Impact of Macro and Micro Economic Variables on Volatility of Stock Prices: Empirical Evidence from Pakistan's Cement Industry

Abstract

The stock market is the instrument employed for the efficient use and accessibility of funds. The study looks at the macro and micro factors that influence how volatile stock market prices might be. The CPI, which measures inflation, EPS, or earnings per share, GDP, or gross domestic product, and ROE, or return on asset, are the macro variables examined in this study. One considers the stock price to be a dependent variable. The Pakistan Stock Exchange's (PSX) list of cement sector businesses is taken. The entire cement industry sector was chosen, but the number of companies decreased from twenty-two to just fifteen. The remaining companies were eliminated since the data was not available. In the current analysis, ten years of data—from 2012 to 2020—are used. Panel regression models are utilized while keeping in mind the nature of the data; yet, standard deviation and data dispersion are used for volatility.