Systematic risk factors and stock return volatility

A tétel rövid nézete
dc.contributor.authorHaider, Syed Kamran Ali
dc.contributor.authorHashmi, Shujahat Haider
dc.contributor.authorAhmed, Ishtiaq
dc.date.accessioned2021-06-28T11:16:09Z
dc.date.available2021-06-28T11:16:09Z
dc.date.issued2017-06-30
dc.description.abstractThis 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, G12en
dc.formatapplication/pdf
dc.identifier.citationApplied Studies in Agribusiness and Commerce, Vol. 11 No. 1-2 (2017) , 61-70
dc.identifier.doihttps://doi.org/10.19041/APSTRACT/2017/1-2/8
dc.identifier.eissn1789-7874
dc.identifier.issn1789-221X
dc.identifier.issue1-2
dc.identifier.jatitleAPSTRACT
dc.identifier.jtitleApplied Studies in Agribusiness and Commerce
dc.identifier.urihttps://hdl.handle.net/2437/317813en
dc.identifier.volume11
dc.languageen
dc.relationhttps://ojs.lib.unideb.hu/apstract/article/view/6944
dc.rights.accessOpen Access
dc.rights.ownerUniversity of Debrecen, Faculty of Economics and Business, Hungary
dc.subjectMacroeconomic factorsen
dc.subjectstock return volatilityen
dc.subjectGARCHen
dc.subjectVARen
dc.titleSystematic risk factors and stock return volatilityen
dc.typefolyóiratcikkhu
dc.typearticleen
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