Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan
An investor considers various factors to choose the financial assets. The portfolio theory suggests that risk, return, taxes, information and liquidity are vital factors in portfolio choice. The study is based on risk premium, uncertainty, shocks and volatility of Pakistan stock exchange market. The...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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CSRC Publishing
2021-01-01
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| Series: | Journal of Accounting and Finance in Emerging Economies |
| Subjects: | |
| Online Access: | http://www.publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1558 |
| _version_ | 1818871718021693440 |
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| author | Muhammad Ramzan Sheikh Sahrish Zameer Sulaman Hafeez Siddiqui |
| author_facet | Muhammad Ramzan Sheikh Sahrish Zameer Sulaman Hafeez Siddiqui |
| author_sort | Muhammad Ramzan Sheikh |
| collection | DOAJ |
| description | An investor considers various factors to choose the financial assets. The portfolio theory suggests that risk, return, taxes, information and liquidity are vital factors in portfolio choice. The study is based on risk premium, uncertainty, shocks and volatility of Pakistan stock exchange market. The study has used monthly time series data of returns of ten sectors of Pakistan stock market ranging from 2006 to 2014 to measure the anticipated and unanticipated factors of risk, return and uncertainty. Using CAPM, it is pointed out that volatility factor is present and high in overall stock market and the level of volatility in different sectors of the market moves in the same direction which suggest that speculative activities are widely spread in every sector and in overall market as well. |
| first_indexed | 2024-12-19T12:27:22Z |
| format | Article |
| id | doaj.art-2484cf5cf306477ebe06a8ec7e8127a2 |
| institution | Directory Open Access Journal |
| issn | 2519-0318 2518-8488 |
| language | English |
| last_indexed | 2024-12-19T12:27:22Z |
| publishDate | 2021-01-01 |
| publisher | CSRC Publishing |
| record_format | Article |
| series | Journal of Accounting and Finance in Emerging Economies |
| spelling | doaj.art-2484cf5cf306477ebe06a8ec7e8127a22022-12-21T20:21:32ZengCSRC PublishingJournal of Accounting and Finance in Emerging Economies2519-03182518-84882021-01-0171Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan Muhammad Ramzan Sheikh0Sahrish Zameer1Sulaman Hafeez Siddiqui2Associate Professor, School of Economics Bahauddin Zakariya University, Multan, PakistanLecturer in Economics University of Chakwal, PakistanAssociate Professor, Department of Management Sciences, The Islamia University of Bahawalpur, PakistanAn investor considers various factors to choose the financial assets. The portfolio theory suggests that risk, return, taxes, information and liquidity are vital factors in portfolio choice. The study is based on risk premium, uncertainty, shocks and volatility of Pakistan stock exchange market. The study has used monthly time series data of returns of ten sectors of Pakistan stock market ranging from 2006 to 2014 to measure the anticipated and unanticipated factors of risk, return and uncertainty. Using CAPM, it is pointed out that volatility factor is present and high in overall stock market and the level of volatility in different sectors of the market moves in the same direction which suggest that speculative activities are widely spread in every sector and in overall market as well.http://www.publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1558Volatility, Shocks, Returns, Stock Market. |
| spellingShingle | Muhammad Ramzan Sheikh Sahrish Zameer Sulaman Hafeez Siddiqui Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan Journal of Accounting and Finance in Emerging Economies Volatility, Shocks, Returns, Stock Market. |
| title | Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan |
| title_full | Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan |
| title_fullStr | Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan |
| title_full_unstemmed | Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan |
| title_short | Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan |
| title_sort | anticipated volatility unanticipated volatility shocks excess monthly returns and stock market behaviour of pakistan |
| topic | Volatility, Shocks, Returns, Stock Market. |
| url | http://www.publishing.globalcsrc.org/ojs/index.php/jafee/article/view/1558 |
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