Systematic risk factors and stock return volatility

A tétel rövid nézete
dc.creatorHaider, Syed Kamran Ali
dc.creatorHashmi, Shujahat Haider
dc.creatorAhmed, Ishtiaq
dc.date2017-06-30
dc.date.accessioned2021-06-28T11:16:09Z
dc.date.available2021-06-28T11:16:09Z
dc.descriptionThis study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Systematic risk factors used in this study are industrial production, real interest rate, inflation, money supply and exchange rate from 2000-2014. Results indicate that there exists relationship among the volatility of macroeconomic factors and that of stock returns in Pakistan. The relationship among the volatility of macroeconomic variables and that of stock returns is bidirectional; both affect each other in different dynamics. JEL code: C32, C58, G11, G12
dc.formatapplication/pdf
dc.identifierhttps://ojs.lib.unideb.hu/apstract/article/view/6944
dc.identifier10.19041/APSTRACT/2017/1-2/8
dc.identifier.urihttp://hdl.handle.net/2437/317813
dc.languageeng
dc.publisherUniversity of Debrecen, Faculty of Economics and Business
dc.relationhttps://ojs.lib.unideb.hu/apstract/article/view/6944/6405
dc.rightsCopyright (c) 2017 University of Debrecen, Faculty of Economics and Business, Hungary
dc.sourceApplied Studies in Agribusiness and Commerce; Vol. 11 No. 1-2 (2017); 61-70
dc.source1789-7874
dc.source1789-221X
dc.subjectMacroeconomic factors
dc.subjectstock return volatility
dc.subjectGARCH
dc.subjectVAR
dc.titleSystematic risk factors and stock return volatility
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typePeer-reviewed Article
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APSTRACT - Applied Studies in Agribusiness and Commerce