Taylor, 1991) are also unable to explain activity in the UK by factors used by Chen et al. More recently, (Kaneko & Lee, 1995) have reexamined the US and the Japanese markets. They found that both the term and risk premiums, as well as the growth rate of industrial production, are significantly related in the US. In Japan, however, international factors have become trade increasingly and exchange more rates important. were As opposed in to the findings of (Hamao, 1988), changes in oil prices, terms of significant Japanese stock market activity. (Jones & Kaul, 1996) investigated the response in the stock market of oil prices in the US, Canada, the UK, and Japan. They concluded that the US and Canadian stock markets are rational, in the sense that the response to oil shocks could be completely accounted for by their impact on current and future cash flows. In the UK and Japan, however, stock markets have overreacted to new information about oil prices. Standard stock valuation models predict that stock prices are affected by the discounted value of expected cash flows. (Chen et al., 1986) and (Fama, 1990) have shown real economic activity, interest rate and stock returns to be and correlated. financial However, and most of these earlier studies may focus upon the short-run relationship between stock market macro-economic variables, which

13

remove

important

information contained in the permanent

component of economic activity concerning the evolution of short-run movements. In comparison to the above, long-run relationship variables has between received stock market and the of economic little attention researchers

except in (Mukherjee, Naka, 1995), (Chung & Ng, 1998), (Maysami & Koh, 2000) and (Nasseh & Strauss, 2000). By using the concept of correlation, the empirical long run relationships between stock market indices and measures of economic activity and financial between variables stock and can be and investigated. internal to & Correlation prices

economic activity can be seen to be consistent with both theoretical future consumption production-based effect on the models. These models suggest that stock prices are related expected production through discounted value of changes in cash flows and dividends, (Cochrane, 1991). More recently, empirical to has the and been models been two-way real without applied any in specific a more The this between in

theoretical pragmatic stock regression market

structure fashion model indices

have

relationship popular

economic

variables.

particularly

area given that it can be used as a framework for formal examination of inter-relationships within a given data. A relatively early application of the regression model to the analysis of the relationship between the stock indices and the macro economy is by (Lee, 1992) and more recent ones can be found in (Cheung et al., 1998). Recently several researchers like (Baestaens et al. 1995); (Kaastra Ibeling & others 1996), (Katsurelis, 1998), (Kamath, 1999

14

and 2002) recommend the use of Artificial Neural Network (ANN) well for as investigating the correlation relationship forecasting in capital markets, which as has

tremendous promise in terms of methodology. Moving towards market in Pakistan’s immediate vicinity,

there have been several studies regarding the relationship between the stock exchange activity and the key economic variables. Taking the example of India, (Sharma Kennedy, 1977) and (Sharma, 1983) tested the weak-form efficiency of the Bombay Stock Exchange (BSE). Both of these studies with the former covering the 1963-1973 period and the later encompassing the 1973- 1971 period, conclude that Indian stocks generally conformed to random-walk behavior in that successive period changes were independent. (Poterba & Summers, 1988), however, find evidence of mean reversion in Indian stock prices, suggesting a deviation from random-walk behavior. Technical analysis of the stock market can thus be conducted based on this result. (Darat & Mukherjee, 1987) apply a regression model along with Akaike’s final prediction on the Indian data over 1948- 1984 and find that a significant causal relationship exists between stock market activity and selected macroeconomic variables. (Naka, Mukherjee and Tufte, 1996) have analyzed variables domestic relationship and the Indian are the among stock two selected market. most By macroeconomic employing a

regression model, they find that domestic inflation and output prominent factors influencing stock market activity.

15

In a recent study under NSE Research Initiative (Kamath, 2002, paper no. 10) uses Artificial Neural Network (ANN) to examine the relationship of macro-economic factors to stock (Pethe market & activity. 2000) More use recent advanced studies methods like in (Bhattacharya & Mukherjee, 2002), (Rao & Rajeswari, 2000), Karnik, econometrics to study the same relationship. (Bhattacharya relationships macroeconomic & Mukherjee, the Their 2002) BSE major test Sensex findings the and are causal five that

between variables.

there is no linkage between the stock prices and money supply, national income and interest rate while the index of industrial production leads the stock price and there exists a significant correlation between stock market index and rate of inflation. (Rao & Rajeswari, the number 2000) try to explore the role being stock of market and when factors. reduced (Pethe models & to into a

played by a good number of macro economic variables in influencing manageable 2000) use economic Karik, test

regression

correlation

relationship between stock market behavior and some macroeconomic variables. (Fama, 1981) asserts that there is a strong relationship between stock returns with other macroeconomic variables, notably, inflation and national output as well as industrial production. The inflation rate is an important element in determining stock returns due to the fact that during the times of high inflation, people recognize that

16

the market is in a state of economic difficulty. People are laid off work, which could cause production to decrease. When people are laid off, they tend to buy only the essential items. Thus production is cut even further. This eats into corporate profits, which in turn makes dividends diminish. When dividends decrease, the expected return of stocks decrease, causing stocks to depreciate in value. (Fama, 1981), (Geske et al., 1983), (James et al. 1985), and (Stulz, 1986) all attempt to explain the negative association between stock returns and inflation. Most past empirical literature shows that stock market

activity is negatively correlated with inflation (Fama & Schwert, 1977; Gultekin, 1983; and recently Barnes et al., 1999 by among others). (Fama, 1981) explains the negative short-run correlation between stock returns and inflation the negative short-run correlation between inflation and real activity.

17

Chapter 3

METHOD

Data

In analysis of this paper ten years’ monthly data for the period January 1994 until January 2004 is taken for all variables. (N=120, for each variable). As already mentioned in the theoretical framework portion, the data used in the study has four portions: 1. The first portion of the data is the information regarding the Inflation rate of Pakistan, which is fairly represented by the Consumer Price Index of Pakistan or the CPI. 2. The second portion of the data is the information regarding the industrial production level of Pakistan, this is represented by the Quantum Index of Manufacturing. This index is taken as a proxy for real economic activity in Pakistan. 3. The third portion of the data is the Short-term interest rates offered on very short term fixed or term deposits. A weighted average of the rate of return on 3 month or less fixed or term deposits offered by all the scheduled banks in Pakistan is taken.

18

4.

Finally data for the Karachi Stock Exchange’s 100 index is taken. The reasons for taking the KSE-100 index and not an aggregate index representing all the stock and companies listed in the KSE is that the KSE-100 index is sufficiently representative of the Pakistani Stock Market, since it accounts for majority of the total trading volume.

Sources Of Data

Monthly data from January 1994 to January 2004 has been used in this study. Data for the Industrial Production Index, obtained Consumer from Price the Index, SBP’s and of Interest Reports Rates and were the State Bank Pakistan’s Monthly

Statistical

Bulletin,

Annual

economic survey of Pakistan for the relevant years. Data for the Karachi Stock Exchange Index were obtained from Yahoo Financial Services and CBS MarketWatch in addition to the statistical documents mentioned above.

Procedure

To test the predicting power of the key economic variables over the KSE index a linear regression model is used and to determine the relationships between all the variables selected including the independent and all the dependent variables, a bivariate correlation model is used. To find out the regression relationship between the

dependent and independent variables the compiled data will

19

be entered into the famous statistical package SPSS. Once the data has and been the entered the the required index tests and will the be key conducted results will be used to analyze the KSE-100

relationship

between

economic variables taken as estimators of the index. Furthermore to find out how the four variables taken are interrelated, Pearson’s correlation test will also be applied. The correlation test will indicate the level of interrelatedness of the four variables i.e. KSE-100 index, Industrial Production index, Short-term interest rates and the level of inflation in the Pakistani economy over the course of the time period taken.

20

CHAPTER 4

RESULTS AND DISCUSSION

The

results

that

were

obtained

after

running

the

data

through SPSS are as follows. The results for linear regression will be discussed first followed (IPI), by those for correlation rates of between Pakistan the and four the variables i.e. KSE-100 index, Industrial production index Short-term interest inflation level of Pakistan (INF).

**RESULTS OF REGRESSION ANALYSIS
**

Model Summary Table 4.1 Std. R Model 1 R .867 Adjusted of Square R Square .751 .745 Error the

Estimate 361.86019

Explanation: model which R, displays

The has R

above been

table applied

gives to R

the

summary This

of and

the the

the

data.

table

squared,

adjusted

squared,

standard error.

21

R, the

the

multiple

correlation The

coefficient, of R for

is

the

correlation between the observed and predicted values of dependent variable. values models produced by the regression procedure range from 0 to 1. Analysis: It is important to point out here that larger values of R indicate stronger relationships. It can be seen that the value of R obtained for our data results is .867 which is a very high value given the fact that the maximum value which R can obtain is 1. Moving on to the values for R Square also called the

coefficient of determination, R squared is the proportion of variation in the dependent variable explained by the regression model. Once again the values of R squared range from 0 to 1. Small values indicate that the model does not fit the data well whereas larger values of R squared indicate the model fits the data well. Since the R squared value for our data set is .751 which is a fairly large value considering the fact that R squared value can at most be equal to 1 it can be said that the model fits the data very well. Adjusted R squared attempts to correct R squared to more closely reflect the goodness of fit of the model in the population. squared, squared, is It can giving be a seen a that of even the adjusted value which of is R R a which presents somewhat reduced .745

value

significantly high value. The interpretation that can be obtained from the adjusted R squared value is that 74.5% of the variation in the KSE index is explained by the

22

variables

selected

in

the

model,

i.e.

74.5%

of

the

variation in the Karachi Stock Exchange index is due to that Inflation level in the economy, the level of shortterm interest rates and the level of industrial production in the country. The following are the results for Analysis of Variance (ANOVA) Model. ANOVA Table 4.2 Sum of Model 1 Squares Regression 4586524 Residual Total 4.166 1518936 4.688 6105460 8.853 df 3 116 119 Mean Square 15288414. 722 130942.80 F 116.76 Sig. .000

Explanation: The above table summarizes the results of an analysis variation Regression displays of variance. The sum and of squares, The the degrees output of for freedom, and mean square are displayed for two sources of i.e. regression residual. about variation displays information information about the variation is not

accounted for the model, whereas the output for Residual that accounted for by the model and the output for Total is the sum of the information for Regression and Residual. The mean square is the sum of squares divided by the degrees of freedom (df). The F statistic is the regression mean

23

square (MSR) divided by the residual mean square (MSE). The regression degrees of freedom is the numerator df and the residual degrees of freedom is the denominator df for the F statistic. The total number of degrees of freedom is the number of cases minus 1. If the significance value of the F statistic is small (smaller than say 0.05) then the independent variables do a good job explaining the variation in the dependent variable. Analysis: A model with a large regression sum of squares in comparison to the residual sum of squares indicates that the model accounts for most of variation in the dependent variable. It can be clearly seen from the table that the value for regression sum of square is three times larger than the value for the residual sum of square. Since the value of the regression is larger than that of the residual it can be said that the independent variables account for most of the variation in the dependent variable. In other words, the independent variables chosen i.e. Pakistan’s Inflation level, Short-term interest rates and level of industrial production account for most of the variation in the dependent variable i.e. the Karachi Stock Exchange index. Furthermore the significance value of the F statistic is very small (.000) CPI, which IPI means and STI that do a the independent good job variables KSE. i.e. very

explaining the variation in the dependent variable, i.e.

24

The

regression

coefficients

will

now

be

explained

and

analyzed. Coefficients Table 4.3 Unstandardized Model Coefficients Std. KSE INF IPI STI B 4352.300 3.198 -1.180 -450.183 Error 284.287 .736 .643 26.938 Standardized Coefficients Beta .266 -.097 -1.049 15.310 4.343 -1.835 -16.712 .000 .000 .069 .000 T Sig.

1

Explanation:

The

unstandardized

coefficients

are

the

coefficients of the estimated regression model. Often the independent variables are measures in different units. The standardized coefficients or betas are an attempt to make the regression coefficients more comparable. The t statistics can help to determine the relative importance of each variable in the model. Once again the values are significant if they are less than .05, any value greater than .05 is not significant. Analysis: It was necessary to present this table since the independent STI was variables were measured in different units, in percentage per annum. The results i.e. CPI and IPI were measured in absolute units whereas measured suggest that there is a significant relationship between the KSE index and all the independent variables except for the industrial production index. There is no significant

25

regression association between the KSE index and the index of industrial production index. As expected the Pakistani benchmark stock exchange does not reflect and is not affected by actual economic activity but is affected much more by variation in the monetary variables such as the interest rates and the level of inflation restricting or relaxing the level of money available for investment into the stock exchange. These results will be discussed in greater detail once the data correlation results are discussed and as, subsequently, the research questions are answered one by one.

26

**RESULTS OF CORRELATION ANALYSIS
**

This section discusses the results of the bivariate

correlation test applied to the sample data. As in the previous section the result table will first be explained and the results will then be analyzed. Correlations Table 4.4 INF INF Pearson 1 Correlation Sig. N 120 Pearson -.410 Correlation Sig. .000 N 120 Pearson .641 Correlation Sig. .000 N 120 Pearson -.367 Correlation Sig. .000 N 120 IPI -.410 .000 120 1 120 -.455 .000 120 .272 .003 120 STI .641 .000 120 -.455 .000 120 1 120 -.834 .000 120 KSE -.367 .000 120 .272 .003 120 -.834 .000 120 1 120

IPI

STI

KSE

Explanation:

As

a

measure

of

correlation,

Pearson’s

correlation is employed. The correlations table displays Pearson correlation coefficients, significance values, and the number of cases with non-missing values. The Pearson

27

correlation coefficient is a measure of linear association between two variables. range from coefficient The -1 values to 1. the of The the correlation of of the the coefficient correlation sign

indicates

direction

relationship (positive or negative). The absolute the value of the with correlation larger The coefficient values correlation

indicates indicating

strength,

absolute

stronger

relationships.

coefficients on the main diagonal are always 1.0, because each variable has a perfect positive linear relationship with itself. The significance of each correlation coefficient is also displayed in the correlation table. The significance level (or p-value) is the probability of obtaining results as extreme as the one observed. If the significance level is very small (less than 0.01) then the correlation is significant and the two variables are linearly related. Analysis: Looking first of all at the level of

significance, all the variables except IPI reflect a very small level of significance, smaller than the threshold . 01 level, signifying a high level of significance. The only variable which has resulted in an insignificant level of significance is the index of industrial production’s correlation with the Karachi Stock Exchange index. This result further validates does the result a obtained job from the regression production analysis index which indicates that the industrial not do good explaining

variation in the KSE index.

28

There is a no significant relationship between KSE and IPI, i.e. the KSE index is not significantly affected by any sort of change in the level of industrial production in on. There is a very strong negative relationship between KSE and STI, i.e. the KSE index is greatly affected in a negative sense by an increase in the Short-term interest rates prevailing in Pakistan and is affected positively by a decrease in the short-term interest rates. Further detail of the correlative relationships between the Pakistani economy, this result has important implications which shall be looked into more deeply later

the dependent and the independent variables is looked into in more detail along with support from economic theory in the next section.

29

Research questions answered

1. Does industrial production affect the KSE index?

INDUSTRIAL PRODUCTION

KSE INDEX

The KSE index does not seem to significantly affect the index of industrial production. There does seem to exist a very weak positive relationship between KSE and IPI i.e. if one increases the other should increase and if one decreases the other should decrease, but this relationship does not seem to be a significant one since the level of significance significant. significant is greater than the threshold significance result indicates between that the there is no level of .01 and thus the relationship cannot be called This relationship aforementioned

variables at the 5% significant level. There would however be significance at the 10% level, but as a norm these sort of time series analysis are always taken ‘at most’ at the 5% significance level therefore it can be concluded that there is no significant relationship between industrial production and the KSE index. This result has important implications for all who are involved in forecasting stock markets in Pakistan, since the KSE is thought to significantly affect the other two

30

stock exchanges in the country i.e. the Lahore (LSE) and Islamabad (ISE) stock exchanges, and also for policy writers. Since the index of industrial production is taken as a proxy for real economic activity in Pakistan, saying that it has no significant relationship with Pakistan’s premier benchmark stock market index means that the Karachi Stock exchange is not significantly affected by level of economic activity in Pakistan. A country’s stock exchange is theoretically supposed to reflect the level of economic activity prevalent, why KSE is not seems like an economic anomaly. Further light on possible causes for such behavior will be shed in the subsequent section. 2. Do interest rates affect the KSE index? INTEREST RATES

KSE INDEX

The short-term interest rates seem to a have a very strong relationship, in fact the strongest relationship of any variable in this study, with the Karachi Stock Exchange index. The correlation results suggest that there is an 83.4% negative relationship and falls between exactly the in short-term place with interest rates and the KSE index. This is a very strong relationship indeed previous research conducted into the investment function and how the stock exchange is a substitute for other means of savings in the economy e.g. depositing money into commercial banks in short-term fixed and term deposits.

31

As interest rates offered on deposits decrease people find it more worthwhile to invest their money into other avenues such as the stock exchanges and real estate etc. A similar but opposite behavior is witnessed in the case of an increase in interest find it rates. more When interest to keep rates their increase people profitable

money in the bank than to invest it in avenues such as the stock exchange. In this case in addition to gaining more return by keeping their money in the bank the investor also avoids facing the considerable amount of risk inherent in all stock market investments. This sort of behavior is exactly in accordance with proven economic theory regarding the inverse relationship between interest decrease rates and investment. increases and When when interest interest rates rates investment

increase investment decreases. It is simply a matter of opportunity cost. The opportunity cost of investing in say the stock market is the interest that would have been received if the money had been kept with a bank, and since the money is not being kept in the bank but is rather invested in the stock market the opportunity cost of the stock market investment is the amount of interest forgone. If the opportunity cost (interest) is large enough then the person ends up not investing in the stock market but rather preferring to keep the money lying in the bank.

32

3. Does inflation affect industrial production index?

INFLATION

INDUSTRIAL PRODUCTION

There is a negative correlation albeit a weak one between the level of inflation in the Pakistani economy and the index of industrial production. The Pearson’s correlation result indicate that there is a 41% negative relationship between the consumer price index and the index of industrial production. This a result falls in line is The with previous economic in for and its a

operations research done which suggest that the demand for company’s product function. the heaviest the entity demand production greater

company’s product the greater the level of production the company will commit itself to in order to satisfy that demand. It is also a well know fact that demand for a product is dependent on the level of disposable income available with the people. Furthering this chain of relations, the level of disposable income available with the public is directly related to the prevalent inflation level in the economy, the more expensive things are, ceteris paribus, the more money it will take to buy them thereby reducing the amount of money left to buy other things. This leads to a direct decrease in the level of disposable decrease income the thereby reducing demand of leading all to a in production function industries

across the board. The level of decrease in the production

33

function however depends on a multitude of other factors such on. as the elasticity of demand of the product and whether or not the product is a necessity of life and so

34

4. Does inflation affect interest rates? INFLATION INTEREST RATES

There is a strong positive correlation between interest rates and inflation, following the Pearson’s correlation result it can be said that there is a 64.1% positive relationship between inflation and interest rates i.e. if the level of inflation increases so do the interest rates. Once again this behavior of the variables can be explained through monetary economic theory. One of the lead causes of inflation is said to be “too much money chasing too few goods”. It is a well known economic fact that when the level of money supply increases in an economy the general price level of goods also increases. People simply have too much money and there are not that many goods to satisfy the increase in demand that results from increase in money with the public. This results in an increase in commodity inflation. The primary way to control inflation is to simply increase the interest rates, and this is the practice that has, as expected, been prevalent in the Pakistani market in the 10 year period from January 1994 to January 2004. The 64.1% strong interest positive rates relationship can be between to inflation prudent and attributed monetary prices across the board otherwise known as

35

policy manipulation by the State Bank of Pakistan. This relationship is depicted in figure 4.3 on page 50. 5. Does inflation affect KSE index?

INFLATION

KSE INDEX

There

is

a

very

weak

negative

correlation

between

the

inflation level prevalent in the Pakistani economy and the KSE index. Pearson’s correlation suggests a 36.7% negative correlation Being a between the above mentioned two variables. weak correlation it does not deserve too much

attention nevertheless since there is a slight correlation it is worth mentioning. One possible explanation of this very weak correlation is that in case of an inflationary trend the purchasing power of the public’s disposable also income, ceteris paribus, decreases. Inflation

decreases the amount of investable funds since a greater amount of the public’s disposable income goes towards the transactionary use of money rather than towards the speculative use of money. This decrease in the amount of money available for

investment use affects all investable avenues e.g. real estate etc. Investment in the stock exchanges is simple another use of investable money and it too therefore is affected by inflationary trends.

36

6. Do interest rates affect industrial production?

INTEREST RATES

INDUSTRIAL PRODUCTION

Pearson’s correlation industrial negative variables.

correlation between production. correlation Once again

results short-term The the between the

suggest interest above

a

negative rates a and 45.5% two be can

results negative

indicate correlation

mentioned

attributed to interest rates eating away at the demand for the products of a company. An increase in interest rates leads to people putting their money in banks and other financial institutions rather than spending it on purchasing goods and services. This decreases the amount of money available to be spent on goods and services and hence demand for goods suffers across the board. Same is the case with businesses, they get a greater return keeping their money in bank deposits rather than investing it in their businesses or expanding their output capacity etc. All these factors combine to negatively affect the level of industrial production in the economy.

37

CHAPTER 5

CONCLUSION AND RECOMMENDATIONS

Judging from the results obtained from the regression and correlation analysis, the following conclusion and recommendations can be made:

CONCLUSION

The relationship between the KSE index and the various variables can be summed up as follows: A highly negative and significant relationship between the KSE index and the the short-term course of interest the past rates ten has been this observed over years,

finding is consistent with the findings of (Rozeff,1974) in which he too observed a strongly negative correlation between interest rates and the by a stock (Geske market & Roll, index. 1983) Additionally stock market studies conducted and

also look into the relationship between interest rates and activity find significant negative relationship between the two. Perhaps activity 1963, the has greatest between been They amount interest redirected of rates by the research and & into the

relationship 1982).

stock

market of the

undertaken

(Friedman

Schwartz,

attention

38

researchers

towards

interest

rates

for

predicting

and

understanding the behavior of stock exchanges. They have come up with the most convincing evidence, as of yet, that interest activity. The relationship Stock between exchange research industrial has been in production discovered advanced and to the be rates most significantly affect stock market

Karachi most

insignificant, this finding is in direct contradiction to previous conducted economies such as the US and the UK. It is contrary to (Thornton, 1993)’s study into the UK market in which he found that stock returns tend to lead real economic activity. It is also contrary to (Chang and Pinegar, 1989) and (Chen et al., 1986) who also concluded that there is a close relationship activity. This result seems to indicate that the Karachi stock between stock market and domestic economic

exchange is not efficient in the sense that it does not reflect the country’s true economic activity but is highly affected by changes in monetary variables, suggesting speculative intentions at work. This result is however consistent interest with the and finding the of

(Mallaris and Urrutia, 1991) who studied the linkage among industrial production, rates United States’ S&P 500 Index; their results seem to suggest that the interrelationships among the three variables are not statistically significant. The bulk of the studies

39

conducted

however

report

a

significant

relationship

between industrial production and stock market activity. The relationship between inflation and the Karachi Stock Exchange is found to be negative. This result conforms to previous research conducted by (Fama, 1981) who investigated the relationships among stock returns, real economic activity, inflation and money. The results also conform and to studies conducted These by (Darat and Mukherjee, various 1987), (Naka, Mukherjee & Tufte, 1996) and (Bhattacharya Mukherjee, 2002). studies employed regression models and concluded that domestic inflation is one of the most prominent factors influencing stock market activity. They also note that an increase in inflation rates eats into corporate profits, which in turn makes dividends diminish. When dividends decrease, the expected return of stocks decrease, causing stocks to depreciate in value further eroding the stock index. The relationship between inflation and interest rates is well documented not only through empirical research but also by virtue of deep rooted economic theory. The result obtained from this study also validates these theories. There seems to be a strong positive correlation between these two variables for the most obvious reason that money supply has a direct impact on inflation; and the interest rate is the single most powerful determinant of money supply. Furthermore the results obtained are in conformity with previous research conducted by (Chen et al., 1986) and (Fama, 1990)

40

The

relationship

between

inflation

and

industrial

production appears to be negative. Once again this result is in unison with previous research findings by (Plosser, 1989) which suggest that there is a significant negative relationship between industrial production and inflation. The inflation rate is an important element in determining industrial production due to the fact that during the times of high inflation, people recognize that the market is in a state of economic difficulty. People are laid off work, which causes production to decrease. When people are laid off, they tend to buy only the essential items. Thus production is cut even further. Finally, industrial the relationship between a interest significant rates and

production

gives

negative

outlook. This result is further reinforced by a previous research study conducted by (Barro, 1977) which suggest a negative correlation between the aforementioned variables. Another convincing study conducted by (Kydland & Prescott, 1990) looks into this very relationship and concludes that credit considerations, which are directly affected by interest rates, could play an important role in current and future industrial activity.

41

RECOMMENDATIONS

Based on the results obtained from the empirical analysis of key economic variables over the past ten years, the following recommendations can be suggested: To recall, has the most striking discovery of this

research industrial

been

the in

insignificant the economy.

relationship This result

between the Karachi Stock Exchange and the level of production seems to indicate that the Karachi stock exchange is not efficient in the sense that it does not reflect the country’s true economic activity but is highly affected by changes in monetary variables. The above mentioned fact suggests that the KSE is moved policy largely by speculative must be motives to rather prevent than this ‘real’ production and performance oriented motives, decisions made behavior. The ratio of blocked to floating shares in Pakistan must be altered. 80 the to why to In 20, Pakistan i.e. opposite i.e. KSE 20:80 80% this ratio is an in to in real KSE alarming average floating relation reasons economic blocked shares blocked of 20% not shares blocked blocked reflect of

relation to 20% floating. In comparison the US has on exact ratio or shares, the

80% floating. This can be one of the index does of few,

activity. The staggering amount of shares reflect in the concentration hands of a ownership including large

42

institutional the share

investors by

and the

foreign general

owners public.

etc, This

whereas the meager amount of floating shares reflect ownership unhealthy ratio encourages stock market manipulations by a selected group of individuals and does not let the index reflect a true picture of the economy. This tendency must be looked into and policy decisions be made to change the ratio. The recent moves made by the Securities and Exchange Commission of Pakistan (SECP) regarding demutualization of the KSE are a welcome change and should be expedited as soon as possible. The KSE should be converted from a guarantee into a regular should company be with share capital and its shares made to float the market just like any

other company. This change along with making the KSE board accountable to the investor public would also encourage select few. Another way of ensuring that the KSE index reflect the true performance of the Pakistani economy is to adopt a share index which is a ‘composite’ of all the shares listed in the stock exchange rather than an index of just a few selected shares which are most widely traded. This move will discourage manipulation of the index and result in a more realistic appraisal of the stock market in relation to other markets in the region and beyond. broader share ownership and prevent accumulation of majority of shares in the hands of a

43

REFERENCES

Chen N.F., Roll R. and Ross S. (1986) “Economic Forces and the Stock Market”. Journal of Business, Vol 59, No 3, pp 383- 395 Hamao, Y. (1988). “An empirical examination of the arbitrage pricing theory: Using Japanese data”, Japan and the World Economy 1, pp 45-61 Kaneko , T., and Lee, B-S. (1995) “ Relative importance of economic factors in the US and Japanese stock markets”, Journal of the Japanese and International economies 9, pp 290-307. Kaul, G. (1987) Stock Returns and Inflation: The Role of the Monetary Sector, Journal of Financial economics, 18, 253-276 Kwon, C., Shin, T and Bacon, (1997), “ The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets”, Multinational Business Review, Fall 97, pp 63-70 Mukherjee, T. and Naka A. (1995), “ Dynamic Relations Between Macroeconomic Variables and the Japanese Stock Market, Journal of Financial Researech. XVIII(2), PP 223237 Nasseh, A and Strauss, J. (2000), “Stock Prices and Domestic and International Macroeconomic Activity”, The Quarterly Review of Economics and Finance, 40, pp 229-245 Poon, S and Taylor, S.J. (1991), “Macroeconomic factors and the UK stock market”, Journal of Business and Accounting 18, pp 619-636 Andres, J., Mestre, R., Valles, J. 1997. .A Structural Model for the Analysis of the Impact of Monetary Policy on Output and Inflation., in Monetary Policy and the Inflation Process, BIS Conference Papers Vol.4.

44

Hendry, D.F. 1999. Does Money Determine UK Inflation over the Long Run?, Nuffield College, Oxford, UK. Government of Pakistan, “Economic Survey”, Issues), Islamabad, Ministry of Finance. (Various

Government of Pakistan, “Statistical Year Book of Pakistan”, (Various Issues), Islamabad, Federal Bureau of Statistics. Barro, Robert J., 1977, Unanticipated money,output and the price level in the United States, Journal of Political Economy, 86, 549-580. Chen, Nai, 1991, Financial investment opportunities and the macroeconomy, Journal of Finance, 46, 529-554. Fama, Eugene, 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance, 383-417. Fama, Eugene,1981, Stock returns, real activity, inflation, and money, American Economic Review, 71, 545565. Fama, Eugene, 1990, Stock returns, expected returns, and real activity, Journal of Finance, 45, 1089-1108. Fama, Eugene, 1991, Efficient capital markets: II, Journal of Finance, 46, 1575-1617. Friedman, Milton and Anna Schwart, 1963, Money and business cycles, Review of Economics and Statistics, 45, 32-64. Friedman, Milton and Anna Schwart, 1982, Monetary trends in the United States and the United Kingdom (University of Chicago Press, Chicago IL). Geske, R., and Roll R, 1983, The fiscal and monetary linkage between stock returns and inflation, Journal of finance, 38, 1-33 Kydland, Finn E., and Edward C. Prescott, 1990, Business cycles: real facts and a monetray myth, Quarterly Review of the Federal Reserve Bank of Minneapolis, 14, 3-18.

45

Mallaris, A.G. and Urrutia, J.L., 1991, An investigation among real, monetary, and variable, Economic Letters, 37, 151-158.

empirical financial

Rozeff, Michael, 1974, Money and stock prices: Market efficiency and the lag in effect of monetary policy, Journal of Financial Economics, 2, 245-302. Sharpe, William, 1964, Capital asset prices: A theory of capital market equilibrium under conditions of risk, Journal of Finance, 19, 425-442. Darrat, A.F. and T.K. Mukherjee, 1987, The Behavior of the Stock Market in a Developing Economy, Economics Letters 22, 273-278. Fama, E.F. and G.W. Schwert, 1977, Asset Returns Inflation, Journal of Financial Economics 5, 115-146. and

Lee, B.S, 1992, Causal Relationships Among Stock Returns, Interest Rates, Real Activity, and Inflation, Journal of Finance, 47, 1591-1603. Sharma, J.L. and R.E. Kennedy, 1977, A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges, Journal of Financial and Quantitative Analysis 17, 391-413. Sharma, J.L., 1983, Efficient Capital Markets and Random Character of Stock Price Behavior in a Developing Economy Indian Economic Journal 31, no.2, 53-57. Friedman, B and K Kuttner, (1992), “Money, Income, Prices and Interest Rates”, American Economic Review, 82, 472-492. Taylor, J B, (1999), “Monetary Policy Rules”, NBER Conference Report series, Chicago and London: University of Chicago Press, pp ix, 447. Campbell, John and John Cochrane (1995), .By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,. NBER Working Paper no. 4995 (January). Bhattacharya, B., and J. Mukherjee, (2002) The Nature of the Causal Relationship between Stock Market and Macroeconomic Aggregates in India: An Empirical Analysis,

46

Paper Presented in the 4th Annual Conference on Money and Finance, Mumbai. Campbell, J. Y. and Hamao, Y. (1992), Predictable Stock Returns in the United States and Japan; A Study of Longterm Capital Integration, Journal of Finance, 47, 43-67. Cheung, Y. W. and Ng, L. K. (1998), international Evidence on the Stock Market and the Aggregate Economic Activity, Journal of Empirical Finance, 5, 281-296. Cochrane, J. H. (1991), Production-based Asset Pricing and the Link between Stock Return and Economic Fluctuations, Journal of Finance, 46, 209-238. Naka, A, Mukherjee, T. and Tufte, D. (1999), Macroeconomic Variables and the Performance of the Indian Stock Markets, Financial Management Association meeting, Orlando. Pethe, A., and Ajit Karnik, (2000), Do Indian Stock Markets Matter?- Stock Market Indices and Macro-economic Variables, Economic and Political Weekly, 35 (5), 349356 Rao, K. C. and A. Rajeswari, (2000), Macro Economic Factors and Stock Prices in India: A Study, Paper presented in the Capital Markets Conference 2000, Mumbai

47

Correlations, Standardized Multiple Regression Coefficients, Standard errors in Parenthesis, t values in Brackets, F-statistics and p-values in Italic Table 4.5

Intercept KSE-100 Index 1.000 (284.287) [15.310] .000

Interest rates -.834 -1.049 (26.938) [-16.712] .000

Industrial Production .272 -.097 (.643) [-1.835] .069

Inflation -.367 .266 (.736) [4.343] .000

R Square .751

F Statistic 116.76

.000

The table shows the results in a summarized form

48

Figure 4.1

KSE-100 Index

5000 4500 4000 3500 3000 2500 2000 1500 1000 500 0 1994JAN 1997JAN 2000JAN 2003JAN JUL JUL OCT OCT OCT JUL OCT APL APL APL

KSE-100 Mean

Figure 4.2

**Short term interest rates
**

9 8 7 6 5 4 3 2 1 0 1994JAN 1996JAN 1998JAN 2000JAN 2002JAN SEP SEP MAY SEP MAY SEP MAY SEP MAY MAY

STI Mean

49

100

150

200

250

300

350

50

500 450 400 350 300 250 200 150 100 50 0 0 1994JAN SEP MAY 1996JAN SEP MAY 1998JAN SEP MAY 2000JAN SEP MAY 2002JAN SEP MAY

1994JAN

SEP

MAY

1996JAN

SEP

MAY

1998JAN

SEP

MAY

Inflation

2000JAN

SEP

MAY

Index of Industrial Production

2002JAN

SEP

Figure 4.4

Figure 4.3

MAY

IPI

CPI

mean

mean

50

**APPENDIX: DATA/OBSERVATIONS
**

Month 1994JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC 1995JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC 1996JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC 1997JAN FEB MAR APL MAY JUN JUL AUG SEP OCT INF 265.58 268.84 269.97 276.72 275.8 278.46 282.95 285.59 289.74 294.6 298.74 301.29 306.17 305.77 308.46 308.72 310.08 312.28 160.98 164.23 165.7 165.88 167.66 168.78 169.41 170.6 172.9 174.3 174.95 175.14 177.59 179.9 181.99 184.17 186.4 188.03 192.11 194.2 193.33 197.96 197.57 196.95 198.17 199.46 200.72 201.53 IPI 295.7 274.3 276 249.1 203 200.1 195.9 194.2 189.8 198.5 238 294.2 317.3 284.7 234.5 270 214 221.2 200.9 204.9 205.2 226.6 267.7 313 298.8 275.7 289.9 231.3 223.3 226.6 213.4 207.9 205.9 221.5 238.6 307.2 290.5 264.4 300.8 227 206.4 214.6 212.4 210.2 203.7 217.7 STI 6.67 6.67 6.67 6.67 6.67 6.67 6.73 6.79 6.85 6.91 6.97 7 6.95 6.9 6.85 6.8 6.75 6.69 6.79 6.83 6.9 6.97 7.04 7.08 7.11 7.14 7.17 7.2 7.23 7.28 7.3 7.32 7.34 7.36 7.38 7.39 7.48 7.59 7.66 7.75 7.84 7.93 7.87 7.81 7.75 7.69 KSE 2178.11 2291.18 2528.16 2448.71 2381.72 2244.04 2319.77 2281.36 2196.65 2324.67 2157.97 2143.3 2078.2 1812.56 1864.19 1711.71 1532.71 1513.49 1605.89 1801.71 1754.53 1663.87 1547.14 1416.9 1464.29 1631.94 1727.98 1571 1715.64 1749.66 1653.92 1502.54 1353.67 1397.49 1500.47 1474.21 1371.29 1588.48 1640.91 1602.68 1541.98 1504.54 1989.51 1762.29 1849.7 1875.01

51

NOV DEC 1998JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC 1999JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC 2000JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC 2001JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC

203.03 203.26 203.15 203.88 207.49 208.42 208.73 209.71 211.52 213.37 213.61 214.66 215.68 216.19 215.8 216.61 217.36 217.94 217.78 217.43 218.77 220.11 221.45 222.8 222.99 222.75 223.2 223.16 225.12 226.39 226.15 228.52 229.81 229.68 231.92 233.24 235.05 234 233.62 233.43 234.54 235.33 234.27 234.29 235.51 237.54 238.57 239.22 103.43 102.95

241.5 336.7 336.6 323.1 334.1 263.1 220.7 219.6 216.3 219.3 223 219.6 243.3 346.4 331.8 340 362.2 278 233 236.3 237.4 238.5 239.6 240.7 287.4 367.9 325.6 315.4 272.2 230.1 259.9 246.2 237.2 250.18 263.16 276.14 289.1 314.7 344.3 382.5 361.7 265.9 284.9 277 253.9 263.3 265.83 268.36 273.4 344.9

7.63 7.59 7.49 7.39 7.29 7.19 7.09 7.02 7.17 7.32 7.47 7.62 7.77 7.93 7.82 7.71 7.6 7.49 7.38 7.28 7.22 7.16 7.1 7.04 6.98 6.95 6.89 6.83 6.77 6.71 6.65 6.62 6.68 6.74 6.8 6.86 6.92 6.96 6.98 7 7.02 7.04 7.06 7.06 6.81 6.56 6.31 6.06 5.81 5.56

1772.24 1753.82 1609.16 1681.83 1553.06 1562.22 1040.19 879.61 920.48 970.78 1111.46 841.7 1050.97 945.24 900.58 926.21 1056.75 1107.02 1222 1054.67 1251.79 1206.51 1199.29 1189.32 1247.4 1408.91 1772.84 1930.61 1999.69 1901.07 1536.65 1520.73 1554.9 1518.27 1564.78 1489.32 1276.05 1507.59 1461.6 1423.18 1324.41 1367.05 1377.61 1366.43 1228.89 1258.43 1133.43 1406.05 1358.16 1273.06

52

2002JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC 2003JAN FEB MAR APL MAY JUN JUL AUG SEP OCT NOV DEC

103.06 103.39 104.74 105.1 104.4 104.9 106.04 106.37 106.57 106.57 106.65 106.39 106.56 107.06 107.09 107.45 107.14 106.92 107.53 108.24 108.89 110.49 111.15 112.2

415.1 349 380.2 332.4 294.3 276.5 267.6 274.6 251.8 273.8 316.6 394.9 417.4 394.3 454.3 368.5 289.9 296.5 287.6 301.9 303.6 317.4 289.4 476

5.45 5.34 5.23 5.12 5.01 4.92 4.78 4.64 4.5 4.36 4.22 4.07 3.7 3.33 2.96 2.59 2.22 1.84 1.7 1.56 1.42 1.28 1.14 0.99

1620.18 1765.95 1868.11 1898.95 1663.34 1770.11 1787.59 1974.58 2018.75 2278.54 2285.87 2701.41 2545.07 2399.14 2715.71 2902.41 3099.04 3402.47 3933.37 4461.47 4027.34 3781.03 4068.29 4471.6

53

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